《保险研究》20220601-《欧洲央行量化宽松政策对中国宏观经济波动的溢出效应——基于GVAR模型的“双循环”传导机制检验》（梁冰、许文立）

［摘   要］欧洲是中国最大的经济贸易伙伴之一,其政策变动对中国构建新发展格局至关重要。基于此,本文利用GVAR模型分析欧洲央行量化宽松措施对中国宏观经济的溢出效应及其传导机制。结果表明:欧洲央行量化宽松措施对国内大循环的价格水平影响最大；对国内金融市场的影响较大,但主要金融指标对欧洲央行量化宽松措施单位冲击的响应均不超过5%个单位；对外汇市场及通货膨胀预期的影响均不超过0.5%个单位。从国内国际“双循环”的传导效应来看,一方面,欧洲央行量化宽松政策通过欧元区和美国货币市场短期利率、日本商品市场通货膨胀以及英国商品市场产出增速等主要影响中国通货膨胀和资本流动,但对中国宏观经济与金融市场其它领域的影响相对有限。另一方面,中国通货膨胀和资本流动对自身存在相对明显的正向推动作用,且中国跨境资本流动同步影响中国的通货膨胀,是传导欧洲央行量化宽松冲击的主要渠道。因此,中国要进一步夯实国内大循环的主体地位,维护多边经济贸易体系,审慎管理国际资本流动。

［关键词］量化宽松；全球向量自回归模型；溢出效应；“双循环”传导机制

［作者简介］梁冰，复旦大学经济学院博士研究生,现就职于中国银行保险监督管理委员会,研究方向:世界经济、国际金融；许文立(通讯作者),安徽大学经济学院、东北财经大学国民经济工程实验室和Simon Fraser University,特聘研究员,研究方向:中国宏观经济政策、DSGE与计算经济学。

The Spillover Effect of Quantitative Easing Policy of the European Central Bank on China′s Macro Economy:Test of "Double Cycles" Conduction Mechanism Based on GVAR Model

LIANG Bing,XU Wen-li

Abstract：Europe is one of China′s largest economic and trade partners.Therefore,its policy changes are very important for China to build a new development pattern.Based on this,this paper used GVAR model to analyze the spillover effect of ECB quantitative easing on China′s macro economy and the transmission mechanism.The results show that:(1) the quantitative easing measures of the European Central Bank have the greatest impact on the price level of the domestic cycle;(2) it has a great impact on the domestic financial market,but the response of the main financial indicators to the impact of the ECB quantitative easing measures is no more than 5% units;(3) the impact on the foreign exchange market and inflation expectations does not exceed 0.5% units.From the perspective of the transmission effect of domestic and international "double cycles",on the one hand,the quantitative easing policy of the European Central Bank mainly affects China′s inflation and capital flow through the short-term interest rates of the eurozone and the US money market,the inflation of the Japanese commodity market and the output growth of the UK commodity market,but its impact on China′s macro-economy and other fields of the financial market is relatively limited.On the other hand,China′s inflation and capital flows have a relatively obvious positive driving effect on itself,and China′s cross-border capital flows synchronously affect China′s inflation,which is the main channel to transmit the impact of quantitative easing by the European Central Bank.Therefore,China should further consolidate the dominant position of the domestic cycle,safeguard the multilateral economic and trade system and prudently manage international capital flows.

Key words：quantitative easing;Global Vector Autoregressive Model;spillover effect;"double cycles" conduction mechanism