美联储量化宽松货币政策正常化与人民币汇率变动——基于时变参数向量自相关模型的研究

2015年后，随着量化宽松货币政策正常化和人民币汇率进入双向波动新常态，美国货币政策对人民币汇率的外溢效应日益显著。通过构建时变参数向量自相关模型对2008-2018年美联储量化宽松货币政策的实施和退出对人民币汇率的溢出效应进行研究，结果表明：美联储加息在滞后一季度作用人民币兑美元先升值后贬值，加息通过中美利差、产出差、货币供给之差分别作用于人民币兑美元贬值、升值和升值，利差渠道是主要作用渠道；美联储资产负债表扩张和缩减分别带来人民币汇率的升值和贬值，且扩张的升值影响大于缩减的贬值影响；美联储资产负债表和利率政策有一定替代性，替代关系存在明显的结构效应；美联储资产负债表的扩张和缩减分别带来中国银行间市场利率的下降和回升，两国利率表现出一定联动性。

Federal Reserve Quantitative Easing Monetary Policy Normalization and RMB Exchange Rate Fluctuation——A Time-Structure Study Based on TVP-VAR Model

After 2015, with the normalization of quantitative easing monetary policy and the new situation of RMB exchange rate fluctuation, the spillover effect of US monetary policy on China’s exchange rate has become increasingly significant. By constructing time-varying parameter vector autoregressive model, the author studies Federal Reserve monetary policy normalization spillover effect on RMB exchange rate from 2008 to 2018. The results show that the interest rate hike has a lagging effect on the appreciation of RMB exchange rate against U.S. dollar in the first quarter and then changes to depreciate. The interest rate acts on RMB exchange rate through the channels of interest rate spread, output gap and money supply gap, which leads to depreciation, appreciation and appreciation respectively and the spread channel is the main channel. The expansion and shrink of the Fed’s balance sheet have a significant impact on the appreciation and depreciation of the RMB exchange rate, and the impact is asymmetric. With the normalization of quantitative easing monetary policy, a certain linkage exists between Chinese interest rates and federal funds rate. The expansion and shrink of the Fed’s balance sheet have brought the interest rates of China’s interbank market down and up respectively.