金融大国货币政策不确定性对资本异常波动的溢出效应——以美国为例

The Spillover Effects of Monetary Policy Uncertainty in Major Financial Powers on Abnormal Capital Fluctuations:Taking the United States as An Example

基于1990—2020年60个国家跨境资本流动的季度数据,研究金融大国美国货币政策不确定性对资本异常波动的溢出效应。研究发现美国货币政策不确定性的加剧将导致其他国家发生资本骤停和回撤概率增大;该结果在控制时间趋势项、更换估计模型、替换被解释变量以及滞后解释变量之后依旧稳健;进一步研究显示,各国与美国的政治关联缓解了美国货币政策不确定性对资本异常波动的不利影响,而与美国的贸易关联则扩大了该影响;异质性分析表明,美国货币政策不确定性对发达经济体以及汇率制度更浮动、资本账户更开放、金融发展水平更高国家的资本异常波动影响更显著。这些研究结论对金融大国兼顾他国利益并提升自身货币政策透明度,其他国家加强国际政策协调、增强应对大国货币政策不确定性溢出的能力具有重要启示意义。

Based on quarterly data of cross-border capital flows from 60 countries between 1990 and 2020、this Paper ex-amines the spillover effects of the USmonetary policy uncertainty on abnormal capital flows.The study finds that increased uncertainty in the US monetary policy leadsto a higher probability of capital sudden stops and withdrawals in other countries.These results remain robust after controlling time trends.changing estimation models,and substituting the dependent and lagged independent variables.Further rescarch shows that political ties between various countres and the US mitigate the ad-verse effects of US monetary policy uncertainty on abnormal capital flows.whereas trade ties with the US amplify these effects.Heterogencity analysis indicates that the impact of US monetary polkcy uncertainty on abnormal capital flows is more significant for developed economies and countries with more flexible exchange rate regimes,more open capital accounts;and higher levels of financial de velopment.These findings have important implications for major financial powers to consider the interests of other countries and enhance the transparency of their monetary polices.Additionally,they highlight the impor-tance for other countries to strengthen international policy coordination and enhanoe their ability to respond to the spillover effects of major powers'monetary policy uncertainty.