利率冲击、资本流动与经济波动——基于非对称性视角的分析

Interest Rate Shocks, Capital Flow and Economic Fluctuation: Analysis based on Macroeconomic Asymmetries

本文回顾了过去十几年美国利率调整与中国相关宏观经济变量的关系,发现美国的加息和减息政策对中国资本流动规模产生了明显的非对称性影响。本文运用一个包含名义价格黏性和抵押担保约束两类摩擦的小国DSGE模型来深入分析外国利率冲击的传导和作用机制,并利用抵押担保条件的偶然紧约束特性来解释利率冲击所造成的宏观经济非对称性,然后使用粒子滤波方法进一步验证、测算了偶然紧约束所造成的非对称资本流动规模。研究表明,外国利率的上升和下降将分别导致企业家部门抵押担保约束处于收紧与松弛的不同状态,并通过金融摩擦机制造成本国非对称的资本流动;运用实际数据与反事实估计,本文发现中国宏观经济存在非常明显的非对称现象,在2011年间偶然紧的抵押担保约束导致每季度资本净流入的规模减少了接近5000亿元人民币。

This paper reviews the relationship between U.S.interest rate adjustments and China's relevant macroeconomic variables over the past decade.It is found that U.S.interest rate increases and decreases have obvious asymmetric impacts on the scale of capital flow in China.Between 2008 and 2017,asset prices and capital flow showed significant correlation in China,reflecting the effect of“hot money”on domestic asset prices,which determine the value of enterprises'collateral.This eventually leads to macroeconomic asymmetries under collateral constraints.To better understand the theoretical mechanism of macroeconomic asymmetries,this paper constructs a DSGE model for in-depth investigation and research.This paper uses a small open economy DSGE model,which includes the two frictions of nominal price stickiness and collateral constraints,to analyze the transmission and action mechanism of interest rate shocks.The characteristics of occasionally binding constraints(OBC)are used to explain the asymmetric impact of interest rate shocks on macroeconomics.Then,this paper uses the particle filter method to further verify and calculate the scale of asymmetric capital flows caused by OBC.The main conclusions of this paper are as follows.First,changes in foreign interest rates will significantly affect the domestic supply of capital to patient households,leading to dramatic fluctuations in cross-border capital flows.When foreign interest rates rise,the decline of domestic asset prices will lead to further tightening of collateral constraints,causing a cyclic deflationary effect on collateral asset value that will eventually lead to a substantial economic recession.When foreign interest rates fall,patient families will increase their domestic capital supply;in this case,entrepreneurs may no longer be restricted by collateral constraints,removing the financial friction acceleration mechanism and lessening economic fluctuation.Second,this paper uses a particle filter method to infer the unobservable collateral constraint multiplier of entrepreneurs and finds that there is an asymmetric phenomenon caused by OBC in China.Finally,using a counter-factual simulation method,it is estimated that the relaxation of collateral constraints in 2011 reduced the net capital inflow of China by nearly 500 billion RMB.In recent years,the U.S.monetary policy of continuous interest rate hikes has been intertwined with the ultra-low interest rate policy of Europe.Thus,the international economic environment confronting China as it tries to form policies is complex and difficult.In this context,our study of the asymmetric impact of interest rate shocks on the macroeconomy is not only of great theoretical significance in the study of monetary policy,but also of practical significance to the implementation of current monetary policy and the regulation and control of macroprudential policy in China.First,in the increasingly complex international financial environment,the spillover effect of U.S.monetary policy(i.e.,sustained interest rate hikes)on China's macroeconomy is crucial to understand.Because of the increasing financial friction of“monetary externalities”,the international spillover effect of U.S.interest rate increases is much stronger than the spillover of interest rate reduction policies in Europe and Japan.Second,at present it is necessary for China to implement a certain degree of control over international capital flows to mitigate the impact of capital outflow on domestic economic fluctuations.A certain degree of capital control can not only reduce the negative impact of U.S.interest rate increases on capital flows and economic stability,but also win more time and policy operation space for China's deleveraging reform,market-oriented interest rate reform,exchange rate reform.