美国四轮量化宽松货币政策对我国跨境资本流动的影响分析
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引用本文:万 淼.美国四轮量化宽松货币政策对我国跨境资本流动的影响分析[J].经济数学,2014,(1):48-55
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作者单位
万 淼 (上海交通大学 安泰经济与管理学院上海 200052) 
中文摘要:本文以2008年1月至2013年3月为样本区间,通过构造VAR模型进行脉冲响应和方差分解分析,研究美国QE1-QE4的实施对于我国跨境资本流动的影响.选取美元增发作为美国QE政策的直接操作变量,人民币汇率、中美利差和大宗商品价格作为美国QE政策的间接影响变量,发现以上变量均对我国跨境资本流动有显著影响,且发挥作用的持续时间均在半年左右,但影响强弱略有不同.其中,价格渠道影响最大,利率次之,汇率较小,美元增发影响最小.因此,我国需要完善价格决定机制,发挥市场作用,引导资本合理流动与配置.
中文关键词:美国量化宽松货币政策  跨境资本流动  VAR模型  脉冲响应  方差分解
 
A Study on the Influence of U.S. Quantitative Easing Monetary Policy on China’s Cross-border Capital Flows〖
Abstract:This paper studied the influence of U.S. quantitative easing monetary policy on China’s cross-border capital flows during the sample interval from January 2008 to March 2013 by constructing a VAR model to make impulse response and variance decomposition analysis. In the variable system, the dollar supply was the policy-representative variable, and exchange rate, interest rate and commodity price were regarded as the indirect influential variable. The research results show that all the explanatory variables are found to have a significant impact on China's cross-border capital flows, and the duration of each channel is about six months. However, the degrees of impact are different. Among them, the price channel has the greatest impact; interest rates follows, exchange rates’ degree is small, dollar supply has the least impact. Therefore, China needs to improve the price determination mechanism, let the market play a decisive role to guide the rational flow of capital and configuration.
keywords:U.S. quantitative easing monetary policy  Cross-border capital flow  VAR  impulse response analysis  variance decomposition
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