中国货币政策存在外溢效应吗——来自美国宏观经济波动的经验证据

Does China’s Monetary Policy Have Spillover Effect?--Empirical Evidence from US Macro Economic Fluctuation

随着全球经济一体化,经济政策溢出效应成为影响经济周期的重要因素之一。然而,以往研究大都基于美联储货币政策对中国经济影响的角度,较少有探索中国央行货币政策对美国宏观经济的影响。基于此,本文检验了中国央行货币政策是否为美国宏观经济波动的原因,并构建了非线性计量经济模型,研究了中国央行货币政策对美国宏观经济的非线性溢出效应。研究发现:中国央行货币政策确实对美国宏观经济产生了非线性影响,第一,中国央行价格型货币政策对美国宏观经济影响幅度较大,而数量型货币政策对美国宏观经济影响幅度较小;第二,中国货币政策在经济高涨时期对美国宏观经济的影响幅度最大,在经济萧条时期的影响幅度次之,在经济平稳时期的影响幅度最小;第三,中国数量型货币政策对美国产出水平的影响程度最大,对通货膨胀水平的影响程度最小,对就业水平的影响程度适中;中国价格型货币政策对美国产出水平的影响程度最大,对就业水平的影响程度最小,对通货膨胀水平的影响程度适中。

With the integration of global economy,the spillover effect of economic policy has become one of the important factors affecting the economic cycle.However,most of the previous studies are based on the perspective of the impact of the monetary policy of the Federal Reserve on China’s economy,and few of them explore the impact of the monetary policy of the Central Bank of China on the U.S.macroeconomic.Based on this,this paper tests whether the monetary policy of the people’s Bank of China is the cause of the macroeconomic fluctuation of the United States,and constructs a nonlinear econometric model to study the nonlinear spillover effect of the monetary policy of the people’s Bank of China on the macroeconomic of the United States.It is found that,the monetary policy of the people’s Bank of China does have a non-linear impact on the U.S.macro-economy.First,the price monetary policy of the people’s Bank of China has a large impact on the U.S.macro-economy,while the quantitative monetary policy has a small impact on the U.S.macro-economy;Second,China’s monetary policy has the largest impact on the U.S.macro-economy in the period of economic upsurge,followed by economic depression,and the smallest impact in the period of economic stability;Third,China’s quantitative monetary policy has the greatest impact on the output level of the United States,the least impact on the inflation level,and the moderate impact on the employment level;China’s price monetary policy has the greatest impact on the output level of the United States,the least impact on the employment level,and the moderate impact on the inflation level.