美联储退出量化宽松政策的溢出效应研究[1]

——基于新兴经济体与发达经济体双重视角

刘金全 吴克强 刘悦[2]

摘要：本文运用M-F-D和PVAR模型分析了美联储退出量化宽松政策对新兴经济体和发达经济体溢出效应的差异。研究结果表明：美联储退出量化宽松和加息政策对新兴经济体溢出效应的强度和持久度明显高于发达经济体，且传导途径具有显著差异。就发达经济体而言，主要是国际资本流动引发资本市场震荡；就新兴经济体而言，除股票价格波动以外，它们还面临着出口红利阶段性释放后的加速紧缩。因此，政府和有关部门应从金融市场和实体经济两方面夯实新常态下经济转型的基础，一方面加快亚投行建设，与西方新兴经济体及亚洲发达经济体形成多边开放性金融体系，另一方面积极推进“一带一路”倡议，促进出口多元化，从而降低由单一依赖引致的出口紧缩风险。

关键词：量化宽松 溢出效应 M-F-D模型 PVAR模型

中图分类号：F11　文献标识码：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