货币政策与汇率政策有效协调机制 ——基于金融周期视角的研究

基于马尔科夫区制转移模型，在刻画全球金融周期特征的基础上，构建包含调节效应的面板模型,对货币政策与汇率政策有效协调机制进行实证分析。结果表明：全球金融周期处于高波动率区制，即市场风险厌恶水平较高时，资本流动水平较低，浮动汇率政策能够有效缓解资本流动对货币政策独立性的影响；反之，浮动汇率政策调节效果减弱。因此在推进金融开放与人民币汇率市场化改革的进程中，要充分关注全球金融周期波动状况。

Research on Coordination Mechanism of Monetary Policy and Exchange Rate Policy Based on the Perspective of Financial Cycle

A Markov switch model is employed to analyze the characteristics of global financial cycle and a panel data model is built with moderating effect to conduct the econometric tests of coordination mechanism of monetary policy and exchange rate policy. Empirical result shows that when the global financial cycle is in the high volatility regime, the degree of market risk-aversion soars and the level of corresponding capital flow is low, there is a more obvious effect on alleviating the negative impact of capital flow on monetary policy independence of exchange rate fluctuation policy; while in the opposite situation, the effect of exchange rate fluctuation on alleviating the negative impact of capital flow on monetary policy independence is weakened. Therefore, in the process of financial opening and marketization of RMB exchange rate, there is a need to fully consider the influence of financial cycle.