美国货币政策溢出效应特征的国际对比研究

International Comparative Study on Characteristics of Spillover Effects of U.S.Monetary Policy

以探究美国货币政策的外溢效应特征为出发点,选取资源进出口国家、持有大量美国外债国家以及与美国合作紧密的发达经济体这三类样本,运用TVP-VAR模型研究美国量化宽松与退出量化宽松政策对不同经济类型国家的溢出效应特征。研究发现:经济结构单一、边际进口倾向与出口乘数偏大的国家在面临货币政策外溢冲击时表现得最为脆弱;外汇储备结构缺乏灵活性、美元资产占比过高的国家也会面临严重的资本缩水风险,而资本管制一定程度上能规避货币政策的利率传导冲击。因此,在后疫情时代中国经济稳步启动的同时也要谨慎防控美国货币政策的输入性风险,更加重视科研创新,努力发展先进生产力,减少对于进口的依赖;完善货币篮子结构,避免以巨额外债和国际热钱作为核心外汇储备,分散外汇储备风险;继续加强资本管制,努力推进人民币汇率市场化改革,提高汇率双向波动弹性。

In order to explore characteristics of spillover effects of U.S.monetary policy,this paper selects three samples:countries that import and export resources,countries with a large number of U.S.foreign debt,and developed economies with close cooperation with U.S.,and uses the TVP-VAR model to study the spillovers effects of policies of quantitative easing and quantitative easing exit in U.S.on countries with different economic types.The main conclusions are as follows:countries with a single economic structure or a large marginal import tendency and export multiplier are the most vulnerable when facing the impact of monetary policy spillovers.Countries with inflexibility foreign exchange reserve structure and high proportion of U.S.dollar assets will be confronted with serious capital shrinkage risk,while capital control can avoid the interest rate transmission impact of monetary policy to a certain extent.Therefore,while China’s economy is starting up smoothly in the post-epidemic era,it is necessary to carefully prevent and control imported risks of the U.S.monetary policy,to pay more attention to scientific research and innovation and strive to develop advanced productivity to reduce dependence on imports,to improve the currency basket structure and avoid huge foreign debt and international hot money as the core of foreign exchange reserves to diversify foreign exchange reserve risks,to continuously reinforce capital controls,strive to promote the marketization of the RMB exchange rate reform and intensify the flexibility of exchange rate fluctuations in both directions.