Production Network,Cross-border Capital Flow,and Macroeconomic Policy:Theory And Evidence

From the perspective of economic network,this paper explores the role of production and financial links between economic subjects in transmitting the influence of macro variables.We studied the impact of macro policy variables such as exchange rate changes,money supply and domestic credit supply on stock returns,industry output and total output through a variety of economic networks.We have constructed a domestic production network that reflects the intermediate trade between domestic industries,a transnational production network that reflects the intermediate trade between domestic and foreign industries,a transnational production network that reflects the intermediate trade between countries(economies),and a cross-border credit capital flow network that reflects the credit exchanges between countries(economies).Our research framework includes both the theoretical model and empirical analysis.We construct several static models including economic networks(multi-industry sector general equilibrium model,two-country multi-industry sector general equilibrium model,multi-country general equilibrium model)to describe the influence mechanism of macro variables through economic networks.The empirical test and quantitative evaluation are carried out by using Spatial Auto-Regressive Model and Spatial Durbin Model.Some important findings have been made in this paper.First,most of the linkage between stock returns is brought about by the production links between the industries to which the stock issuing company belongs.Second,domestic inter-industry production networks and transnational inter-industry production networks play an important role in transmitting demand side factors at home and abroad.Third,the influence of demand side factors including money supply and foreign demand in the production network is transmitted to the upstream industry,and the influence decreases with the length of the linkages.Fourth,developed economies,especially those with large economic volume,are the main emitters of spillover effects and the counterparties interfering with the impact of domestic variables in other economies.Finally,transnational production networks and credit capital flow networks play an important role in transmitting the spillover impact of domestic credit,especially the latter plays a greater channel role,which also limits the effect of floating exchange rate system in isolating external shocks under the background of frequent global capital flows and unprecedented strengthening of global financial links.Compared with the existing research,this paper has three innovations.Firstly,we take into account a variety of production networks and credit capital flow networks,and describe the dependence among economic subjects in many aspects.Secondly,we provide a number of gradually expanding theoretical models,such as:extending the setting from closed to open,and including domestic production networks,multinational production networks and financial networks step by step.Finally,we estimate the spatial econometric model with the economic network as the spatial weight matrix,and empirically test and quantitatively evaluate the channel function of the network from a new perspective.