货币政策溢出效应和国际协调机制研究

基于国际货币政策溢出效应理论，选用2006年11月至2017年7月的月度数据，采用TVP-VAR-SV模型分析美国货币政策变化对中国产出的动态影响，结果表明美国货币政策的变动对中国产出具有显著的溢出效应，该溢出效应在不同滞后期和不同时点上具有较大差异，尤其当美国货币政策发生方向性变动时对中国产出增长的影响非常显著；不同时期美国货币政策的变化对人民币有效汇率和中美贸易差额在影响方向和程度上均存在着较大差异，并且人民币有效汇率和中美贸易差额的变动反过来对中美利差和中国产出增长也存在着时变性影响。

Research on Spillover Effects of Monetary Policy and International Coordination Mechanism

Based on the spillover effect theory of the monetary policy, this paper uses monthly data from November 2006 to July 2017 to analyze the dynamic impact of the changes of US monetary policy on China''s output by TVP-VAR-SV model. The empirical results show that the change of US monetary policy has a significant spillover effect on China''s output, and the spillover effect varies greatly in different lag periods and different points. Especially when the US monetary policy changes in direction, the impact on China''s output growth is very significant. The impact of the changes of the US monetary policy on the effective exchange rate of RMB and the trade balance between China and the United States varies greatly in the direction and extent. Moreover, the change of RMB effective exchange rate and Sino-US trade balance also has time-varying influence on Sino-US interest margin and China''s output growth.