美联储政策变化、国际资本流动与宏观经济波动

本文构建包含国际投资者、外资企业和银行流动性冲击的DSGE模型来探究美联储货币政策变动和政策不确定性对我国宏观经济的影响和作用机制。研究发现:(1) 美联储加息会导致我国产出、投资和通货膨胀的下降、汇率贬值、国际资本外流和银行系统流动性紧张。随着金融摩擦程度的增加和银行杠杆率的上升,美联储加息对我国产出、投资和资产价格的负面影响会进一步增强。(2) 美联储货币政策不确定性的增加会直接导致外资企业的投资、劳动需求和产出的下降,并对我国总产出、总投资和资产价格产生明显的负向外溢效应,进一步加剧我国宏观经济的波动。(3)为应对美联储的利率变动,适当限制国际资本流动能有效稳定我国经济波动和改善社会福利,而实施固定汇率和央行盯住美国利率的政策会加大宏观经济的波动,并导致社会福利下降。

Fed Policy Changes,International Capital Flows,and Macroeconomic Fluctuations

The Fed entered the rate hike cycle in 2015, which had a huge impact on international financial markets, commodity markets and emerging countries, but it gradually withdrew its quantitative easing policy as the U.S. economy recovered. Geopolitical risks have increased in recent years, friction in Sino-U.S. trade has intensified, the international economic situation has continued to deteriorate, and China faces further external uncertainties. Now, in 2020, as the COVID-19 pandemic continues, the Fed has restarted its quantitative easing and the risk and uncertainty of monetary policies have increased significantly. According to the latest IMF forecast, the global economy will shrink by 3% in 2020. Thus, the uncertainty of prospects for global growth and the volatility of the Fed's monetary policy may have adverse impacts on China's real economy and make macro-control more difficult.
A large amount of the literature proves that the Fed's monetary policy adjustment has a significant spillover effect on other countries, which is to a large extent transmitted by international capital flows. However, there is no consensus has on the measures that emerging economies should take to effectively deal with the impacts of foreign monetary shocks. The quality of the measures can depend on the research perspectives, data processing, and model settings in relevant studies. Chinese research mainly focuses on traditional exchange rate, price, and financial friction. In this study, we incorporate international investors, foreign-funded enterprises, and the liquidity shocks and financial frictions of the banking sector into a new Keynesian DSGE model under open conditions, to measure the degree of capital control. The model consists of the six submodels of international investors and family, enterprise, banking, foreign, and government sectors. Monetary policy uncertainty has been found to adversely affect the economy, so we introduce the Fed's monetary policy uncertainty into the model and explore its effects.
Our study makes three main contributions to the literature. First, the research frameworks of Gertler and Karadi (2011) and Radde (2015) are extended to open conditions. A DSGE model that includes international investors, foreign direct investment, bank liquidity shocks, and financial friction is developed, and the impacts and mechanism of the Fed's interest rate hike on China's macro economy is analyzed. Second, we follow Fernández-Villaverde and Rubio-Ramírez (2010) and introduce the stochastic volatility of monetary policy in the U.S. interest rate rules to reflect the uncertainty of monetary policy. We then examine the effects of this uncertainty on China's economy. Third, based on the DSGE model, we use welfare analysis criteria to assess the measures for dealing with the Fed's interest rate hike, and conduct an analysis of the impacts of external adverse shocks.
We generate three main findings. First the Fed's rate hike leads to a decline in China's output, investment, and inflation, and also causes exchange rate depreciation, international capital outflows, and tight liquidity in the banking system. The increase in the degree of financial friction and bank leverage leads to a greater decline in China's output, investment, and asset prices after the Fed's interest rate hike, which then threatens China's macroeconomic stability. Second, restricting international capital flows in response to the Fed's interest rate hike can effectively stabilize China's economy and improve social welfare, and the implementation of a fixed exchange rate and the pegging of China's central bank to U.S. interest rates increases macroeconomic volatility and leads to a decline in social welfare. Third, the increase in the uncertainty of Fed's monetary policy leads directly to a decline in investment, labor demand, and output of foreign-funded enterprises, and also has significant negative spillover effects on China's total output, total investment, and asset prices, which increases the country's macroeconomic fluctuations.
Our results show that turmoil in international financial markets and international trade has adverse impacts on China's economy. Although stabilizing the economy is important in the short term, China should continue to reform its financial market in the long term. In addition, when formulating its interest rate policy, the Chinese central bank should consider China's economic and financial conditions more closely.