美联储加息的外溢效应与中国对策——基于DSGE模型的分析

构建一个含名义与实际刚性、带金融加速器的开放经济模型,研究美联储加息对中国经济的外溢效应及中国的应对之策。通过贝叶斯估计与数值模拟发现：美联储加息后国内利率将呈“驼峰”状上升,汇率即期大幅贬值,远期小幅升值。汇率贬值使进口需求锐减,出口需求骤增,国内通胀高企。实际利率上升使居民消费产生跨期替代,国内消费持续低迷;企业外部融资成本上升,由于金融加速器效应,国内投资锐减。因此,美联储加息使国内总需求降低,出口需求增加,净产出增加,同时出现一定程度的通货膨胀。进一步的福利绩效分析表明,若货币当局实行单一最优货币规则可有效提高社会福利。基于此,提出货币政策调控与汇率制度改革的相关政策建议。

The spillover effects of the Fed to Raise Interest Rates and Chinese Countermeasures-based on the DSGE model

This paper constructs a model of an open economy with the financial accelerator including nominal and real rigidity to study the spillover effects of the Chinese economy and China's policy response to the Fed's interest rate raise. By Bayesian estimation and numerical simulation, we find that after Fed rate raise, domestic interest rates show a "hump" shaped rising, the spot exchange rate depreciates and the exchange rate appreciates lightly in the long-term. Currency devaluation makes a sharp drop in demand for imports and a surge in exports. Domestic inflation spurs. Real interest rates raise makes consumer generate intertemporal substitution and domestic consumption remains in the doldrums. The corporate external financing costs rise and the domestic investment plummets because of the financial accelerator effect. Thus, after the Federal Reserve raised its interest rates, China's total domestic demand, export demand, net output increased while inflation spurred. Further analysis on the performance benefits shows that if the monetary authority implements single optimal monetary rules, it can greatly improve the social welfare. Based on this, we put forward relevant recommendations of monetary policy and exchange rate regime reform.