美联储加息对中国经济的影响效应
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摘要
自2015年以来,美联储连续九次加息,美国的加息对中国产生了较强的溢出效应。以往学者较少关注美国加息对中国的投资、消费与进出口的全面的结构性影响,以及美国加息对中国经济影响的传导路径,因此难以有针对性地提出应对措施与政策建议。本文使用时变参数向量自回归(TVPVAR)模型,检验了美国加息可能存在的通过利率、汇率、股价和物价对中国的投资、消费与进出口的影响效应。研究结论显示:美国加息导致了中国国内投资下降、消费减少、进出口增加,而且中资企业会比外资企业承担更大的压力。相应的政策建议是:央行应向市场适度地定向补给流动性,政府应加大减税降费的力度,继续发挥进出口对于产业和需求结构的拉动作用,同时应警惕西方发达国家可能通过贸易转嫁风险。
Since 2015, the Federal Reserve has raised interest rates nine times in a row, and the increase of interest rates in the United States has had a strong spillover effect on China. Previous scholars paid less attention to the overall structural impact of US interest rate hikes on China's investment, consumption and import and export, as well as the transmission path of US interest rate hikes on China's economy. Therefore, it is difficult to put forward corresponding measures and policy recommendations. This paper uses the Variable Parameter Vector Auto-regressive(TVPVAR) model to test the possible effects of interest rate hikes in the United States on China's investment, consumption and import and export through interest rates, exchange rates, stock prices and prices. The conclusion of the study shows that the increase of interest rate in the United States has led to a decline in domestic investment, a decrease in consumption and an increase in imports and exports in China, and that Chinese-funded enterprises will bear more pressure than foreign-funded enterprises. The corresponding policy suggestions areas follows: The central bank should supply liquidity to the market appropriately, the government should increase tax reduction and fee reduction, continue to promote the pulling effect of import and export on industry and demand structure, and should be alert to the risk that western developed countries may pass on through trade.
Since 2015, the Federal Reserve has raised interest rates nine times in a row, and the increase of interest rates in the United States has had a strong spillover effect on China. Previous scholars paid less attention to the overall structural impact of US interest rate hikes on China's investment, consumption and import and export, as well as the transmission path of US interest rate hikes on China's economy. Therefore, it is difficult to put forward corresponding measures and policy recommendations. This paper uses the Variable Parameter Vector Auto-regressive(TVPVAR) model to test the possible effects of interest rate hikes in the United States on China's investment, consumption and import and export through interest rates, exchange rates, stock prices and prices. The conclusion of the study shows that the increase of interest rate in the United States has led to a decline in domestic investment, a decrease in consumption and an increase in imports and exports in China, and that Chinese-funded enterprises will bear more pressure than foreign-funded enterprises. The corresponding policy suggestions areas follows: The central bank should supply liquidity to the market appropriately, the government should increase tax reduction and fee reduction, continue to promote the pulling effect of import and export on industry and demand structure, and should be alert to the risk that western developed countries may pass on through trade.
引文
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17.Iacoviello M,Navarro G.Foreign Effects of Higher US Interest Rates[J].Journal of International Money and Finance,2018,Available at https://doi.org/10.1016/j.jimonfin.2018.06.012
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19.Li M.Inflation and Economic Growth:Threshold Effects and Transmission Mechanisms[J].Department of Economics,University of Alberta,2006,2(5):8-14.
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21.Musso A,Neri S,Stracca L.Housing,Consumption and Monetary Policy:How Different are the US and the Euro Area?[J].Journal of Banking & Finance,2011,35(11):3019-3041.
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26.Yalta A Y.Effect of Capital Flight on Investment:Evidence from Emerging Markets[J].Emerging Markets Finance & Trade,2010,46(6):40-54.
27.陈建宇,张谊浩.美国“双紧缩货币政策”对中国经济的影响——一个基于SVAR模型的实证检验[J].上海经济研究,2019(3):88-98.
28.傅广敏.美联储加息、人民币汇率与价格波动[J].国际贸易问题,2017(3):131-142.
29.金春雨,张龙.美联储货币政策对中国经济的冲击[J].中国工业经济,2017(1):25-42.
30.龙少波,胡国良,王继源.国际大宗商品价格波动、投资驱动、货币供给与PPI低迷——基于TVP-VAR-SV模型的动态分析[J].国际金融研究,2016(5):3-14.
31.欧阳志刚,潜力.国际因素对中国通货膨胀的非线性传导效应[J].经济研究,2015,50(6):89-102.
32.王冠楠,项卫星.金融摩擦与宏观经济的外部脆弱性——基于美联储加息政策的分析视角[J].国际金融研究,2017(7):13-23.
33.王健.中美股市联动性——基于极大重叠离散小波变换的研究[J].世界经济文汇.2014(2):72-89.
34.杨子荣,徐奇渊,王书朦.中美大国货币政策双向溢出效应比较研究——基于两国DSGE模型[J].国际金融研究,2018(11):14-24.
(1)常见的差分形式有普通差分与对数差分两类。对数差分存在近似运算而且还要除以前项,有可能导致更多的信息损失,而且对数差分主要用于处理收益率,由于本文主要研究美国加息对其他经济变量的影响,不涉及收益率问题,对数差分的方法与论文主题不符,因此我们在论文中使用普通差分来处理数据序列的平稳性。
(2)由于篇幅所限,其他25个模型的估计结果并未在文中展示。经仔细考察,所有MCMC的结果趋势相同,说明抽样结果有效。若有感兴趣的读者,可以邮件索取。
2.Banerjee R,Devereux M B,Lombardo G.Self-oriented Monetary Policy,Global Financial Markets and Excess Volatility of International Capital Flows[J].Journal of International Money and Finance,2016,68:275-297.
3.Barigozzi M,Conti A M,Luciani M.Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?[J].Oxford Bulletin of Economics and Statistics,2014,76(5):693-714.
4.Bhattarai S,Chatterjee A,Park W Y.US Monetary Policy Spillovers[R].Working Paper,2017,Available at SSRN 3011843.
5.Choi W G.Commentary-Monetary Policy ‘Contagion’in the Pacific:A Historical Inquiry[C]//Federal Reserve Bank of San Francisco Asia Economic Policy Conference,November.2015:57-64.
6.Cogley T,Sargent T J.Drifts and Volatilities:Monetary Policies and Outcomes in the Post WWII US[J].Review of Economic Dynamics,2005,8(2):262-302
7.D’Aguanno L.Monetary Policy and Wealth Effects with International Income Transfers[J].Journal of Macroeconomics,2018,57:210-230.
8.Dedola L,Rivolta G,Stracca L.If the Fed Sneezes,Who Catches a Cold?[J].Journal of International Economics,2017,108:S23-S41.
9.Dieppe A,Georgiadis G,Ricci M,et al.ECB-Global:Introducing the ECB's Global Macroeconomic Model for Spillover Analysis[J].Economic Modelling,2018,72:78-98.
10.Feldkircher M,Huber F.The International Transmission of US Shocks-Evidence from Bayesian Global Vector Autoregressions[J].European Economic Review,2016,81:167-188.
11.Fukuda Y,Kimura Y,Sudo N,et al.Cross-country Transmission Effect of the US Monetary Shock under Global Integration[R].Bank of Japan,2013.
12.Gan J.Housing Wealth and Consumption Growth:Evidence from a Large Panel of Households[J].The Review of Financial Studies,2010,23(6):2229-2267.
13.Gourinchas P O.Monetary Policy Transmission in Emerging Markets:An Application to Chile[R].Series on Central Banking,Analysis and Economic Policy,2017,20.
14.Gray C.Responding to A Monetary Superpower:Investigating the Behavioral Spillovers of US Monetary Policy[J].Atlantic Economic Journal,2013,41(2):173-184.
15.Hanisch M,Kempa B.The International Transmission Channels of US Supply and Demand Shocks:Evidence from a Non-stationary Dynamic Factor Model for the G7 Countries[J].The North American Journal of Economics and Finance,2017,42:70-88.
16.Hanisch M.US Monetary Policy and the Euro Area[J].Journal of Banking & Finance,2019,100:77-96.
17.Iacoviello M,Navarro G.Foreign Effects of Higher US Interest Rates[J].Journal of International Money and Finance,2018,Available at https://doi.org/10.1016/j.jimonfin.2018.06.012
18.Kazi I A,Wagan H,Akbar F.The Changing International Transmission of US Monetary Policy Shocks:Is there Evidence of Contagion Effect on OECD Countries[J].Economic Modelling,2013,30:90-116.
19.Li M.Inflation and Economic Growth:Threshold Effects and Transmission Mechanisms[J].Department of Economics,University of Alberta,2006,2(5):8-14.
20.Lin S,Ye H.The International Credit Channel of US Monetary Policy Transmission to Developing Countries:Evidence from Trade Data[J].Journal of Development Economics,2018,133:33-41.
21.Musso A,Neri S,Stracca L.Housing,Consumption and Monetary Policy:How Different are the US and the Euro Area?[J].Journal of Banking & Finance,2011,35(11):3019-3041.
22.Nakajima J.Time-varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R].Institute for Monetary and Economic Studies,Bank of Japan,2011.
23.Neri S,Nobili A.The Transmission of US Monetary Policy to the Euro Area[J].International Finance,2010,13(1):55-78.
24.Primiceri G E.Time Varying Structural Vector Autoregressions and Monetary Policy[J].The Review of Economic Studies,2005,72(3):821-852.
25.Vicondoa A.Monetary News in the United States and Business Cycles in Emerging Economies[J].Journal of International Economics,2019,117:79-90.
26.Yalta A Y.Effect of Capital Flight on Investment:Evidence from Emerging Markets[J].Emerging Markets Finance & Trade,2010,46(6):40-54.
27.陈建宇,张谊浩.美国“双紧缩货币政策”对中国经济的影响——一个基于SVAR模型的实证检验[J].上海经济研究,2019(3):88-98.
28.傅广敏.美联储加息、人民币汇率与价格波动[J].国际贸易问题,2017(3):131-142.
29.金春雨,张龙.美联储货币政策对中国经济的冲击[J].中国工业经济,2017(1):25-42.
30.龙少波,胡国良,王继源.国际大宗商品价格波动、投资驱动、货币供给与PPI低迷——基于TVP-VAR-SV模型的动态分析[J].国际金融研究,2016(5):3-14.
31.欧阳志刚,潜力.国际因素对中国通货膨胀的非线性传导效应[J].经济研究,2015,50(6):89-102.
32.王冠楠,项卫星.金融摩擦与宏观经济的外部脆弱性——基于美联储加息政策的分析视角[J].国际金融研究,2017(7):13-23.
33.王健.中美股市联动性——基于极大重叠离散小波变换的研究[J].世界经济文汇.2014(2):72-89.
34.杨子荣,徐奇渊,王书朦.中美大国货币政策双向溢出效应比较研究——基于两国DSGE模型[J].国际金融研究,2018(11):14-24.
(1)常见的差分形式有普通差分与对数差分两类。对数差分存在近似运算而且还要除以前项,有可能导致更多的信息损失,而且对数差分主要用于处理收益率,由于本文主要研究美国加息对其他经济变量的影响,不涉及收益率问题,对数差分的方法与论文主题不符,因此我们在论文中使用普通差分来处理数据序列的平稳性。
(2)由于篇幅所限,其他25个模型的估计结果并未在文中展示。经仔细考察,所有MCMC的结果趋势相同,说明抽样结果有效。若有感兴趣的读者,可以邮件索取。