中国货币政策对美国的溢出效应研究——基于两国开放经济DSGE模型的分析

The Spillover Effects of China’s Monetary Policy on the United States ——An Analysis based on the Two Countries’ Open DSGE Model

本文构建两国开放经济新凯恩斯主义DSGE模型,模型包括家庭、厂商、货币当局三个部门,采用贝叶斯估计方法对模型的动态参数进行估计,货币当局采用两种货币规则,一种是利率规则,另一种是货币供应量规则,分别在两种货币规则的情况下,实证分析中国货币政策对美国的溢出效应,结果表明,两种货币规则下的中国货币政策对美国经济变量的溢出方向都是相同的,但是在溢出大小方面还是有差异的,中国货币供应量增加导致的利率下降对美国利率的溢出明显大于在利率直接下调情况下对美国利率的溢出;中国货币供应量政策平滑性明显不如中国利率政策,中国在利率规则下对通货膨胀、产出、汇率的关注程度远远超过在货币供应量规则下的关注程度。因此,从中国货币政策的国内目标以及国际货币政策协调角度而言,泰勒规则比较适合中国当前的经济状况,能够在实现稳定物价和经济增长国内目标的同时,降低对美国宏观经济变量的冲击。

In recent years,with China becoming one of the world’s major economies,the spillover effect of China’s monetary policy on other countries has become a new topic.The open new Keynesian DSGE model is built to analyze the Chinese monetary spillover effects on the United Sates.The model includes three departments which are family,firm and monetary authority.Bayesian estimation method is used to estimate the dynamic parameters.There are two monetary policy rules used by the monetary authority.One is the interest rate rules.The other is the money supply rule.The results show that the monetary policy of China under the two monetary rules has the same direction of spillover to the economic variables of the United States,but there are still differences in the size of spillover effect.The spillover effect of interest rate reduction in China’s money supply to the United States interest rate is obviously greater than the spillover effect of interest rate directly on interest rate.China’s money supply policy is not as good as the smoothness of the interest rate policy.China pays more attention to inflation,output and exchange rate under the interest rate rules than it does under the rule of money supply.Therefore,from the perspective of China’s domestic objectives of monetary policy and the coordination of international monetary policy,Taylor’s rule is more suitable for China’s current economic situation,and can reduce the impact on US macroeconomic variables while achieving the domestic objectives of stabilizing prices and economic growth.