欧洲央行结构性货币政策冲击与中国宏观经济非线性波动

Structural Monetary Policy Shocks of the ECB and Non-Linear Fluctuation of China’s Macro-Economy

随着欧盟成为中国的最大贸易经济体,欧洲央行的货币政策必然会对中国经济产生不可避免的溢出效应。基于此,文章构建了因子增广的非线性计量经济模型,并基于该模型从货币政策结构性变化的角度探索了欧洲央行行为决策对中国宏观经济的溢出效应。研究发现,从影响时期来看,欧洲央行短期数量型和长期数量型货币政策在经济高涨时期都对中国宏观经济影响较大,在经济萧条时期都对中国宏观经济影响较小,而在经济平稳时期影响适中;欧洲央行短期价格型和长期价格型货币政策在经济萧条时期对中国宏观经济影响较大,在经济高涨时期影响较大,而在经济平稳时期影响适中。从影响目标来看,欧洲央行短期数量型和长期数量型货币政策都对中国产出影响较大,对中国通货膨胀影响较小;欧洲央行短期价格型和长期价格型货币政策都对中国通货膨胀影响较大,对中国产出影响较小;中国就业水平对欧洲央行数量型和价格型货币政策都不敏感。文章建议中国央行采取稳健偏紧缩的价格型货币政策以应对未来一段时间欧洲央行加息行为对中国价格体系的不利冲击。

As the EU becomes China’s largest trading economy,the ECB’s monetary policy will inevitably have spillover effects on China’s economy. This paper constructs a non-linear econometric model of factor enlargement,and explores the spillover effect of ECB’ s behavior decision on China’s macro-economy from the perspective of structural change of monetary policy. It is found that,the first,from the perspective of the impact period,the short-term quantitative and long-term quantitative monetary policies of the European Central Bank have a large impact on China’s macro-economy in the period of economic upsurge,a small impact in the period of economic depression,and a moderate impact in the period of economic stability. Both the short-term and long-term price monetary policies of the European Central Bank have a great impact on China’s macro-economy in the period of economic depression. The influence range is larger in the period of economic upsurge and moderate in the period of economic stability. The second,from the perspective of impact objectives,the short-term quantitative and long-term quantitative monetary policies of the European Central Bank have a greater impact on China’s output and a smaller impact on China’s inflation. The short-term and longterm price monetary policies of the European Central Bank have a greater impact on China’s inflation and a smaller impact on China’s output. The employment level of China have no sensitive impact from the both quantitative and price monetary policies of the European Central Bank. Finally,it is suggested that the Central Bank of China should adopt a stable and little tight price monetary policy to deal with the adverse impact of the ECB’s interest rate increase on China’s price system in the future.