美国货币政策对中国系统性金融风险的溢出影响

Spillover Effects of US Monetary Policy on China’s Systemic Financial Risk

文章基于2012—2020年的月度数据和TVP-SV-VAR模型,研究美国货币政策对中国系统性金融风险的影响。研究发现,美国紧缩性货币政策短期内会增加金融风险,后期有助于金融市场稳定;美国宽松性货币政策在短期和长期均会推动金融风险上升。但随着中国金融市场不断完善,宽松性货币政策带来的风险冲击减小,而紧缩性货币政策对中国金融稳定的影响逐渐加强。为减小美国货币政策带来的溢出影响,中国应综合运用多种货币政策工具,保持市场流动性合理充裕;进一步推进“三率”市场化改革,完善跨境融资宏观审慎管理;提高中国出口商品国际市场竞争力,构建以内需为导向的出口生产体系;加强物价波动监测预警,发挥结构性财政政策作用。

Based on monthly data from 2012 to 2020 and TVP-SV-VAR model,this paper studies the impact of US monetary policy on China’s systemic financial risks.The results show that the US tightening monetary policy can increase the financial risk in the short term and contribute to the stability of the financial market in the later period,that the US loose monetary policy will increase financial risks in both the short and long term.However,with the continuous improvement of China’s financial market,the risk impact brought by loose monetary policy is reduced,while the impact of tight monetary policy on China’s financial stability is gradually strengthened.In order to reduce the spillover effects of the US monetary policy,China should make comprehensive use of various monetary policy tools to maintain reasonably abundant market liquidity,further promote market-oriented reform of the“three rates”policy and improve macro-prudential management of cross-border financing,improve the competitiveness of China’s export commodities in the international market to build a domestic demand-oriented export production system,strengthen monitoring and early warning of price fluctuations and give full play to the role of structural fiscal policy.