美元体系中的外汇噪声交易与货币政策非对称传导

Foreign Exchange Noise Trading and Asymmetric Transmission of Monetary Policy in Dollar System

通过构建一个包含贸易品美元定价特征的两国DSGE模型,借助噪声交易理论刻画外汇市场非理性预期,在贝叶斯参数估计基础上探讨中美货币冲击的国际溢出渠道及其福利效应。研究发现:两国货币冲击溢出渠道具有很强的不对称性,中国货币紧缩冲击主要表现出对美国经济的正向溢出效应,而美国货币冲击对中国消费与投资都具有显著的负面影响;外汇噪声交易在增强中国货币冲击对美国经济正向溢出效果的同时,也加剧了美国货币冲击导致的中国产出衰退;人民币国际化水平的提高有助于削弱外部冲击对本国经济的不利影响,增强货币政策独立性。因此,中国货币政策调控应更多地立足国内经济发展需求,减少对美国货币政策的跟随性。从社会福利视角看,在推进人民币国际化进程中应重视构建货币国际化的收益分配机制,避免出口企业享受红利而消费者承担经济波动风险与福利成本。

With the help of noise trading theory,this paper constructs a two-country DSGE model with the dollar pricing characteristics of tradables,depicts a irrational expectation of foreign exchange market,and explores into international spillovers and welfare effects of monetary shocks in China and the United States on the basis of Bayesian parameter estimation.The paper reveals that spillover channels of monetary shocks in the two countries are highly asymmetric.Tightened monetary policy of China results in positive spillovers on the U.S.economy,however,the U.S.monetary shock has a significant negative impact on China’s consumption and investment.Foreign exchange noise trading not only enhances the positive spillover effect of China’s monetary shock on the U.S.economy,but also intensifies the decline of China’s output induced by U.S.monetary shock.The progressing of RMB internationalization helps to weaken adverse impact of external shocks on domestic economy and strengthen the independence of monetary authority.Therefore,China’s monetary policy regulation should focus more on domestic economic development and reduce the following of the U.S.monetary policy.Social welfare analysis indicates that the interest distribution of currency internationalization should be paid attention to during the process of promoting RMB internationalization,so as to avoid export enterprises enjoying dividends but consumers bearing risk of economic fluctuation and welfare costs.