中美货币政策分化视角下美国货币政策对中国的溢出效应研究

Spillover Effects of the United States Monetary Policy on China from the Perspective of Sino-US Monetary Policy Divergence

美国为应对高通胀采取紧缩性货币政策,中国为帮助经济从新冠疫情的影响中复苏维持稳健的货币政策,两国货币政策呈分化特征。基于该视角,本文构建一个具有随机波动的时变参数向量自回归模型(TVP-VAR-SV)和中国动态随机一般均衡模型,研究了美国货币政策对中国的溢出效应。研究结果表明:中美货币政策分化的情况下,美国货币政策对中国的溢出效应更加突出;资产组合再平衡渠道是美国货币政策溢出效应的重要途径;资产组合再平衡渠道即中间厂商部门对于复合资本品重新组合的过程,在实现厂商成本最小化的同时,完成了资本在国际间的流动;当中间厂商部门使用外资的占比较小时,美国紧缩性货币政策对中国经济的冲击较大;当中间厂商部门使用外资的占比较大时,美国紧缩性货币政策对中国经济的冲击较小。在区域冲突加剧、中美货币政策分化的背景下,本文对于深入理解美国货币政策冲击对中国宏观经济变量影响的理论机制具有重要作用,对深化金融市场开放具有启发意义。

In response to soaring inflation,the United States has implemented a stringent monetary policy.Meanwhile,to mitigate the economic repercussions of the pandemic,China has adhered to a cautious monetary stance,showcasing a stark divergence in approach between the two nations.Through this lens,this paper delves into the spillover effects of the United States monetary policy on China.Initially,the paper develops a timevarying parameter vector auto regression with stochastic volatility(TVP-VAR-SV)model,revealing that the spllover impact of the United States monetary policy on China is significantly pronounced when there is a divergence in monetary policies between China and the United States.The portfolio re-balancing channel plays a pivotal role in this spillover.The portfolio re-balancing channel refers to the mechanism by which manufacturers of intermediate goods restructure their production to optimize costs and facilitate the international flow of capital.When the reliance on foreign capital by these manufacturers is minimal,the United States tight monetary policy exerts a substantial influence on China's economy.Conversely,when the dependency on foreign capital is substantial,the impact of the United States tight monetary policy on China's economy is diminished.In the context of escalating regional conflicts and diverging monetary policies between China and the United States,this paper serves a crucial role in elucidating the theoretical mechanisms through which the United States monetary policy affects China,also offers valuable theoretical insights to support the further liberalization of financial markets.