中国货币政策对“一带一路”沿线国家或地区经济外溢效应研究

Research on the Economic Spillover Effect of China's Monetary Policy on Countries or Regions along the Belt and Road Initiative

文章运用两区块FAVAR模型,基于2003年12月至2018年10月71个"一带一路"沿线国家或地区的数据集,分析了中国扩张性货币政策冲击对"一带一路"沿线国家或地区宏观经济变量的外溢传导。在货币政策扩张性冲击下,大多数"一带一路"沿线国家进出口增加、产出提高、投资兴盛、股票市场繁荣、通胀压力倍增,显示出中国货币政策"火车头"的溢出效应。产出的提高源自于中国额外消费需求推动,贸易联系越紧密的国家产出的冲击反应更为明显。沿线国家短期利率的冲击反应具有异质性,这与信贷渠道不通畅紧密相关。金融联系越紧密的国家信贷渠道更为通畅,短期利率的抬升可以得到有效缓解。另外,2013年中国宣布"一带一路"倡议后强化了与沿线国家的贸易、金融联系,但沿线浮动汇率制国家产出显著下降,而与中国实行双边货币互换的国家可以有效缓解产出负向冲击。

This paper uses the two-block favar model to analyze the spillovers of China's expansionary monetary policy shocks to macroeconomic variables among the"Belt and Road"economies,including 71 countries and regions along the"Belt and Road"from December 2003 to October 2018.Under the expansionary trend of monetary policy,the import and export of most countries along the"Belt and Road"increased,output increased,investment prospered,the stock market prospered,and inflationary pressures doubled,showing the spillover effect of China's monetary policy"locomotive".The increase in output is driven by China's additional consumer demand,and the impact of the country's output with closer trade links is more pronounced.The impact of shortterm interest rates in countries along the line is heterogeneous and closely related to the lack of credit channels.In countries with closer financial links,credit channels are more fluent,and the rise in short-term interest rates has been effectively alleviated.In addition,after the announcement of the"Belt and Road Initiative"in 2013,China strengthened its trade and financial links with countries along the route,but the national output of the floating exchange rate system along the line dropped significantly.Countries that implement bilateral currency swaps with China can effectively mitigate the negative impact of output.