美联储紧缩性货币政策冲击对中国金融市场的影响及应对——资产价格视角的零利率下限时期与常态化时期比较

The Impact of Federal Reserve’s Tightening Monetary Policy on China’s Financial Market and Its Response:Comparison Between the Period of Zero Lower Bound and the Period of Normalization from the Perspective of Asset Prices

在新发展格局下,金融市场的高质量发展不能忽视外部因素的影响。美联储的货币政策调整会对中国金融市场产生怎样的影响,现有文献的研究还不够充分全面,尤其缺乏对于零利率下限时期与常态化时期的比较分析。本文认为,美联储实施紧缩性货币政策将缩小中美两国利差,促使中国的资本外流加剧,并导致实际利率水平和企业融资成本增加,进而带来资产价格下跌,对中国金融市场产生负面影响。2008年全球金融危机以及2020年新冠疫情之后,美联储不断下调联邦基金利率,使其面临零利率下限约束,此时实施紧缩性货币政策对中国金融市场的影响可能会与常态化时期有所区别。基于2002年1月至2021年7月中国宏观经济和金融98个变量的月度数据,采用Wu-Xia联邦基金影子利率(Wu-Xia Shadow Federal Funds Rate)来度量零利率下限时期的美联储货币政策立场,运用因子扩张型向量自回归模型(FAVAR)从资产价格角度分析美联储紧缩性货币政策冲击对中国金融市场的影响,结果显示:总体上看,美联储紧缩性货币政策冲击会通过利率渠道对中国资产价格产生负面影响,且该负面影响具有时滞性;人民币汇率调整具有补偿效应,即可以通过人民币贬值减轻资本外流的压力,进而削弱美联储紧缩性货币政策冲击对中国资产价格的负面影响;在零利率下限时期,美联储紧缩性货币政策冲击对中国资产价格的负面影响比常态化时期更为显著。相比现有文献,本文主要进行了如下改进和拓展:一是采用Wu-Xia联邦基金影子利率度量零利率下限时期美联储的货币政策立场,避免因采用联邦基金利率而低估其负面影响;二是运用FAVAR模型缓解VAR模型及TVP-VAR模型的遗漏变量偏误问题,并为识别结构冲击提供足够丰富的信息;三是对零利率下限时期与常态化时期进行比较分析,有利于更好地把握美联储货币政策冲击对中国金融市场的时变影响。为更好地应对美联储紧缩性货币政策冲击对中国金融市场和宏观经济造成的负面影响,需要深入分析和把握美联储货币政策动向发生改变的原因和本质,在坚持货币政策“以我为主”的同时,密切关注和警惕美联储紧缩性货币政策冲击可能产生的负面影响,并不断深化人民币汇率改革,保证人民币汇率弹性适度和调整空间充足。

Under the new development pattern,the high-quality development of the financial market cannot ignore the influence of external factors.The existing literature is not comprehensive enough to study the impact of the monetary policy adjustment of the Federal Reserve on China’s financial market,especially the comparative analysis between the zero lower bound period and the normalization period.This paper argues that the tightening monetary policy implemented by the Federal Reserve will narrow the interest rate gap between China and the United States,promote capital outflow from China,and lead to an increase in real interest rates and corporate financing costs,which in turn will bring asset prices down and have a negative impact on China’s financial market.After the global financial crisis in 2008 and the COVID-19 pandemic started in 2020,the Federal Reserve kept cutting the federal funds rate,the Federal Reserve has continuously lowered the federal funds rate,making it face the constraint of the zero lower bound of interest rates.The impact of the tightening monetary policy on China’s financial market may be different from that in the normal period.Based on monthly data of 98 variables in China’s macroeconomics and finance from January 2002 to July 2021,the Wu-Xia Shadow Federal Funds Rate is used to measure the monetary policy stance of the Federal Reserve during the zero lower bound period,and the Factor-Augmented Vector Autoregressive(FAVAR)model is used to analyze the impact of the Federal Reserve’s tightening monetary policy shock on China’s financial market from the perspective of asset prices.The results show that on the whole,the impact of the Federal Reserve’s tightening monetary policy will have a negative impact on China’s asset prices through the interest rate channel,and the negative impact has a time lag;the adjustment of the RMB exchange rate has a compensatory effect,that is,it can reduce the pressure of capital outflow through the devaluation of the RMB,thereby weakening the negative impact of the Federal Reserve’s tightening monetary policy on China’s asset prices;during the zero lower bound period,the impact of the Federal Reserve’s tightening monetary policy on China’s asset prices is more significant than that in the period of normalization.Compared with the existing literature,this paper mainly makes the following improvements and expansions.Firstly,the Wu-Xia Shadow Federal Funds Rate is used to measure the monetary policy stance of the Federal Reserve during the zero lower bound period to avoid underestimating its negative impact due to the adoption of the federal funds rate.Secondly,the FAVAR model is used to alleviate the omitted variable bias of the VAR model and the TVP-VAR model,and provide sufficient information for identifying structural shocks.Thirdly,a comparative analysis between the zero lower bound period and the normalization period is conducive to better grasping the time-varying impact of the Federal Reserve’s monetary policy shock on China’s financial market.In order to better deal with the negative impact of the Federal Reserve’s tightening monetary policy on China’s financial market and macroeconomy,it is necessary to deeply analyze and grasp the reasons and essence of the change in the trend of the Federal Reserve’s monetary policy.While adhering to the principle of“self-centered”monetary policy,we will pay close attention to and be alert to the possible negative impact of the Federal Reserve’s tightening monetary policy,and continue to deepen the reform of the RMB exchange rate to ensure that the RMB exchange rate is appropriately flexible and has sufficient room for adjustment.