中国货币政策对RCEP成员国的溢出效应——基于GVAR模型的实证分析
Spillover Effects of China's Monetary Policy on RCEP Members:An Em-pirical Analysis Based on GVAR Model
刘权 1韩婷1
作者信息
- 1. 西安外国语大学经济金融学院,陕西西安 710128
- 折叠
摘要
基于2000-2019年的月度数据构建全球向量自回归(GVAR)模型,实证分析中国货币政策对RCEP成员国宏观经济核心目标的溢出效应.研究结果表明:中国货币政策对RCEP成员国宏观经济核心 目标存在显著的溢出效应,但溢出效应具有异质性.在实际GDP的响应上,中国数量型货币政策对绝大部分国家产生了长期的正向溢出效应,而价格型货币政策却产生了长期的负向溢出效应.在通货膨胀率的响应上,价格型货币政策只对东盟产生了长期的溢出效应,而数量型货币政策对韩国和东盟都产生了长期溢出效应,且东盟长期的响应程度比较大.进一步分析发现,国际贸易渠道对中国货币政策外溢具有决定性作用,汇率渠道、利率渠道以及资本市场渠道则起到了辅助性作用.
Abstract
By constructing a global vector autoregression(GVAR)model,the spillover effects of China's mon-etary policy on RCEP members'macroeconomic objectives were analyzed empirically from the perspective of China based on the monthly data from 2000 to 2019.The results show that China's monetary policy has sig-nificant spillover effects on RCEP members,but the spillover effects are heterogeneous.In response to real GDP,China's quantitative monetary policy has long-term positive spillover effects on most members,while the price based monetary policy has long-term negative spillover effects.In terms of the response to the infla-tion rate,the price based monetary policy only has long-term spillover effects on ASEAN,while the quantita-tive monetary policy has long-term spillover effects on South Korea and ASEAN,and ASEAN's long-term re-sponse is relatively active.Further analysis shows that international trade channels play the decisive role in China's monetary policy spillover,while exchange rate channels,interest rate channels and capital market channels play the supporting role.
关键词
货币政策/溢出效应/全球向量自回归模型/RCEPKey words
monetary policy/spillover effects/GVAR model/RCEP引用本文复制引用
出版年
2024
NETL
NSTL
万方数据