美国货币政策对中国经济的溢出效应研究

The Spillover Effect of US Monetary Policyon China’s Macroeconomy

在全球金融市场一体化的背景下,美国货币政策如何影响中国宏观经济?文章利用Barakchian和Crowe(2013)识别的外生美国货币政策冲击,研究了其对中国宏观经济的影响。文章基于结构向量自回归误差修正模型(SVECM)的研究表明,2002年以后,美国的紧缩性货币政策导致中国的产出上升和物价下降,表现为一个正向的供给冲击。为了理解背后的传导机制,文章进一步利用扩展的VAR系统进行了实证分析。结果表明,进口品价格是溢出效应的主要传导渠道,即美国的紧缩性货币政策通过汇率传导效应而使中国的进口品价格下降,并引起中国国内生产成本下降、物价下跌和产出上升。文章的研究为理解金融全球化背景下的中国经济波动提供了新的实证依据。

How to quantitatively measure the macro dynamic effect of monetary policy is one of themost critical issues in the mainstream macro research (Benanke and Gertler, 1995;Christiano, et al., 1999). Inthe context of global financial integration, how will a country’s monetary policy affect the macroeconomy ofother countries? This international spillover effect of monetary policy has been hotly debated in the academy,but it has not yet been conclusive. The reason is that, empirically, how to identify the impact of exogenousmonetary policy has not been well resolved at the technical level;theoretically, mainstream macroeconomicmodels provide various transmission mechanisms, and no consensus has been reached.Due to the above difficulties, research on the international spillover effect of monetary policy is still in itsearly stage, and the impact of US monetary policy on China’s economy is seldom studied. From the empiricalpoint of view, this article follows the latest literature Barakchian and Crowe (2013, hereinafter referred to asBC) to identify the impact of exogenous monetary policy in the United States, and studies the dynamic impactof US monetary policy on China’s macroeconomy and its underlying transmission mechanism. This articleprovides new evidence on the international spillover effect of monetary policy and also tests the existing theoriesin international economics from an empirical perspective.The primary issue to be addressed in monetary policy research is how to identify exogenous monetarypolicy shocks. However, macroeconomic regulation often relies on the current situation of aggregate economy.Since there is a strong endogenous relationship among economic variables, it is difficult to directly construct asystem that includes policy variables and macroeconomic indicators to identify exogenous monetary policyshocks. To this end, BC (2013) solves the endogenous issue regarding the identification of monetary policyshocks. The exogenous shock constructed through their indicator not only avoids making ad hoc assumptionsabout the feedback rules of monetary policy, but also avoids the endogenous problems and the sample selectionissue in traditional identification methods.Based on the US monetary policy shock constructed by BC (2013), this article studies the spillover effectof US monetary policy on China’s macroeconomy and therefore solves the aforementioned endogenousproblem of monetary policy shocks. The basic model of the empirical analysis is a three-variable structuralvector autoregressive error correction model (SVECM) that includes China’s industrial output, price index,and US monetary policy shocks. Based on this model, we find that the opening-up policy of WTO accession atthe end of 2001 has a significant structural impact on the spillover effect of US monetary policy and its transmissionmechanism. Specifically, we divide the monthly data from 1996−2008 into two sub-samples beforeand after January 2002. Using the 2002−2008 subsample, we find that the impact of the US’s tightening monetarypolicy significantly causes China’s output to rise and prices to fall, thus performing as a positive supplyshock to China’s economy. Based on the 1996−2001 subsample, US monetary policy will not have a significantimpact on China’s economy. The above findings are largely different from the findings in Kim (1999,2001), Canova (2005), and among others. In the analysis of the transmission mechanism, this article finds that the price channel can well explain thestylized facts in the data. Our theory proceeds as follows: The US tightening monetary policy will lead to theappreciation of the US dollar, which will cause US manufacturers to lower their export prices in US dollars(Exchange Rate Pass-Through). Due to the yuan-dollar fixed exchange rate system, China’s import prices willdecline, and the prices of domestic raw materials and CPI will decline. Lower production costs lead manufacturersto increase production, which is reflected by an increase in China’s output. Therefore, the price channelindicates that the US tightening monetary policy is equivalent to a positive supply shock, which will simultaneouslyincrease China’s output and reduce the price level. Based on the extended SVECM system, we find thatChinese macro data can identify the price channels of imported goods. Further robustness analysis shows thatour main findings are robust to different sample periods and different model settings. Besides, in order to betterexplain the identification of import price channels, we have conducted empirical tests on several standardtheories in international economics. The results show that the standard theories fail to explain the Chinese data.Therefore, the price channel provides the primary transmission mechanism of the spillover effect of US monetarypolicy on China’s economy, and this channel also explains the empirical finding that WTO has a structuralimpact on the spillover effect.