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金融研究  2023, Vol. 517 Issue (7): 1-20    
  本期目录 | 过刊浏览 | 高级检索 |
美联储货币政策紧缩的跨国异质性影响研究
梅冬州, 宋佳馨, 马振宇
中央财经大学国际经济与贸易学院,北京 102206;
首都经济贸易大学金融学院,北京 100070
Cross-country Heterogeneity of the Impact of US Contractionary Monetary Policy
MEI Dongzhou, SONG Jiaxin, MA Zhenyu
School of International Trade and Economics, Central University of Finance and Economics;
School of Finance, Capital University of Economics and Business
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摘要 2022年以来美联储的频繁加息导致全球流动性收紧,引发了各国对美联储货币政策溢出效应的高度关注。本文首先收集整理了包含发达经济体和新兴经济体在内的44个经济体季度数据,使用局部投影法对金融开放程度、金融摩擦程度、资本流动顺周期特征以及汇率制度选择等可能影响美联储货币政策溢出效应的国家特征进行识别。基于识别出的因素,本文进一步构建一个多部门的开放宏观经济模型,对美联储紧缩性货币政策冲击的传导渠道和放大机制进行检验。研究发现,在美联储紧缩性货币政策冲击下,一方面,世界利率的上升会直接导致一国的国内基准利率上升,且上升的幅度与汇率制度选择高度相关,在固定汇率制度下利率上升幅度更高,企业融资成本更高;另一方面,一国面临着资本流出压力,且在金融开放程度更大时资本流出规模更大,在金融摩擦的作用下金融市场中的存贷溢价出现更大幅度的上升。最后这一影响经过金融加速器机制和资本流动顺周期特征的进一步放大,最终导致信贷大规模收缩,投资和产出出现螺旋下滑。
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梅冬州
宋佳馨
马振宇
关键词:  紧缩性货币政策溢出效应  金融开放  跨境资本流动  汇率制度    
Summary:  The US Federal Reserve (Fed) has raised interest rates frequently since 2021, leading to the tightening of global liquidity and more challenges for global macroeconomic stability. This has provoked concerns among academics and policymakers about the spillover effects of US monetary policies. This paper explores the channels through which these contractionary monetary policy spillovers affect other countries' macroeconomics, particularly which factors amplify the impact of the policy during the process of transmission.
This paper first collects quarterly data for 44 advanced and emerging economies and then uses the local projection method to identify factors that may affect the spillover effects of the US contractionary monetary policy. The results show that when a country has greater financial openness, more financial frictions, stronger procyclical capital flows, and uses a fixed exchange rate regime, the negative impact of spillovers from the Fed's contractionary monetary policy on the country's macroeconomy is strengthened, while the impact of trade openness is not significant.
Based on the identified factors, this paper subsequently constructs a multisectoral open macroeconomic model to examine the transmission channel and amplification mechanism of the US contractionary monetary policy shock. The results show that tightening US monetary policy increases interest rates worldwide, which directly leads to increases in the domestic benchmark interest rates in other countries. On the one hand, the rate of increase in interest rates is higher under a fixed exchange rate system, leading to higher financing costs for companies. On the other hand, the increase in US interest rates has put pressure on other countries to manage their capital outflows. The higher the level of financial openness, the larger the scale of capital outflows. Following the impact of financial frictions, deposit and loan premiums in the financial market have increased by a large margin and amplified further through the financial accelerator mechanism and the procyclical characteristics of capital flows. As a result, the availability of credit has greatly shrunk, while investments and outputs have spiraled downward. Therefore, under a higher degree of financial openness and financial frictions, a country may experience stronger negative shocks from US monetary policy changes. In addition, considering procyclical cross-border capital flows, economic downturns may increase the country's sovereign risk premium and amplify the effect of external shocks. Compared a managed floating exchange rate regime, the use of a fixed exchange rate regime alleviates monetary mismatches and increase sovereign premiums in financial intermediation sectors. However, the domestic benchmark interest rate increases more significantly; therefore, the real borrowing costs for enterprises are higher, resulting in a more severe negative impact of the US contractionary monetary policy on credit, investments, and output.
This paper makes three contributions to the literature. First, while there are already abundant empirical studies on the heterogeneity of the impact of the Fed's monetary policy spillovers, few studies have been able to consistently incorporate and examine multiple country characteristics using a local projection model. This paper not only incorporates traditional factors, such as exchange rate system and trade openness, but also discusses various novel factors, such as financial openness, financial frictions, and the procyclicality of capital flows, providing innovative conclusions and empirical support for our theoretical model analysis. Second, current discussions of the US monetary policy transmission channels are mostly based on empirical research. Few theoretical studies discuss the roles of different country characteristics in transmitting economic shocks. This paper further constructs an open economy model with multiple financial frictions based on Bernanke et al. (1999) and Iacoviello (2015). In addition, the paper analyzes the amplification effect of the characteristics of different countries on the transmission of external shocks from the Fed's contractionary monetary policy, which provides a benchmark theoretical framework for further research. Third, some theoretical studies of the exchange rate regime and US monetary policy spillover have focused on the exchange rate trade channel, while others have focused on the financial channels. This paper uses a general equilibrium framework to comprehensively consider how the exchange rate system affects the transmission of Fed policy shocks under the joint effect of these two channels. The results supplement and enrich the relevant research.
Keywords:  Contractionary Monetary Policy Spillover Effects    Financial Openness    Cross-Border Capital Flow    Exchange Rate Regime
JEL分类号:  E32   E44   E52  
基金资助: * 本文感谢国家社会科学基金重大项目(22&ZD131;20&ZD101),国家自然科学基金面上项目(71773149),国家自然科学基金项目(71850005)的资助。感谢匿名审稿人的宝贵意见,文责自负。
通讯作者:  宋佳馨,经济学博士,讲师,首都经济贸易大学金融学院,E-mail:songjx2014@outlook.com.   
作者简介:  梅冬州,经济学博士,教授,中央财经大学国际经济与贸易学院,E-mail:meidongzhoupku@126.com.
马振宇,博士研究生,中央财经大学国际经济与贸易学院,E-mail:mazhenyu_cufe@126.com.
引用本文:    
梅冬州, 宋佳馨, 马振宇. 美联储货币政策紧缩的跨国异质性影响研究[J]. 金融研究, 2023, 517(7): 1-20.
MEI Dongzhou, SONG Jiaxin, MA Zhenyu. Cross-country Heterogeneity of the Impact of US Contractionary Monetary Policy. Journal of Financial Research, 2023, 517(7): 1-20.
链接本文:  
http://www.jryj.org.cn/CN/  或          http://www.jryj.org.cn/CN/Y2023/V517/I7/1
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