非常规货币政策退出的溢出效应分析

• 作者： 吕和威 ¹
• 作者单位：
  1.  中国社会科学院大学经济学院
• 发布时间：2024-09-24

摘要: 随着全球经济从新冠疫情带来的冲击中逐渐复苏，美国等发达经济体逐步退出疫情期间大量使用的非常规货币政策，导致本国的利率上升以及市场流动性收缩。这可能吸引资本回流，对他国金融市场造成冲击。理论层面，基于蒙代尔弗莱明模型通过阐述非常规货币政策溢出效应的传导机制，分析政策退出可能产生的外溢影响。实证方面，文章运用VAR模型分析新冠疫情后美国退出非常规货币政策对我国货币市场、债券市场以及外汇市场的溢出效应。结论：美联储加息会推动我国国债收益率、同业拆借利率上升，汇率贬值；缩表会导致汇率人民币汇率贬值。总体来看，美联储加息对我国金融市场的影响较显著且更为直接，缩表的影响则较小且存在一定的滞后影响。在美联储逐渐退出非常规货币政策过程中，加息对我国金融市场的外溢效应更为显著，应着重采取政策加以防范风险。

Abstract: As the global economy recovers from the impact of the COVID-19 pandemic, developed economies such as the United States gradually withdraw the unconventional monetary policies that were heavily used during the pandemic, resulting in higher interest rates and lower liquidity in their domestic markets. That could attract capital back, affecting other countries’ fi nancial markets. At the theoretical level, based on the Mundell Fleming model, the possible spillover effect of policy withdrawal is analyzed by elaborating the transmission mechanism of the spillover effect of unconventional monetary policies. Empirically, the VAR model is used to analyze the spillover eff ect of the US withdrawal of unconventional monetary policies after the pandemic on China’s bond market, currency market and foreign exchange market. The conclusion is that the interest rate hike of the Federal Reserve will promote the rise of China’s national debt yield and inter-bank lending rate, and the depreciation of the exchange rate; shrinking the balance sheet will lead to the depreciation of the RMB exchange rate. Overall, the Fed’s interest rate hike has a larger and more direct impact on China’s financial market, while the impact of shrinking the balance sheet is smaller and lagging behind. In the process of the Fed’s withdrawal of unconventional monetary policies, the spillover eff ect of interest rate hike on China’s fi nancial market is more signifi cant and should be prevented with corresponding measures.

• 分类： 应用经济学 >> 金融学
• 稿件状态： 已在期刊出版
期刊名称： 《中国商论》 2024年 第17期
• 引用： PSSXiv:202409.01766 (或此版本 PSSXiv:202409.01766V1)
  DOI:10.19699/j.cnki.issn2096-0298.2024.17.122
  CSTR:32012.36.PSSXiv.202409.01766
• 推荐引用方式： 吕和威.非常规货币政策退出的溢出效应分析.中国商论,2024(17).[DOI:10.19699/j.cnki.issn2096-0298.2024.17.122] (点此复制)