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美国货币政策是全球宏观经济波动的重要扰动因素之一，这种扰动同时具有隐蔽性和异质性特征，由此使得各经济体货币政策制定面临复杂的协调难题。鉴于此，本文在测算美国货币政策对全球29个经济体溢出效应基础上，构建国际政策协调或非协调模型，同时通过逆推的方式识别在协调或非协调情形下的各经济体货币政策规则，并以此为基础测算各经济体货币政策规则协调与否的福利损失。研究结果表明：第一，美国紧缩货币政策并不能有效降低全球通货膨胀，但却导致部分经济体产出缺口下降和宏观杠杆周期上升；第二，美国货币政策向受其货币政策牵引更大的经济体输出金融风险；第三，当受美国货币政策牵引更大的经济体采取国际货币政策协调时，美国货币政策对该经济体经济周期的负面影响以及货币政策福利损失都得到较大改善。结合各经济体特征可以发现，加强政府对经济体内部的干预能力，增强货币政策独立性可以降低美国货币政策对各经济体的负面效应，并以较低政策成本维护内部宏观经济和金融稳定，这也为各经济体应对外部货币政策冲击的政策制定提供有益的决策参考。
Abstract：The US monetary policy is one of the important disturbance factors of Global macro-economic fluctuations, which is both covert and heterogeneous, and making various economies face the complex problems of how to coordinate with the US monetary policy. Therefore, this paper measures the spillover effects of US monetary policy on 29 global economies based on both international policy coordination model and non-coordination model, and then identifies the monetary policy rules of each economy in coordination or non-coordination situations through backstepping, finally calculates the welfare losses of whether the monetary policy rules of each economy are coordinated or not. The research estimated results show that firstly, the tightening monetary policy in the United States can't effectively reduce the global inflation, but it has led to a decrease in output gaps and an increase in macroeconomic leverage cycles in some economies. Secondly, the US monetary policy infects financial risks to the economies that are more driven by its monetary policy. Thirdly, the loss of monetary policy welfare and the negative impact of US monetary policy on the economic cycle of that economy, which adopts international monetary policy coordination when it is more driven by US monetary policy, are greatly improved. Based on the above conclusions, it can be found that strengthening the government's intervention ability within the economy and enhancing the independence of monetary policy can reduce the negative effects of US monetary policy on each economy, and maintain internal macroeconomic and financial stability at a lower policy cost. This also provides useful decision-making suggestions for each economy to deal with the external monetary policy shocks.
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(1)因篇幅所限，马尔可夫链蒙特卡洛方法以附录A展示，见《统计研究》网站所列附件。下同。
(2)因篇幅所限，29个经济体以附表1展示。
(3)因篇幅所限，货币政策时变网状溢出矩阵以附录B及附表2展示。
(1)国际货币政策溢出网状矩阵可以简洁直观地识别一经济体货币政策对其他经济体的溢出强度，以及一国吸收来自其他经济体货币政策溢出的强度，并进一步识别出主要溢出经济体和主要吸收经济体，从而刻画出整个国际货币政策溢出的网络关系及其动态演变规律。因篇幅所限，国际货币政策溢出网状矩阵以附表3展示。
(2)被牵引程度1经济体包括加拿大、澳大利亚、中国香港、新西兰、意大利、阿根廷、新加坡、巴西。被牵引程度2经济体包括希腊、印度、智利、韩国、西班牙、德国、法国。被牵引程度3经济体包括芬兰、英国、荷兰、丹麦、挪威、日本、泰国。被牵引程度4经济体包括括墨西哥、印度尼西亚、马来西亚、中国、土耳其、俄罗斯、南非。
(1)1996-2000年为第一个加息阶段，基准利率从4.75%上调至6.50%;2001-2003年为第一个降息阶段，基准利率从6.50%下调至1.00%;2004-2006年为第二个加息阶段，基准利率从1.00%上调至5.25%;2007-2014年为第二个降息阶段，基准利率从5.25%下调至0;2015-2018年为第三个加息阶段，基准利率从0上调至2.25%;2019-2021年为第三个降息阶段，基准利率从2.25%下调至0。
(2)因篇幅所限，非协调时不同被牵引程度经济体主要宏观变量对美国货币政策溢出的时变脉冲响应值以附图1展示。
(1)因篇幅所限，协调时不同被牵引程度经济体主要宏观变量对美国货币政策溢出的时变脉冲响应值以附图2、3展示。
(2)因篇幅所限，详细证明以附录C展示。
(1)因篇幅所限，各经济体对美国货币政策溢出的吸收效应以附录D及附图4展示。
(1)因篇幅所限，各经济体产出缺口函数、新凯恩斯菲利普斯函数和宏观杠杆周期函数中时变参数α 2,t、β 2,t、θ 2,t的结果以附录E及附图5展示。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2023.06.002
中图分类号:F113;F821.0
引用信息:
[1]陈创练,王浩楠,单敬群.美联储政策对全球经济的溢出效应与国际货币政策协调机制研究[J].统计研究,2023,40(06):20-35.DOI:10.19343/j.cnki.11-1302/c.2023.06.002.
基金信息:
国家社会科学基金重大项目“防范化解经济金融领域风险的宏观调控治理体系研究”（22ZDA050）
2023-06-25
2023-06-25