摘 要

硕 士 学 位 论 文

美国量化宽松货币政策对中国经济的影响

——基于SVAR模型的实证研究

The Effects of Quantitative Easing Monetary Policy on China’s Economy——An Analytical Study Based on the

SVAR Method

指导教师姓名： 教授

专 业 名 称： 世 界 经 济 论文提交日期： 论文答辩时间： 学位授予日期：

答辩委员会主席： 评 阅 人：

2015年3月

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摘 要

2008年美国次贷危机爆发，进而引发了全球金融海啸，世界经济面临着再次陷入衰退的可能。鉴于此，各发达经济体央行纷纷下调名义利率直至零利率下界，传统货币政策失效，因此量化宽松货币政策成为以美联储为代表的各国央行不得不采用的非常规货币政策工具，以期达到遏制危机、复苏经济的作用。大范围的、持续的量化宽松政策已然成为当今世界经济运行的重要特征，然而也为全球经济带来了诸多风险。美国在国际上超级大国的地位、美元作为最重要的结算货币，其推行的量化宽松货币政策将会对新兴市场经济体，特别是中国带来哪些影响呢？这是本文试图讨论的问题。本文通过构造结构向量自回归（SVAR）模型，研究了美国量化宽松货币政策对中国产出水平、通货膨胀水平、货币供给量（M2）及短期利率水平等经济变量的影响，为中国更好应对由全球性量化宽松带来的新局面和新挑战提供了重要的参考依据，因此具有较强的理论和现实意义。

本文的研究框架如下：首先，本文介绍并梳理了国内外与量化宽松货币政策相关的研究文献，以及货币政策国际溢出效应及其传导渠道的理论；在此基础上，本文介绍了美国量化宽松货币政策的操作历程及其采用的主要政策工具；然后，本文构造了SVAR模型，并利用脉冲响应图和方差分解图，对美国量化宽松货币政策对中国各经济变量的影响做了实证分析，研究结果表明：美国量化宽松货币政策的确对中国的产出水平、通货膨胀水平和货币供给量产生了正的溢出效应，而对中国的短期利率水平则具有负的溢出效应，且这一溢出效应并非主要原因；最后，本文在研究结论的基础上对中国在经济政策应对方面提出了合理建议。

本文的创新之处在于：一是在传统货币政策传导机制受损的前提下，对量化宽松货币政策的传导机制进行了梳理；二是对以往文献中的实证方法做了合理的修正和改进：将样本期限定在2008年以后，为美国量化宽松货币政策选用了合理的代理变量。

关键词：量化宽松；溢出效应；SVAR模型

美国量化宽松货币政策对中国经济的影响——基于SVAR模型的实证分析

Abstract

Since Subprime Mortgage Crisis burst out in the United States in 2008, which then turned out to be a global financial crisis, almost all the economies around the world have been in the situation of a probable economic recession. In order to stop the spread of the crisis and bring the economy to recovery, some advanced countries including the United States reduced short-term interest rate until it reached to zero lower bound(ZLB), which means that the traditional monetary policy has tried its best and cannot go further. That is when many central banks in advanced economies, like the Federal Reserve of the United States, embarked on unconventional monetary policy, or Quantitative Easing Monetary Policy (QEMP). Given the globally interconnected markets in which the crisis unfolded, it is reasonable that the unprecedented policy reaction to the crisis may also have large international spillovers to the countries that didn’t adopt such programs. US being the most powerful country and U.S. dollar the most popular used currency in the world, what effects will the U.S. QE bring to China, the largest country among the emerging market economies (EMEs)? That is the question this paper wants to discuss. This paper assesses the possible effects of the U.S. QEMP on China’s economy, including the impact on China’s output, inflation level, M2 and short-term interest rate, in a structural vector autoregression (SVAR) framework, which helps provide important references for China to better handle with the new challenges posed by a global trend of QE. Therefore, it has strong theoretical and practical significance.

This paper’s research framework is as follows: First, it introduces the research background of QEMP by other researchers both from home and abroad and analyzed related theories on the international spillover effects of monetary policy as well as its conduction mechanism. Then, it introduces what actually has been done by the United

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Abstract

States during its QE operations. Finally, it constructs an SVAR model to analyze the concrete impact the U.S. QE has on China’s economy, taking advantage of impulse response graph and variance decomposition diagram. The results showed that the U.S. QE actually has had positive impact on China’s output, inflation rate, M2, and negative impact on short-term interest rate. However, the U.S. QE is not the main cause of China’s economic problem, which needs to be paid attention to. Based on the conclusion drew by the empirical analysis, this paper offers reasonable policy recommendations.

The innovations of this paper are: firstly, it analyses how QE takes effect and affect other economies when the conduct channels of traditional monetary policy are out of work because of the crisis; secondly, it uses adjusted SVAR model by limiting the sample period to 2008-2014 in order to omit the influence of the crisis, and making use of a better index as a proxy variable of the U.S. QE, instead of non-borrowed reserve or federal funding rate.

Keywords: Quantitative Easing; Spillover Effect; SVAR Model

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