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

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

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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