全球视角下中国经济的国际联系

阅读量：

87

作者：

崔芮

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摘要：

本文运用GVAR(GlobalVectorAutoregressive)模型,在一个全球的视角下,分析中国经济与其他经济体之间的联系和影响.GVAR模型的特点是,它利用各国间的贸易权重把各国的单独模型连接了起来,形成了一个真正的全球模型,并可以利用该模型来分析经济冲击经过国际间的传导过程后对各国家或地区经济的影响.本文使用1979Q2到2011Q2的各国季度数据,选取实际GDP,通货膨胀率,股票价格,实际汇率,短期利率和长期利率这六个主要宏观变量,建立并估计了一个包括26个国家或地区的GVAR模型,其中的欧元区是由8个国家组成并作为一个整体考虑的. 在脉冲响应函数分析方面,为了避免变量和国家排序的不同会造成的脉冲响应结果不唯一,本文采用广义脉冲响应函数(GIRF)的方法,对一些具体变量的冲击,包括石油价格冲击,美国实际GDP冲击,美国股票价格冲击,中国实际GDP冲击,中国短期利率冲击等,进行基于再抽样方法(Bootstrap)上的估计.从广义脉冲响应函数的结果中可以看出这些冲击在国际间的传导动态.除了对具体变量冲击的分析外,本文还在GVAR模型框架下考虑了结构冲击,用正交化脉冲响应函数方法,识别出了结构化的美国货币政策冲击,并分析其对中国经济变量以及其他一些主要经济体的影响.This paper uses a GVAR (Global Vector Autoregressive) model to investigate the connection and interaction between China's economy and other economies in a global perspective. The GVAR approach enables us to gauge the effect of a particular economic shock on different countries, due to the GVAR model connects individual country models with each other through trade weights. Using the quarterly data from 1979Q2 to 2011Q2, this paper builds and estimates a GVAR model. This model contains 26 regions in which the euro area is comprised of eight countries and is treated as a single economy. Macroeconomic variables included are real GDP, the rate of inflation, real equity price, the real exchange rate, the short-term rate of interest and the long-term rate of interest. As to the impulse response function analysis, in order to get the unique result of impulse response function, this paper uses generalized impulse response function (GIRF), which allows us pay no attention to the ordering of the variables and the countries. Based our analysis of impulse response on the bootstrap method, we gauge the effects of shock to oil price, shock to US real GDP, shock to US real equity price, shock to China's GDP, shock to China's short-term rate of interest, etc. The results of GIRF reveal the transmission dynamics of these shocks between different countries. In addition to generalized impulse response analysis, this paper also considers structural shock in the GVAR model. Using orthogonalized impulse response function, we identify the structured shock to US monetary policy and analyze its effect on China's economy and other major economies

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年份：

2013