An Empirical Study On The Spillover Effects Of American Monetary Policy On Chinese Macroeconomic

At present, the spillover effect of monetary policies has been a hot research field of macroeconomics. Now the world is increasingly open, the rapid development of the globalization makes the link among countries is more and more closely, the political and economic fields among countries also influence each other, the mutual influence among countries’ monetary policies also deepens day by day. Especially when the economic powers like the U.S. adjust its monetary policies, will not only affect itself, but also affect the world’s economy. Since the reform and opening up, the international economic and trade cooperation is well developed in China, Chinese economy and dependency of foreign trade keeps growing. Reform and opening up makes China has a closer tie with the world’s economy, at the same time, the effects of external impacts on Chinese economy is increasingly obvious. Because the U.S. is one of the worlds’ first economic powers, as well as the trading partner of China, the adjustment of its monetary policies will inevitably affect Chinese economy.Reviewing of the existing research results, foreign monetary policies will impact the various aspects on a country’s macroeconomic, and may interfere with the independence of a country’s monetary policy, affect the effects of the country’s economic policies. This paper uses the theory methods and empirical methods, does the research about the existence, direction, trend and the size of the spillover effects of the U.S.’s monetary policies to Chinese macroeconomic. This paper selected Chinese real GDP growth as the output variable of China, selected Chinese CPI growth as the inflation variable, and selected the federal funds rate as the U.S. monetary policy variable, using the monthly data between January 1992 and September 2015 for empirical analysis. This paper established the VAR model for the overall analysis of the spillover effects of U.S. monetary policy on the output and inflation of China, and established the STVAR model for the respectively analysis of the spillover effects of U.S. monetary policy on the out put and inflation of China when the U.S. in the period of quantitative easing monetary policy or the period of traditional monetary policy, and in the period of high interest rates or low interest rates.Through the establishment of the VAR and STVAR model, using the impulse response analysis, this paper draws four main conclusion: Firstly, American monetary policies have spillover effects of Chinese output and inflation. Secondly, the influence of American monetary policies on China is different between the quantitative easing monetary policy and the traditional monetary policy. The influence of quantitative easing monetary policy on the output and inflation of China are smaller than the influence of traditional monetary policy. Thirdly, the spillover effects of American monetary policies on Chinese macroeconomic are different between the high interest rates period and the low interest rates period. When the U.S. is in the high interest rates period, the effect of American monetary policy on the output of China is greater and the effects on the inflation of China are rapidly than the low interest rates period. Fourthly, the impact of American monetary policy on Chinese inflation is greater than the impact on Chinese output. According to the empirical conclusions, this paper puts forward four suggestions: Firstly, strengthen the flexibility and international coordination of economic policies. Secondly, deepen the reform of exchange rate. Thirdly, improve the international status of the RMB. Fourthly, deepen the upgrading of industrial structure.