摘要
基于外部货币政策不确定性冲击视角,分析中国政策的差异化反应经验事实。进一步,在货币政策不确定性经济效应理论刻画的基础上,通过时变动态SV-TVP-FAVAR模型“量化”分析美联储货币政策不确定性对中国经济的冲击影响,重点刻画两轮“稳健”阶段下宏观经济的异质性波动。研究结果表明:不同时期美联储货币政策不确定性与中国经济政策不确定性之间的关联走势存在差异,近年来中国经济政策的独立性有所增长。实证分析发现,美联储货币政策不确定性具有宏观经济负向溢出效应,不同目标的响应特征不同。美联储货币政策不确定性冲击下,中国经济存在两轮“稳健”阶段下的异质性响应特征,本轮“稳健”阶段下宏观经济的抗风险能力有所提升,货币政策一致性、稳定性和连续性作用凸显,经济发展更多依赖于内需驱动。
In recent years,the monetary policy control framework of the Federal Reserve has been adjusted frequently,and the monetary policy operation of the Federal Reserve has a strong spillover effect.The spillover effect of the uncertainty of the monetary policy of the Federal Reserve has become an important factor affecting the expectation and confidence of the capital market and the medium-high growth of China’s macro economy.Therefore,it is of great practical significance to deeply understand the dynamic impact effect of the uncertainty of the Federal Reserve’s monetary policy on China’s economic market and the characteristics of the heterogeneous response of the macro economy.Firstly,the fact of China’s policy differential response is presented from external shock perspective.Further,on the basis of the theoretical characterization of the economic effects of monetary policy uncertainty,the impact of the Federal Reserve’s monetary policy uncertainty on China’s economy is analyzed quantitatively through the time-varying dynamic SV-TVP-FAVAR model,which described importantly two rounds of“prudent”monetary policy control orientation and found to exist heterogeneous impact characteristics of the Federal Reserve’s monetary policy uncertainty on China’s macroeconomic variables.The results show that there are differences in the correlation trend between the monetary policy uncertainty of the US Federal Reserve and the economic policy uncertainty of China in different periods.In recent years,the independence of China’s economic policy has increased,and the government’s ability to deal with external shocks has been significantly enhanced.Further empirical analysis shows that the monetary policy uncertainty of the Federal Reserve has negative macroeconomic spillover effect.Under the impact of the monetary policy uncertainty of the Federal Reserve,China’s economic growth and inflation have the characteristics of shock extreme value and differentiated response cycle.In the two rounds of“prudent”oriented stage of monetary policy,the response characteristics of different targets are different.In the current round of“prudent”stage of monetary policy,the impact effect of the uncertainty of the Federal Reserve’s monetary policy on the macro economy is weaker than that in the last round of“prudent”stage.The empirical analysis confirms the macro representation of the correlation between the uncertainty of the Federal Reserve’s monetary policy and the uncertainty of China’s economic policy,which indicates to a certain extent that in this round of“prudent”monetary policy stage,China’s economy has improved its ability to resist risks,and its economic development relies more on domestic demand to drive.The government should rationally view the negative spillover effect of external monetary policy uncertainty and enhance the consistency,stability and sustainability of domestic monetary policy operations.The spillover effect of the monetary policy uncertainty of the Federal Reserve will be affected by the robustness of China’s monetary policy operations.The orientation of monetary policy control can affect the macro-economy by adjusting the size of monetary liquidity.The government should reasonably judge and release monetary liquidity according to the domestic and international economic situation and domestic economic development needs.The research has important policy implications to alleviate the shock of external policy uncertainty,and promote stable economic development.
作者
刘金全
申瑛琦
张龙
LIU Jinquan;SHEN Yingqi;ZHANG Long(School of Business and Management,Jilin University,Changchun 130012,China)
出处
《统计与信息论坛》
CSSCI
北大核心
2023年第8期78-88,共11页
Journal of Statistics and Information
基金
国家社会科学基金重大项目“健全目标优化、分工合理、高效协同的宏观经济治理体系的理论与实践研究”(21ZDA042)
吉林省教育厅科学研究项目“货币政策调控取向、多重预期与宏观调控跨周期设计研究”(JJKH20220135SK)。
关键词
货币政策
不确定性
溢出效应
异质性响应
政策差异
monetary policy
uncertainty
spillover effect
heterogeneous response
policy difference
