| 100 | 0 | 187 |
| 下载次数 | 被引频次 | 阅读次数 |
在人民币国际化和全球金融一体化不断加深的背景下，中国货币政策的调整日益引发国际市场关注，并对境外资产价格和金融条件产生可观测的外溢效应。本文基于“三元悖论”理论框架，从跨国制度差异和微观资产定价视角，检验资本管制和汇率制度如何调节中国货币政策冲击的外溢效应。本文选取目标冲击（反映当期政策立场的意外调整）和路径冲击（反映未来政策路径预期的修正）两类货币政策冲击指标，将其与涵盖73个经济体、3.6万家境外上市公司的股价数据进行匹配。本文通过构建面板模型，并引入目标因子、路径因子分别与制度特征的交互项，以识别外溢效应的异质性。结果表明：目标冲击对境外上市公司股票收益率具有正向影响，且在资本管制较严的经济体中，这种正向影响更为强烈，表明央行信息效应在此类冲击的外溢效应中占据主导地位。路径冲击在资本流动更自由的经济体中显著压低股票收益率，资本流入管制在特定情境下能够有效抑制这种紧缩性外溢，而更高的汇率灵活性则会放大路径冲击的负向影响。上述结果从微观层面印证了资本管制和汇率制度在开放经济条件下的“缓冲器”作用，并强调在金融高水平开放进程中加强资本流动管理与宏观审慎政策协同的重要性。
Abstract：The paper uses a high-frequency asset price identification strategy and distinguishes two dimensions of Chinese monetary policy shocks: a target factor, which captures unexpected changes in the current policy stance, and a path factor, which captures revisions to expectations about the future policy path. These shocks are matched to daily stock returns of about 36 000 listed firms across 73 economies. Three main findings are as follows. First, the target factor has a positive average effect on foreign stock prices, and this positive response is stronger in economies with tighter capital account restrictions. This suggests that the target factor does not merely capture a higher discount rate associated with a tighter current policy stance; rather, it contains a strong central bank information effect. When capital controls are tighter, cross-border arbitrage and the international discount-rate channel become weaker, so the information component of the shock is more likely to dominate foreign asset-price reactions. Second, the path factor generates a significantly negative spillover in economies with more open capital accounts. This negative effect is mitigated by stronger capital controls, especially controls on capital inflows, indicating that revisions in expected future Chinese monetary tightening primarily operate through global financing conditions and risk-premium revaluation. Third, greater exchange rate flexibility amplifies the negative effect of the path factor, while its marginal effect on the target factor is not statistically significant. This implies that, at high frequency, exchange rate flexibility does not automatically insulate economies from external financial shocks; instead, it may intensify risk repricing.The paper contributes to relevant literature in three respects. First, using cross-country firm-level stock return data, it provides direct micro-level evidence on the effect of Chinese monetary policy on overseas asset prices, complementing existing literature that mostly relies on macro aggregates. Second, by decomposing Chinese monetary policy surprises into target and path factors within a unified empirical framework, it uncovers the heterogeneous international transmission mechanisms of different dimensions of policy shocks. Third, by combining institutional measures of capital controls and exchange rate regimes with firm-level panel data, it offers new micro evidence on the empirical relevance of the trilemma in the Chinese context.The findings have clear policy implications. On one hand, in the process of financial opening, capital flow management and macroprudential policy coordination remain important stabilizing tools. On the other hand, greater exchange rate flexibility may enhance monetary autonomy in the medium to long run, but it does not necessarily reduce the short-run asset-price impact of external shocks. Overall, this paper contributes to a better understanding of the global spillovers of China's monetary policy and provides useful evidence for designing a more robust macro-financial stability framework under high-level financial opening.
[1]MIRANDA-AGRIPPINO S, NENOVA T, REY H. Global footprints of monetary policies[R]. Centre for Macroeconomics(CFM)Discussion Paper,2020.
[2]杨子荣，徐奇渊，王书朦.中美大国货币政策双向溢出效应比较研究——基于两国DSGE模型[J].国际金融研究，2018(11):14-24.
[3]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(6):20-35.
[4]李斌，雷印如，王健.美联储货币政策溢出、央行预期管理与中国资产价格[J].世界经济，2024,47(1):57-85.
[5]余静文，沈妤恬.美国货币政策冲击对我国行业的溢出效应研究——基于生产网络的视角[J].国际金融研究，2025(3):14-26.
[6]MUNDELL R A. Capital mobility and stabilization policy under fixed and flexible exchange rates[J]. Canadian journal of economics and political science,1963,29(4):475-485.
[7]REY H. Dilemma not trilemma:the global financial cycle and monetary policy independence[R]. NBER Working Paper,2015.
[8]范小云，陈雷，祝哲.三元悖论还是二元悖论——基于货币政策独立性的最优汇率制度选择[J].经济学动态，2015(1):55-65.
[9]谭小芬，虞梦微.全球金融周期与跨境资本流动[J].金融研究，2021(10):22-39.
[10]吴立元，赵扶扬，王忏，等.美国货币政策溢出效应、中国资产价格波动与资本账户管理[J].金融研究，2021(7):77-94.
[11]王欣康，谭小芬，虞梦微.国际生产网络与全球金融周期：基于资产价格联动视角[J].经济研究，2025,60(9):47-67.
[12]张礼卿，钟茜.全球金融周期、美国货币政策与“三元悖论”[J].金融研究，2020(2):15-33.
[13]陶雄华，王腾.美欧英日货币政策冲击如何通过计价货币影响银行跨境资本流动？[J].国际金融研究，2023(12):50-59.
[14]MIRANDA-AGRIPPINO S, REY H. U.S. monetary policy and the global financial cycle[J]. Review of economic studies,2020,87(6):2754-2776.
[15]HA J, LIU H, ROGERS J. Capital controls, exchange rate arrangements, and the transmission of U.S. monetary policy:the trilemma strikes back[R]. SSRN Working Paper,2025.
[16]LIU H. The trilemma, macroprudential policy, and monetary spillovers[R]. SSRN Working Paper,2025.
[17]GEORGIADIS G, JAROCIŃSKI M. Global spillovers from multi-dimensional U.S. monetary policy[J]. Journal of international economics,2025,158:104169.
[18]GAZZANI A G, FERRIANI F. The international transmission of Chinese monetary policy and the commodity channel[R]. SSRN Working Paper,2026.
[19]MIRANDA-AGRIPPINO S, NENOVA T, REY H. The ins&outs of Chinese monetary policy transmission[R].NBER Working Paper,2026.
[20]LIU H. Conventional vs. innovative monetary policy transmission in China:term-structure and credit-spread effects[J]. Finance research letters,2026,95:109738.
[21]SHIEH H. Can you hear me now?Identifying the effect of Chinese monetary policy announcements[J]. Journal of international money and finance,2024,144:103078.
[22]JAROCIŃSKI M, KARADI P. Deconstructing monetary policy surprises:the role of information shocks[J].American economic journal:macroeconomics,2020,12(2):1-43.
[23]陈贞竹，李力，余昌华.我国货币政策传导效率及信号效应研究——基于金融市场高频识别的视角[J].经济学（季刊），2023,23(1):56-73.
[24]FERNÁNDEZ A, KLEIN M W, REBUCCI A, et al. Capital control measures:a new dataset[J]. IMF economic review,2016,64(3):548-574.
[25]ILZETZKI E, REINHART C M, ROGOFF K S. Exchange arrangements entering the twenty-first century:which anchor will hold?[J]. Quarterly journal of economics,2019,134(2):599-646.
[26]CRAGG J G, DONALD S G. Inferring the rank of a matrix[J]. Journal of econometrics,1997,76(1-2):223-250.
[27]GÜRKAYNAK R S, SACK B, SWANSON E. Do actions speak louder than words?The response of asset prices to monetary policy actions and statements[J]. International journal of central banking,2005,1(1):55-93.
[28]NAKAMURA E, STEINSSON J. High-frequency identification of monetary non-neutrality:the information effect[J]. Quarterly journal of economics,2018,133(3):1283-1330.
[29]尚玉皇，刘华，申峰.预期的博弈：央行沟通与国债收益率曲线[J].金融研究，2025(9):20-38.
[30]KAMBER G, MOHANTY M S. Do interest rates play a major role in monetary policy transmission in China?[R].BIS Working Papers,2018.
[31]CHEN K, REN J, ZHA T. The nexus of monetary policy and shadow banking in China[J]. The American economic review,2018,108(12):3891-3936.
[32]EICHENGREEN B, HAUSMANN R, PANIZZA U. Currency mismatches, debt intolerance, and the original sin:why they are not the same and why it matters[C]//EDWARDS S. Capital controls and capital flows in emerging economies:policies, practices, and consequences. Chicago:University of Chicago Press,2007:121-170.
[33]BRUNO V, SHIN H S. Cross-border banking and global liquidity[J]. Review of economic studies,2015,82(2):535-564.
[34]GOPINATH G, STEIN J C. Banking, trade, and the making of a dominant currency[J]. Quarterly journal of economics,2021,136(2):783-830.
[35]FARHI E, WERNING I. Dilemma not trilemma?Capital controls and exchange rates with volatile capital flows[J].IMF economic review,2014,62(4):569-605.
(1)限于篇幅，本文仅报告代表性国家的境外上市公司的描述性统计结果，其余经济体的详细数据留存备索。
(1)欧元区样本国家包括奥地利、比利时、塞浦路斯、德国、西班牙、芬兰、法国、希腊、爱尔兰、意大利、拉脱维亚、马耳他、荷兰、葡萄牙和斯洛文尼亚。
基本信息:
DOI：10.19654/j.cnki.cjwtyj.2026.04.001
中图分类号:F831.6;F831.5;F822.0
引用信息:
[1]王永钦,刘海勤.资本管制、汇率制度与中国货币政策外溢——基于境外上市公司面板数据的实证检验[J].财经问题研究,2026,No.509(04):3-19.DOI:10.19654/j.cnki.cjwtyj.2026.04.001.
基金信息:
国家自然科学基金面上项目“中国抵押品结构与经济高质量发展研究：理论、实证与政策”（72573044）;国家自然科学基金面上项目“中国保险结构优化与经济高质量发展研究：理论、实证与政策”（72373029）; 上海国际金融与经济研究院（应用高峰）项目
2026-04-05
2026-04-05