摘要
在当前全球经济波动加大和跨境风险传染蔓延背景下,本文重点研究了疫情、国际金融市场波动、外部产出波动和美国贸易政策不确定性四种外部冲击,对不同周期阶段中国经济的差异化影响。研究发现,当中国经济处于衰退期时,受外部冲击事件影响最大,冲击可以解释经济波动的39.78%;繁荣期次之,影响为29.36%;平稳期影响仅为4.89%。和"非典"疫情相比,新冠肺炎疫情在"开端期"对中国经济负面影响最大,此后负面效应递减,经济在"战疫期"和"控制恢复期"逐渐复苏。在疫情冲击背景下,国内外股市下跌、美元升值、人民币贬值、外部产出上升、贸易政策不确定性上升会放大中国经济遭受的负面冲击,而中国相对宽松的货币政策会刺激经济复苏。进一步实证分析发现,当中国经济处于平稳期和衰退期时,宏观审慎政策对于平抑外部波动的作用较为明显,其中限制贷款价值比的方式效果最好,其他宏观审慎政策工具主要作用于防范国际外汇市场波动对中国经济的冲击。在此基础上,本文提出了有针对性的政策建议。
In the context of increasing global economic volatility and the spread of cross-border risk contagion,this article focuses on the four external shocks including the epidemic,international financial market fluctuations,external output fluctuations,and US trade policy uncertainty,which have different impact on the Chinese economy at different periods of the cycle.This article uses the improved Bezemer&Zhang(2014)method to classify China’s business cycle.Moreover,methods such as VAR,TVP-VAR,and generalized forecast error variance decomposition are used to measure the direction and effect of the impact of external shocks on the Chinese economy.The empirical analysis sample range is from the first quarter of 1992 to the fourth quarter of 2020.The external shock indicators mainly include the MSCI global index,the US dollar index,the benchmark interest rates of major countries in the world,the OECD industrial production index,and the US trade policy uncertainty index.According to the trend of epidemic prevention and control,this article divides SARS and COVID-19 into three stages:initial period,spread period and control-recovery period,analyzing the spillover effects of different stages on China’s economy.The results find that when the Chinese economy is in a recession period,it is most affected by external shock events.The shock can explain 39.78%of economic fluctuations,followed by the boom period with 29.36%of the impact,and the plateau period with 4.89%of impact.Compared with the SARS epidemic,the COVID-19 caused the greatest negative impact on China’s economy in the initial period,and the negative effects diminished since then.The economy is gradually recovered in the spread period and control-recovery period of the epidemic.In the context of the impact of the epidemic,the decline in domestic and foreign stock markets,the appreciation of the US dollar,the depreciation of RMB,the increase in external output,and the increase in trade policy uncertainty will magnify the negative impact on the Chinese economy,and China’s relatively loose monetary policy will stimulate economic recovery.In addition,further empirical findings show that when the Chinese economy is in a period of plateau and recession,the macro-prudential policy has a more obvious effect on suppressing external fluctuations.Among them,the method of restricting the loan-to-value ratio has the best effect.Other macroprudential policy tools are mainly used to prevent the impact of the international foreign exchange market fluctuations on the Chinese economy.To better prevent and suppress various internal and external shock risks and promote the stable recovery of the domestic economy,the following policy recommendations are put forward.The first is that monetary policy should be more flexible and appropriate to play a counter-cyclical control function.The second is to maintain the stable operation of the domestic stock market and reduce the risk of cross-border contagion due to fluctuations in the international stock market.The third is to coordinate the prevention and control of epidemic and the social-economic development,to accelerate the restoration of production and living order under the conditions of normalization of prevention and control.The fourth is to improve the macro-prudential supervision framework to maintain an effective balance between growth and risk prevention.
作者
王有鑫
王祎帆
杨翰方
Wang Youxin;Wang Yifan;Yang Hanfang(Research Institute of Bank of China;Center for Applied Statistics,Renmin University of China;School of Statistics,Renmin University of China)
出处
《国际金融研究》
CSSCI
北大核心
2021年第3期14-26,共13页
Studies of International Finance
基金
国家自然科学基金委员会应急管理项目“汇率市场变化、跨境资本流动与金融风险防范”(71850005)
上海市哲学社会科学规划一般项目“信息化、人力资本结构与比较优势”(2020BJL004)资助
关键词
中国经济周期
外部冲击
疫情
宏观审慎政策
Economic Cycle of China
External Shocks
The Epidemic
Macro-Prudential Policies
