美国紧缩性货币政策冲击对中国宏观经济的影响——基于符号约束SVAR模型的研究

Impact of US Tight Monetary Policy on China's Macro Economy:A Study Based on Symbolic Constraint SVAR Model

随着改革开放步入40年,中国的对外开放程度不断加深,中国与全球经济的联系也越发密切。尤其在近年美国持续性加息的国际经济大环境下,中国受到来自美国等主要国际经济体的货币政策冲击的影响也越发强烈。通过构建基于符号约束的SVAR模型,克服传统VAR模型和基于递归假设的SVAR模型可能存在的混合识别、约束条件过强、价格之谜和变量排序等问题,就美国紧缩性货币政策冲击对中国宏观经济的影响进行了研究。采用2001年1月至2017年12月的月度数据进行实证检验,结果表明,来自美国的紧缩性货币政策冲击会导致中国实际GDP下降、中国对美国的出口和总出口先降后升,以及人民币对美元贬值。从贸易渠道、汇率渠道和金融渠道对实证结果进行了分析;并针对在当前和未来可预见的美国持续性加息期内,中国宏观经济可能面临的冲击以及中国可采取的应对措施给出了相关政策建议。

Through 40 years of Reform and Opening-up,China is getting more open and closely linked with global economy.Especially,in the international economic environment in which the United States continues to raise interest rates in recent years,China has been increasingly impacted by monetary policies of major world economies such as the US.By constructing a SVAR model based on symbolic constraints,this paper studies the impact of the US tight monetary policy on China’s macro economy,aiming to overcome the problems of hybrid identification,over-constrained conditions,price puzzles and variable ordering in the traditional VAR model and SVAR model built on recursive hypothesis.An empirical examination of the data from January 2001 to December 2017 shows that the US tight monetary policies have three impacts:China’s real GDP declined;China’s exports to the United States and its total export to the world decreased first and then increased;and RMB depreciated against the US dollar.By analyzing the empirical results from channels of trade,exchange rate and finance,it puts forward suggestions for handling the shock that China’s macro economy may face and the measures China can adopt against US continuous interest rate increase currently and in the foreseeable future.