摘要
本文首先对比分析了美联储应对两轮危机(2008年金融危机和2020年新冠疫情危机)时的货币政策特点,其次以此为背景对全球流动性进行量化,然后结合定性分析和定量分析(构建TVP-SV-VAR模型)研究美联储货币政策及全球流动性变化对我国的溢出影响。研究发现,发达经济体货币政策变化对我国跨境资本流动有显著溢出影响,且政策收紧阶段比扩张阶段对我国跨境资本流动的冲击影响更大。但这种溢出影响具有一定的时滞效应,良好的国内经济基本面和适当的外汇管理措施可以有效降低跨境资本波动性风险。
This paper firstly compares and analyzes the monetary policy characteristics of the Federal Reserve in response to two rounds of crises(the 2008 financial crisis and the 2020 COVID-19 crisis),quantifies global liquidity based on this background,and then combines qualitative analysis and quantitative analysis(constructing TVP-SV-VAR model)to study the spillover effects of Fed monetary policy and changes in global liquidity on China.The study finds that changes in monetary policy in developed economies have significant spillover effects on China's cross-border capital flows,and the policy tightening stage has a greater impact on China's cross-border capital flows than the expansion stage.However,this spillover effect has a certain time lag effect,and sound domestic economic fundamentals and appropriate foreign exchange management measures can effectively reduce the risk of cross-border capital volatility.
作者
邰金怡
吴涛
Tai Jinyi;Wu Tao
出处
《西南金融》
北大核心
2022年第5期67-79,共13页
Southwest Finance
关键词
美联储货币政策
跨境资本流动
加息
降息
缩表
量化宽松
新冠肺炎疫情
金融危机
Federal Reserve monetary policy
cross-border capital flow
interest rate hike
interest rate cut
shrink the balance sheet
quantitative easing
COVID-19 epidemic
financial crisis
作者简介
邰金怡,女,硕士,供职于中国人民银行武汉分行,研究方向:国际收支数理统计;吴涛,男,硕士,高级经济师,供职于中国人民银行武汉分行,研究方向:国际收支及宏观经济分析。
