关键词：美国货币政策;对外贸易;中美利差;TVP-VAR-SV

摘 要：基于开放经济的经济周期模型，通过刻画美国货币政策通过中美利差来影响中国宏观经济的作用机制，应用时变参数模型TVP-VAR-SV来实证分析1999年以来美国货币政策变化对中国经济增长、固定资产投资、对外貿易产生的溢出效应。实证结果表明，在历史不同时间节点，美联储的货币政策对中国宏观经济产生的外溢效应存在显著差异：（1）美国货币政策会对中国宏观经济产生显著的冲击，主要是以“以邻为壑”类的负向溢出效应，但随着中美贸易的进一步深化，其负面效应呈现出递减的趋势。（2）在宽松政策的作用下，美国产出增加产生吸收效应，导致美国进口增加，有利于中国出口。（3）在美国实施量化宽松货币政策的过程中，中国出口在此期间遭受了由负至正的冲击效应。美国利率下降，造成美元贬值诱发资本流入中国，但随后美国对外出口量的增加也会相应地提高其对中国的进口量。

中图分类号：F831.0文献标志码：A文章编号：1001-2435（2021）03-0136-09

Time-Varying Impacts of U.S. Interest Rate Adjustments on Chinas Foreign Trade and GDP from the Perspective of China-Us Interest Rate Differential Channel

XU Can1，2 （1.China Center for Special Economic Zone Research，Shenzhen University;Shenzhen Guangdong 518061，China;2.Shenzhen Institute of Eco- nomics and Management，Shenzhen Guangdong 518034，China）

Key words：U.S. monetary policy;trade;China-us interest rate differential;TVP-VAR-SV

Abstract：Based on an open economy economic cycle model to characterize the mechanism of U.S. monetary policy affecting Chinas macro economy through the Sino-U.S. interest rate differential，this paper applies the time-varying parametric model TVP-VAR-SV to empirically analyze the spillover effects of U.S. monetary policy changes on Chinas economic growth，fixed asset investment，and foreign trade since 1999. The empirical results show that there are significant differences in the spillover effects of the FRBs monetary policy on Chinas macro economy at different time points in history： （1） U.S. monetary policy has a significant impact on Chinas macro economy，mainly in the form of negative spillover effects of the “beggar-thy-neighbor” type，but with the further deepening of U.S.-China trade，the negative effects show a decreasing trend. However，as the trade between China and the United States deepens，the negative effects show a diminishing trend. （2）Under the effect of loose policies，the increase of US output generates income absorbtion effect，which increase US imports and is conductive to China's exports.（3） In the process of implementing quantitative easing monetary policy in the U.S.，Chinese exports suffered from negative to positive shock effects during this period. The decline in U.S. interest rates causes a depreciation of the dollar and capital flows to China ，but the subsequent increase in U.S. foreign exports also raises the volume of imports to China.

一、引言和文献综述

在世界各国经济一体化程度日益加深的大背景下，当今美国仍然主导全球经济动态调整，对新兴经济体的金融市场、出口贸易、投资发展以及货币政策等方面有显著影响。如今我国的金融市场、资本市场以及宏观经济运行与国际经济的融合度都在不断提升[14]，国际资本跨境流动和进出口贸易加速发展，导致美国的货币政策（利率水平）对我国经济发展的溢出影响愈发明显。……