全球金融周期、美国货币政策与“三元悖论”

全球金融周期存在的背景下“三元悖论”是否依然成立充满争议。本文通过构建包含银行与金融摩擦的两国DSGE模型,为考察全球金融周期的形成提供了理论依据。美国货币政策通过资本流动传导到外围国金融市场,使外围国信贷利率、银行风险承担以及杠杆率与美国银行趋同,形成全球金融周期。金融渠道的传导速度快于实体经济渠道导致外围国国内经济周期与金融周期相背离,外围国想要稳定经济就不得不与美国保持同向的政策利率变化,货币政策独立性将不再存在。随着全球经济一体化进程加速,估值效应的作用越来越明显,浮动汇率制度并不能隔离全球金融周期的影响也无法保证货币政策的独立性。在资本账户开放的情况下,外围国金融市场越不发达,受全球金融周期的影响越大,货币政策越不独立。

The Global Financial Cycle,US Monetary Policy,and the Impossible Trinity

The notion of the Impossible Trinity holds that one country can only fulfill two of the following three conditions: a fixed exchange rate system, the free flow of capital, and independence of monetary policy. However, due to the continuous development of financial globalization, more and more studies have found that US monetary policy can influence peripheral countries' economies through the flow of capital, bank balance sheet, foreign exchange reserves and other channels because of other countries' preference for the dollar. A flexible exchange rate does not ensure the independence of monetary policy. Rey (2013) found increasing global synchronization among capital flows, asset prices, financial leverage, and credit growth. Rgy(2013) defines this synchronization as the “Global Financial Cycle,” which is negatively related to VIX. The Global Financial Cycle has been widely discussed. Many studies acknowledge its existence, and use VIX as the proxy variable to study the relationship between the Global Financial Cycle and the independence of monetary policy. The research methods of these studies are SVAR or panel regression; few discuss the theoretical causes of the Global Financial Cycle. Therefore, this paper constructs a two-country DSGE model including bank and financial frictions to theoretically analyze the causes of the Global Financial Cycle and discuss whether the monetary policies of peripheral countries with flexible exchange rates are independent.A partial equilibrium analysis based on the theoretical derivation finds that the policy interest rate affects the balance sheets and decision-making behavior of banks. As a result, the equity asset ratio, market interest rate, and bank survival rate change with the policy interest rate. Therefore, the cause of the Global Financial Cycle is the synchronization of the policy interest rates of various countries. Through impulse response analysis, it is found that even countries with flexible exchange rates need to change their monetary policy rate in the same direction as the Federal Funds Rate to maintain domestic financial and economic stability.Counterfactual simulation of flexible exchange rate countries with different degrees of capital liberalization shows that the spillover effect of US monetary policy through the Business Cycle is opposite of the spillover effect through the Global Financial Cycle. The impact and transmission speed of the Global Financial Cycle is far greater than that of the Business Cycle. Take the loose monetary policy of the United States as an example. The rapid availability of domestic credit in peripheral countries leads to overinvestment, overcapacity, and oversupply of commodities. The economy shifts from the real to the fictitious, and the real economy declines because of poor return on investment. The real economy is asynchronous with the financial cycle. To deal with this asynchrony, peripheral countries must also loosen monetary policy to restrain capital inflow. The synchronization of monetary policies in different countries leads to the synchronization of financial markets, which is to say the Global Financial Cycle.Further research finds that as international investment increases, the impact of the valuation effect is so large that the exchange rate cannot completely offset the central country's spillover effect. The valuation effect is one reason why a flexible exchange rate country without capital control has no monetary policy independence. The depth of the financial market and the independence of monetary policy are complementary. US monetary policy spillover has a greater impact on countries with less developed financial markets.The conclusions of this study lead to the following suggestions. First, it is necessary to strengthen macro prudential supervision to restrain the excessive risk-taking behavior of financial institutions. Second, moderate capital control is workable, especially when the global financial market is in a boom period.