摘要
考虑到国际风险具有隐蔽性、蔓延性和跨国别高维特点,本文设计了高维网状溢出矩阵,并考察了国际金融周期的共振传染路径,在此基础上,采用递归动态面板数据模型识别了全球货币政策规则的动态演变规律。研究发现:①近年来国际金融周期共振传染现象愈发明显,美国是全球最大的金融周期净溢出国,其次是西班牙、意大利、日本;中国、俄罗斯、荷兰则是主要吸收国。②在应对国内金融周期波动上,全球中央银行倾向于采取主动治理策略,从长期熨平国内金融风险;对于国际金融周期冲击则采取防御性策略,即通过注入流动性的方式提高经济行为主体抵御外部风险冲击的能力,力求短期内消除外部冲击对国内金融系统的影响。这种政策取向在开放程度较高的经济体中表现更为明显,但开放程度较低的经济体并未对国际金融周期冲击做出显著反应。③从全球开放程度较高经济体看,美国次贷危机后期货币政策盯住经济增长目标的强度明显增强,而盯住国际金融周期冲击的政策取向在美国次贷危机期间迅速从逆周期调控切换为顺周期调控,表现出显著的适时调整特征。最后,本文从国际金融风险及其传染路径的有效识别以及如何增强中央银行货币政策应对国际金融风险冲击的能力的角度提供重要的决策建议。
Considering that international risk has the characteristics of concealment,spreading and transnational high dimension,this paper designs a high-dimensional spillover network matrix and studies the resonant infection path of the international financial cycle.The recursive dynamic panel data model is used to identify the dynamic law of global monetary policy rules.The results show that:①In recent years,the resonance contagion of international financial cycle has become more and more obvious.USA is the largest net spillover country of financial cycle in the world,followed by Spain,Italy and Japan;China,Russia and the Netherlands are the main absorbing countries.②In dealing with domestic financial cycle fluctuations,the global central banks tend to adopt active strategies to iron out domestic financial risks in the long run.Defensive strategies are adopted so as to eliminate the impact of the international financial cycle shocks on the domestic financial system in the short term.This policy orientation is more obvious in the more open economies,but the less open economies do not respond significantly to the impact of the international financial cycle.③From the perspective of highly open economies,the intensity of monetary policy pegging to economic growth objectives increased significantly during the post subprime mortgage crisis,while the policy orientation pegging to the impact of the international financial cycle quickly switched from counter cyclical regulation to pro cyclical regulation during the subprime mortgage crisis,showing significant characteristics of moderate adjustment.Finally,this paper provides policy suggestions for the effective identification of international financial risks and their transmission paths,and how to enhance the central bank’s monetary policy’s ability to deal with the impact of international financial risks.
作者
陈创练
王浩楠
郑挺国
CHEN Chuang-lian;WANG Hao-nan;ZHENG Ting-guo(School of Economics,Jinan University,Guangzhou 510620,China;Southern China Institute of Finance,Jinan University,Guangzhou 510620,China;School of Economics,Xiamen University,Xiamen 361005,China;Wang Yanan Institute for Studies in Economics,Xiamen University,Xiamen 361005,China)
出处
《中国工业经济》
CSSCI
北大核心
2021年第11期5-23,共19页
China Industrial Economics
基金
国家自然科学基金面上项目“基于高维混频大数据的国际风险外溢路径及宏观货币政策动态协调的管理机制研究”(批准号72071094)
国家社会科学基金重点项目“健全目标优化、分工合理、高效协同的宏观经济治理体系研究”(批准号21AZD027)
国家自然科学基金面上项目“基于金融风险周期监测的时变参数货币政策模型系统构建和识别研究”(批准号71771093)。
关键词
高维模型
国际金融周期
共振传染
全球货币政策
high dimensional model
international financial cycle
co-movement contagion
global monetary policy
作者简介
陈创练,暨南大学经济学院、南方高等金融研究院教授,博士生导师,经济学博士;通讯作者:王浩楠,暨南大学经济学院博士研究生,电子邮箱:whn2020@aliyun.com;郑挺国,厦门大学经济学院、王亚南经济研究院教授,博士生导师,经济学博士。
