美聯儲退出量化寬松政策的溢出效應研究[1]

——基于新興經濟體與發達經濟體雙重視角

劉金全 吳克強 劉悅[2]

摘要：本文運用M-F-D和PVAR模型分析了美聯儲退出量化寬松政策對新興經濟體和發達經濟體溢出效應的差異。研究結果表明：美聯儲退出量化寬松和加息政策對新興經濟體溢出效應的強度和持久度明顯高于發達經濟體，且傳導途徑具有顯著差異。就發達經濟體而言，主要是國際資本流動引發資本市場震蕩；就新興經濟體而言，除股票價格波動以外，它們還面臨著出口紅利階段性釋放后的加速緊縮。因此，政府和有關部門應從金融市場和實體經濟兩方面夯實新常態下經濟轉型的基礎，一方面加快亞投行建設，與西方新興經濟體及亞洲發達經濟體形成多邊開放性金融體系，另一方面積極推進“一帶一路”倡議，促進出口多元化，從而降低由單一依賴引致的出口緊縮風險。

關鍵詞：量化寬松 溢出效應 M-F-D模型 PVAR模型

中圖分類號：F11　文獻標識碼：A

The Spillover Effect of FED Exiting QE

—From Dual Perspectives of Emerging Economies and Developed Economies

Liu Jinquan Wu Keqiang Liu Yue

Abstract：We employed M-F-D theoretical model and PVAR model to compare the spillover effect of FED exiting QE on the developed economies and the emerging economies. The results show that：The spillover effect of FED exiting QE on emerging economies are more strong and durable than that on developed economies，and the transmission mechanism have significant differences. As for developed economies，it is that capital outflows made stock losses，while as for emerging economies，besides that，FED raising rates devalued their currencies through exchange rate channel and boost periodical export bonus. Therefore，China should improve both financial markets and real economy，on the one hand，accelerate the construction of the Asian Infrastructure Investment Bank and form the multilateral open financial system with developed economies in western and emerging economies in Asia；On the other hand，pushing the development of “one belt one road” are very important，China need to diversify export away from its single dependence on America.

Keywords：QE Spillover Effect M-F-D Model PVAR Model