摘要
中国经济实力增强,特别是人民币加入特别提款权,意味着中国货币政策的影响力开始具备“国际化”特征。由于已有文献并未考虑时变因素,并且将研究重点置于美国货币政策对中国的影响之上,因此本文拟在中国货币政策影响力开始具备“国际化”这一背景下运用时变参数向量自回归模型分析中国货币政策对美国货币政策的溢出效应,并且得出以下结论:第一,虽然中国货币政策对美国货币政策存在正向的时变效应和时点脉冲,但是这两种变动的影响较弱;第二,中国货币政策主要通过利率渠道、汇率渠道和贸易渠道影响美国的货币政策,三个渠道都会对美国货币政策产生不显著的溢出效应,但是贸易渠道存在着互斥性。
With China’s growing economic power,especially the inclusion of the CNY in the SDR,the influence of China’s monetary policy is beginning to emerge globally.As time-varying factors are not considered in the existing literature,and the research focuses on the influence of the US monetary policy on China,this paper intends to analyze the spillover effect of China’s monetary policy on the US monetary policy with the time-varying parameter vector autoregressive model under the background that the influence of China’s monetary policy is beginning to emerge globally.The following conclusions are drawn.First,although China’s monetary policy has positive time-varying effect and time impulse on the US monetary policy,the influence of these two changes is weak.Secondly,China’s monetary policy mainly influences the US monetary policy through interest rate channel,exchange rate channel and trade channel.All three channels have insignificant spillover effects on the US monetary policy.The trade channels,however,are mutually exclusive.
作者
徐滢
何一
XU Ying;HE Yi(School of Finance, Zhejiang Gongshang University, Hanghou 310018, China)
出处
《财经理论研究》
2022年第3期39-48,共10页
Journal of Finance and Economics Theory
关键词
货币政策溢出效应
时变效应
时点脉冲
monetary policy spillover effect
time-varying effect
time impulse
作者简介
徐滢(1984—),女,浙江余姚人,浙江工商大学金融学院副教授,经济学博士,主要从事货币政策理论与实践方面的研究。
