开放经济条件下零利率下限约束情形的货币政策外溢效应与调控

Spillover Effect of Monetary Policy and Its Regulation under the Zero Lower Bound

零利率在全球有不断蔓延之势,与其相伴而生的问题正深刻影响着经济与金融的稳定,为此构建了开放经济下的动态随机一般均衡模型,并嵌入零利率下限约束条件,以中国与美国货币政策为研究对象,围绕开放经济条件下零利率下限约束情形的国外货币政策外溢冲击与中国的货币政策调控问题开展研究。研究发现:第一,相比较非零利率下限约束情形,零利率下限约束时期的美国货币政策外溢效应减弱,这一结果减轻了对流动性陷阱可能会加剧风险外溢与蔓延至中国的担忧。第二,无论国外主要经济体处于零利率下限约束还是非零下限约束情形,中国的货币政策调控都是对称性的,未受到美国货币政策周期的影响。故此提出中国需密切关注国外政策外溢风险,坚持政策调控定力与自主性,综合运用多种货币政策工具,加强宏观政策协调配合。

The Federal Reserve,the European Central Bank and the Bank of Japan continue to maintain ultra-low benchmark interest rates,keep the purchasing power and scale of assets unchanged,and maintain a high balance sheet scale in the first three quarters of 2021.Emerging economies,including the Brazil,Russia,Turkey,South Africa,Mexico,and India,have also implemented interest rate cuts and have drastically lowered benchmark interest rates to historical lows for many times.In terms of the fluctuation of global interest rate,most countries have entered the interest rate cycle of low interest rate,and some of them have even approached zero interest rate.Accordingly,the issue of zero lower bound(ZLB)brought by this is also continuing to appear,and the theoretical research and practice on the issue of ZLB are under hot discussion.With economic and financial globalization nowadays,the discussion on this topic is no longer limited to the scope of a single country.The issue of ZLB under the open economy seems to attract more attention.The spillover and interference of monetary policies with ZLB from the United States and other economies are important economic and financial risks faced by most countries.However,only few of previous studies explore the related issues,especially those issues on how countries with ZLB affect the monetary policies of countries without ZLB,and how the countries without ZLB respond to the monetary policy shocks of countries with ZLB.This paper constructs an open economy dynamic stochastic general equilibrium(DSGE)model with ZLB,using Markov chain Monte Carlo(MCMC)method to estimate the parameters.Focusing on monetary policies of China and the United States,we conduct the scenarios of monetary policy shocks from countries with ZLB and China’s monetary policy control.We found that:first,compared with the case of non-ZLB,when the United States is at ZLB,the spillover effects of the US monetary policy are smaller,which alleviates our concern that the liquidity trap may exacerbate the spillover effect and contagion to China.Second,no matter the foreign major economies are under ZLB or non-ZLB,China’s monetary policy is symmetrical and not affected by the external policies.We propose some implications.First,China needs to pay close attention to the foreign policy spillover.Second,China’s monetary policy should adhere to taking Chinese side as the dominant factor.Third,China needs to use a variety of monetary tools comprehensively when ZLB binds.Fourth,China should strengthen the coordination of macroeconomic policies.The main contributions of our paper are largely threefold.First,we examine the spillover effect of monetary policy in open economy under ZLB.The second contribution is comparing the spillover effects of tightening and loose monetary policies under ZLB.Finally,this paper studies the impact of monetary policy spillover impact on China under ZLB.The significance of the study is considered to be following two aspects.First,the research fully illustrates such a strategic deployment in the new era,which is paying more attention to study new situations and new problems,and making efforts to improve the predictability,foresight,accuracy,initiative and effectiveness of macro-control policies.Second,it also reflects the policy frame that enhancing judgment and analysis of domestic and international economic situations,strengthening the coordination of international macroeconomic policies and guard against external shocks.