美国货币政策溢出效应、中国资产价格波动与资本账户管理

本文以2016年美国加息事件为背景,研究美国货币政策对中国资本流动、资产价格和宏观经济的影响。基于小国开放动态随机一般均衡模型,本文梳理了美国货币政策溢出效应的具体传导渠道,发现国外利率升高后,资本流动具有外部性,导致国内资产价格下跌,其通过金融加速器进一步使国内投资下降、资产价格进一步下跌,从而使得国内资产预期回报进一步下降,加剧资本外流。基于政策和福利分析,本文发现资本账户管理可以有效缓解国外利率冲击对经济波动的影响,同时会提高货币政策的独立性,但也会影响国民财富的最优配置。因此,最优的资本账户管理应同时兼顾宏观审慎和效率两个方面。

Spillover Effects of U.S.Monetary Policy,China's Asset Price Fluctuations and Capital Account Control

A bulk of empirical studies have confirmed the spillover effects of U.S. monetary policy on China and other emerging market countries. The U.S. Federal Reserve resumed its quantitative easing policy in 2020. This resulted in the federal funding rate falling to zero, a dramatic expansion of the Federal Reserve's balance sheet, and a global flood of liquidity. Currently, the U.S. economy is gradually recovering, and inflation is rising.It is therefore expected that the Federal Reserve will soon tighten monetary policy and increase the federal funding rate. This implies that emerging market countries, including China, may once again experience a shortage of liquidity and interest rate hikes, in contrast to the current extremely fluid monetary policy. This raises the following three key questions. What are the spillover effects of U.S. monetary policy on China's economy？ What is the mechanism of such spillover effects？ What policies could stabilize the fluctuations caused by these spillover effects？ This paper aims to answer these questions with reference to the Federal Reserve's interest rate hike in 2016.Based on Davis and Presno(2017),we contruct a small open economy dynamic stochastic general equilibrium model(DSGE)with financial friction and a real estate market.We thereby propose the causative mechanism as follows:The increase in U.S. interest rates generates externalities in the flow of capital, which accelerates the decline of domestic asset prices. This triggers the first feedback channel, which is driven by financial friction, leading to the synergistic decline of domestic investment and asset prices. Thus, the expected return on domestic assets is reduced, which triggers a second feedback channel and further increases capital outflows.In addition,we use welfare analysis to determine the optimal level of capital account control and its effect on the independence of monetary policy. This reveals the optimal level of capital account control should be moderate, as such control has two opposing effects: capital account control can effectively alleviate the influence of foreign interest-rate shocks on economic fluctuations while it can also decrease the efficient allocation of national wealth. The optimal level of capital account control must therefore balance macro-prudence and efficiency. What's more,we find that appropriate policies for capital account control help to enhance the independence of monetary policy.In contrast to previous studies, we simultaneously replicate and explicate, within a unified framework, the characteristics of China's macroeconomy subsequent to the U.S. Federal Reserve's interest rate hike in 2016. We also propose a mechanism for the interaction between the feedback channels of capital flow externalities and financial accelerators, which links the spillover effects of U.S. monetary policy with asset price fluctuations. This confirms that China's real estate market is a key channel via which U.S. monetary shocks affect China's economy.Based on the above findings, we make the following policy recommendations. First, capital account control should be gradually transformed to capital account management. This requires the gradual liberalization of long-term capital account restrictions and the establishment of a regular mechanism for the management of abnormal capital flows. Second, more market-oriented dynamic measures for capital account management should be explored, such as risk reserves, Tobin taxes, and macro-prudential taxes. Third, while the opening of the capital account is gradually and steadily promoted, policies should be developed to increase reform depth and risk prevention. Increasing reform depth requires the marketization of the RMB exchange rate formation mechanism and the opening of the financial market, whereas increasing risk prevention requires the gradual implementation of policy experiments in lower risk fields.