分类号密级
U D C 编号10486
武汉大学
硕士学位论文
全球金融周期对货币政策独立性的
影响研究——基于全球金融周期敏
感性变化的分析
研究生姓名：李淼
学号：2018201050099
指导教师姓名、职称：白晓燕副教授
学科、专业名称：金融学
研究方向：国际金融
二〇二一年六月
Study on the Impact of Global Financial
Cycle on Monetary Policy
Independence—Based on the Analysis of
Sensitivity to the Global Financial
Cycle
By Li Miao
June,2021
中文摘要
随着全球金融一体化的程度逐渐加深，各国的资本流动、资产价格和信贷增
长等呈现一致的变动趋势，从而形成了全球金融周期。在全球金融周期的背景下，
各国的金融状况受到全球趋势的影响逐渐加大，为了实现国内经济目标，不得不
进行相应的调整，从而使其货币政策独立性受到影响。由于各国具有不同的经济
金融特征和政策背景，并会随着时间的推移发生变化，那么，各个国家的经济金
融状况与全球金融周期共同变动的程度也可能存在着异质性且会发生变化，也即，
各国对全球金融周期的敏感性会发生变化。那么，在全球金融周期的背景下，如
何降低全球金融周期对各国的影响从而保证其货币政策独立性是一个值得关注
的问题。本文通过对此展开研究，为我国融入全球金融一体化提供经验证据和政
策建议。
本文首先通过时变参数动态因子模型，从1998年至2019年全球的资本流动
季度数据中提取全球金融周期因子，并得到不同国家对全球金融周期的敏感性及
其时变趋势。其次，本文在此基础上进行实证分析。一方面，通过使用带有交互
项的固定效应面板模型，研究各国对全球金融周期的敏感性如何影响货币政策独
立性。另一方面，通过固定效应面板模型研究何种政策措施有助于降低全球金融
周期的影响从而提高货币政策独立性。
本文得到以下主要结论：第一，各国对全球金融周期的敏感性在不同国家之
间存在着异质性，随着时间的推移，敏感性也在不断的发生变化。第二，总体而
言，发达国家对全球金融周期的敏感性更大，而新兴市场国家对全球金融周期的
敏感性随时间的变化更大；发达国家对全球金融周期的敏感性在全球金融危机之
后有下降的趋势，而新兴市场国家对全球金融周期的敏感性在全球金融危机之后
仍逐渐上升。第三，当一国对全球金融周期的敏感性上升时，该国的货币政策独
立性下降。第四，资本管制、汇率制度灵活性和宏观审慎政策均有助于降低各国
对全球金融周期的敏感性，从而提高各国的货币政策独立性。
以上研究结果表明，借助于跨国经验证据，我国在融入全球金融一体化的过
程中，需密切关注全球金融周期的变化趋势，以及我国对全球金融周期的敏感性
的变化趋势。同时，合理运用资本管制、汇率制度改革和宏观审慎工具等来降低
全球金融周期对我国的负面影响并提高我国的货币政策独立性。
关键词：全球金融周期；全球金融周期敏感性；货币政策独立性；时变参数动态
因子模型
I
Abstract
With the gradual deepening of global financial integration,the capital flows,
asset prices and credit growth of different countries show a consistent trend,thus
forming the global financial cycle.In the context of the global financial cycle,the
financial conditions of each country are gradually affected by the global trend.in
order to achieve the domestic economic goals,countries have to make corresponding
adjustments,thus affecting their monetary policy independence.Because countries
have different economic and financial characteristics and policy backgrounds,and
will change over time,the degree of common changes in the economic and financial
conditions of each country and the global financial cycle is also heterogeneous and
will change.That is,the sensitivity of each country to the global financial cycle will
change.Therefore,in the context of the global financial cycle,how to reduce the
impact of global financial cycle on each country so as to ensure the independence of
its monetary policy is an issue worthy of attention.Through the research on this issue,
this paper provides empirical evidence and policy suggestions for China's integration
into the global economic and financial integration.
Firstly,this paper uses the time-varying parameter dynamic factor model to
extract the global financial cycle factors from the quarterly data of global capital
flows from 1998to 2019,and obtains the sensitivity of different countries to the
global financial cycle and its time-varying trend.Secondly,this paper makes an
empirical analysis on this basis.On the one hand,by using a fixed-effect panel model
with interaction terms,it studies the impact of countries’sensitivity to the global
financial cycle on monetary policy independence.On the other hand,the fixed effects
panel model is used to study which policy measures help to reduce the sensitivity of
countries to the global financial cycle and thus improve the independence of monetary
policy.
The main conclusions of this paper are as follows:First,the sensitivity of
countries to the global financial cycle is heterogeneous among different countries,and
the sensitivity is constantly changing over time.Second,in general,developed
countries are more sensitive to the global financial cycle,while the sensitivity of
emerging market countries to the global financial cycle changes more over time.After
the global financial crisis,the sensitivity of developed countries to the global financial
cycle tends to decline,while the sensitivity of emerging market countries to the global
financial cycle still gradually increases.Third,when a country's sensitivity to the
II
global financial cycle increases,its monetary policy independence weakens.Fourthly,
capital controls,flexibility of exchange rate regimes,and macro-prudential policies all
contribute to reducing countries'sensitivity to the global financial cycle,thereby
enhancing monetary policy independence.
The above research results show that,with the help of transnational empirical
evidence,in the process of integrating into the global financial and economic
integration,China should pay close attention to the changing trend of the global
financial cycle and the changing trend of China's sensitivity to the global financial
cycle.At the same time,capital control,exchange rate regime reform and
macro-prudential tools should be rationally used to reduce the negative impact of
global financial cycle on China and improve China's monetary policy independence.
Key words:Global Financial Cycle;Sensitivity to Global Financial Cycle;Monetary
Policy Independence;Time-Varying Parameter Dynamic Factor Model
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