美国货币政策溢出对中国债券市场的影响
The Impact of U.S.Monetary Policy Spillovers on China's Bond Market
于静霞 1安真 2李馨怡3
作者信息
- 1. 广西财经学院会计与审计学院,广西南宁 530003
- 2. 东北师范大学经济与管理学院,吉林长春 130117
- 3. 西南财经大学金融学院与中国金融研究院,四川成都 611130
- 折叠
摘要
作为国际货币体系的核心,美国频繁调整货币政策和运用非常规货币政策工具必然会对中国产生政策溢出效应,加之中国债券市场对外开放程度不断提升,美国货币政策溢出对中国债券市场具有显著影响,短期债券受影响程度大于长期债券;溢出效应在经济周期的不同阶段存在非对称性,美联储在经济衰退阶段实施的扩张性刺激政策对中国债券市场的冲击更大;美国货币政策主要通过汇率渠道影响中国债券市场,并且其在2015年后显示出更强的有效性.因此,中国应进一步完善多层次资本市场建设,加快补充创新金融工具,建立股、债、汇及大宗商品市场联动的风险预警与联合干预机制,通过提升经济内生增长动力来降低跨境资本流动风险,掌握对外开放主动权.
Abstract
As the core of the international monetary system,America's frequent adjustment of monetary policies and use of unconventional monetary policy tools will inevitably have policy spillover effects on China.In addition,Chi-na's bond market continues to open to the outside world.Based on the above background,empirical results show that U.S.monetary policy spillovers have a significant impact on China bond market and short-term bonds are more affected than long-term bonds.Spillover effects are asymmetric in different stages of American economic cycle,and the expansionary stimulus policies implemented by the Federal Reserve in the economic recession have a greater impact on China's bond market.U.S.monetary policy mainly affects China's bond market through exchange rate channel,and this channel illustrates stronger effectiveness since 2015.Therefore,China should further improve the construction of multi-level capital markets,accelerate the supplement and innovation of financial instruments,estab-lish a risk early warning and joint intervention mechanism for the linkage of stock,bond,foreign exchange and com-modity markets.We should also reduce the risk of cross-border capital flows by enhancing the endogenous growth momentum of the economy,and seize the initiative of opening up.
关键词
货币政策溢出/联邦公开市场委员会会议/债券市场/事件研究法/经济周期Key words
Monetary Policy Spillover/FOMC Meeting/Bond Market/Event Analysis/Business Cycle引用本文复制引用
基金项目
国家社会科学基金一般项目(20BTJ015)
广西一流学科建设经费资助项目()
出版年
2024
NETL
NSTL
万方数据