美联储量化宽松政策对全球资产价格的非平衡溢出效应

本文采用全局向量自回归模型分析了美联储QE对采用不同货币政策框架、汇率制度和资本流动管理制度国家和地区的不同影响。“货币政策钉住货币供应量+宽松钉住汇率制度+资本账户可兑换”的国家其货币政策应兼顾本国物价水平稳定，同时加强宏观审慎政策对资产价格的逆周期调节，避免出现实体经济紧缩而金融繁荣的现象。“货币政策钉住通货膨胀+浮动汇率+资本账户可兑换”的国家应强化宏观审慎政策对资产价格的调节以应对金融资产泡沫。

THE IMBALANCE EFFECT OF THE FED'S QUANTITATIVE EASING ON THE GLOBAL FINANCIAL MARKET

Based on Global Vector Auto Regression model (GVAR), this paper gives a deep insight into the imbalance effect of the Fed's quantitative easing (QE) on the global financial market. Further researches show that the effects of the QE on the financial markets indexes of other countries are totally different according to their monetary system, such as the monetary policy, the exchange rate regime and the liberalization of capital account. On the condition of the unconventional monetary policy, other countries should change their monetary system depending on their own circumstances. Those countries with monetary policy focusing on the monetary aggregates, soft pegs regime and basic capital accounts liberation may result in the imbalance development of the real economy and the financial markets. While their monetary policies also pay attention to the inflation, these countries need macro prudential measures to tame financial asset bubbles. Those countries with monetary policy targeting on the inflation, the float exchange rate regime and basic capital accounts liberation will result in financial bubbles. These countries should strengthen macro prudential measures to tame financial asset bubbles.