| The financial turmoil,the global economic recession and the practices of "rescuing the market" caused by the subprime crisis in the United States in 2008 show that,although the core developed economies,small developed economies and emerging market economies have different real business cycles,the economic and financial performances of the major economies have displayed high correlation,which is called "Global Financial Cycles".The root cause of the global financial cycle is the Monetary Spillover.Over the past 10 years,the highly correlated global economy,driven by liquidity management of developed economies and its spillover effects,has had some positive impacts and may have serious side effects.Hence,is the spillover effect of liquidity management in major economies positive or negative for China's economy?Is it short-term or long-term?Is it holistic or local?These important issues have not yet been fully demonstrated.The liquidity spillover risk is one of the major issues that Chinese scholars and policy authorities must consider in the critical period of China's economic restructuring,and in the context of the highly uncertain economic situation,policy position and political trend of major economies and regions in the worldIn order to answer these questions,this dissertation takes "the spillover effect of liquidity management of major economies on China's economy" as the topic,and tries to systematically study the spillover effect of liquidity management of major economies on China's economy from three aspects:macro-economy,industrial activities and financial markets.Firstly,this dissertation reviews the literatures on transmission mechanisms of the international spillover of liquidity management,empirical evidences and the international spillover impact of liquidity management of major economies on China.Secondly,it investigates three major financial crises since 1990s(the dot-com bubble crisis,the US subprime crisis,and the European sovereign debt crisis),and liquidity management of the major economies before and after crises.Then,a GPM-4 model including the four major economies,the United States,the euro zone,Japan and China,is constructed to analyze the impact of the three liquidity management methods on nine key macroeconomic variables in China.Then,using a FAVAR model,this dissertation studies the spillover effects of liquidity in G7 economies on six major industrial activities,namely,industry,agriculture,real estate,consumer goods retail,foreign trade and foreign direct investment,and the transmission mechanism of liquidity spillover effects in various industries.Lastly,using a GVAR model,the spillover effect of liquidity management of major economies on China's financial market is discussed by means of generalized impulse response analysis and counterfactual analysis.The main results are as follows.First,liquidity change is an important factor in shaping the trend of global economy and finance.Liquidity management in major economies has shifted frequently,with abundant means and large scale,which makes it both significant and difficult to study the spillover effect of liquidity management in major economies on China's economic.Secondly,while the liquidity management of major economies has a certain impact on major macroeconomic variables of China,it is not the dominant factor.Different types of liquidity shocks have different impact mechanisms and different effects on China's macro-economy.Among them,the instantaneous effect of currency shocks is the strongest,the long-term contribution of credit conditions and benchmark interest rate shocks to China's macro-economic fluctuations is greater,and the liquidity management in the US has the greatest impact on China's macro-economy,followed by the euro zone,and Japan has the smallest impact.The impact of liquidity shocks on China's macroeconomic variables is mainly reflected in the short term,and is basically fully absorbed after 20 quarters.Thirdly,the liquidity management of major economies has significant spillover effects on China's major industrial activities.In the short term,the expansion effect is dominant,but some industries show certain lag and repetition.The impact of instantaneous shocks on China's major industrial activities reaches a stable state in about 6 months after shocks.In the long run,the liquidity shock has certain explanatory power to the forecast error of industrial activity variables in China,but it does not play a dominant role.The transmission mechanism of the impact of liquidity shocks on large industrial sectors generally follows the process of transmission from the prices of initial products and production activities to the price of final products and production activities,but it divides in sub-industries.Fourthly,the liquidity management of major economies has produced a significant spillover effect on China's financial markets.The instantaneous impact and long-term contribution of different economies and liquidity management modes on China's financial activities are quite different.Among them,unconventional monetary policy shocks contribute more to China's financial volatility,while China's long-term bond interest rates are more sensitive to liquidity shocks in major economies.The marginal contributions and innovations of this dissertation are embodied in the following four aspects:Firstly,this dissertation systematically studies the spillover effects of liquidity management of major economies on China's economy,and conducts a systematic and in-depth study from three aspects:macro-economy,industrial activities and financial market,which fills in the vacancies of existing domestic and foreign research.Secondly,this dissertation attempts to expand the GPM analysis framework developed by the International Monetary Fund,to construct GPM-4 model composed of the four major economies,which are China,America,Europe and Japan,and uses it for the first time to analyze the spillover effects of liquidity management of major economies on China's macro-economy.Thirdly,based on a FAVAR model,this dissertation discusses the spillover effects of liquidity management in major economies on major industrial activities in China.It is rare to study the international spillover effect of liquidity management from the industrial level,which enriches the research in the field of liquidity spillover.Fourthly,this dissertation constructs a GVAR model for 15 countries around the world.It systematically discusses the spillover effects of conventional and unconventional monetary policies in the United States,the euro-zone,Asian and other economies on China's stock,debt and foreign exchange markets.The dissertation makesimportant supplements to the existing literature from the aspects of research contents,research methods,sample coverage and research conclusions... |
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