CAJ | 학술논문

本文通过建立时变参数向量自回归模型，从货币政策产出效应和价格效应两个方面，分析了中关两国利率冲击对产出缺口和通货膨胀率的时变影响动态，以此考察中美两国货币政策外溢效应的时变规律。分析结果表明．中国货币政策短期内对本国产出缺口和价格水平产生了良好的逆风向调控效果．而美国货币政策却并没有产生逆风向的调控效果：中美货币政策的外溢效应存在本质区别且表现出显著的时变特征：中国货币政策对美国产出缺口和通货膨胀率所表现出的“火车头”效应存在逐渐增强的趋势．而近年美国货币政策对中国经济整体上表现为迅速增强的“以邻为壑”效应。这些研究结果为推进中国利率市场化改革、提高货币政策宏观调控的有效性提供了有益的经验参考和政策启示．
본문통과건립시변삼수향량자회귀모형，종화폐정책산출효응화개격효응량개방면，분석료중관량국리솔충격대산출결구화통화팽창솔적시변영향동태，이차고찰중미량국화폐정책외일효응적시변규률。분석결과표명．중국화폐정책단기내대본국산출결구화개격수평산생료량호적역풍향조공효과．이미국화폐정책각병몰유산생역풍향적조공효과：중미화폐정책적외일효응존재본질구별차표현출현저적시변특정：중국화폐정책대미국산출결구화통화팽창솔소표현출적“화차두”효응존재축점증강적추세．이근년미국화폐정책대중국경제정체상표현위신속증강적“이린위학”효응。저사연구결과위추진중국리솔시장화개혁、제고화폐정책굉관조공적유효성제공료유익적경험삼고화정책계시．
This paper employed TVP-VAR model to analyze the impulse dynamics of interest rates to output gaps and inflation in China and the U.S, in order to investigate the time varying characteristics of the spillover effect of China＇s and America＇s monetary policies from the perspective of output effect and price effect. Our results show that China＇ s monetary policy is counter-cyclical to domestic output gap and inflation, while America＇s is not the case. There is an essential difference between the spillover effect of China＇ s and America＇s monetary policies and the effects are significantly timevarying： China＇s monetary policy has increased the trend in the ＂locomotive＂ effect on output gap and inflation rate in the U.S, while America＇s monetary policy rapidly boosts the ＂beggar-thy-neighbor＂ effect on China＇s economy. These results provide the useful experience and policy implications for promoting the reform of interest rate marketization and improving the effectiveness of monetary policy in macro-control in China.