中美利差变动对我国金融市场的溢出效应研究——基于不同类型市场的异质性分析

Research on the Spillover Effect of China-US Interest Rate Spread Changes on China’s Financial Market——Base on Heterogeneity Analysis of Different Types of Markets

受美联储政策调整影响,中美利差时隔12年再次出现倒挂,其对我国金融市场的溢出效应已成为研究焦点。本文采用MSIH(2)-VAR(1)模型实证检验了中美利差变动对我国金融市场的溢出效应,并运用事件研究法对比分析两轮中美利差倒挂对我国不同类型金融市场的异质性冲击影响。基于研究结果,本文建议从保持货币政策稳健、完善跨境资本流动审慎监管、深化汇率市场化和金融市场改革等方面完善政策设计,从而为维护金融稳定、防范系统性金融风险提供支撑。

Affected by the Federal Reserve’s monetary policy adjustment,the China-US interest rate spread has been inverted again after 12 years,and its spillover effect on China’s financial market has become a focus of research from all walks of life.Against this background,this paper uses the MSIH(2)-VAR(1)model to test the spillover effect and applies the event study approach to analyse the different impact of the two rounds of China-US interest rate inversions on China’s financial market.Based on this,the paper proposes to improve policy design in terms of maintaining a prudent monetary policy,improving prudential supervision of cross-border capital flows,deepening exchange rate marketization and financial market reform,so as to provide support and guarantee for maintaining China’s financial stability and preventing systemic financial risks.