The Spillover Effect Of Us Monetary Policy On Chinese Financial Risk

One belt,one road,is put forward under the background of globalization.The economic globalization and the economic globalization have made the economic and trade exchanges and exchanges between different countries more and more frequent.China has put forward the policy of "one belt and one road" under the background of globalization.China's dependence on foreign trade is also growing,and there are bound to be more and more connections between the monetary policies of various countries.As the most powerful developed country,the change of monetary policy in the United States is bound to have spillover effect on other countries' economy.Nowadays,the development of China's financial market is on the road of connecting with the international market.Financial institutions are not only restricted by the domestic economic environment,but also closely related to the intervention policies of the international market.Since 2008,the United States has adopted four unconventional monetary policies in response to the subprime mortgage crisis-quantitative easing policy.After withdrawing from the quantitative easing mechanism in October 2014,the United States has repeatedly adopted the way of raising interest rates and reducing interest rates to regulate monetary policy in a conventional way.The changes of these policies have caused a certain degree of impact on China's macroeconomic and financial market risks.In 2018 and 2019,trade frictions and disputes between China and the United States continued to escalate.As the core technology of high-tech industry is not competitive,China's foreign trade market relies heavily on the United States.At the same time,with more and more open policies and more frequent trade exchanges with the United States,China's financial market is bound to be impacted by the U.S.monetary policy.Scholars at home and abroad attach great importance to the spillover effect of US monetary policy.There are many studies on the spillover effect of monetary policy between developed countries and the impact of US monetary policy on China's output,inflation and monetary policy.The results show that US monetary policy has significant spillover effect on other countries' economy.In recent years,the pace of China's financial marketization has accelerated.With the continuous entry and exit of international hot money,the relationship between China's national financial stability and the U.S.monetary policy has begun to be exposed.Scholars have begun to study this aspect,and affirmed the existence of the spillover effect of the U.S.monetary policy on China's financial risk.Under the above economic background,this paper studies the above problems.Based on the international transmission of Mondale Fleming Model and new open macroeconomics,tvp-var model is used to study the spillover effect of US monetary policy on the time-varyingfinancial risk in China.Considering the heterogeneity of monetary policy in the United States,this paper selects the scale of assets and liabilities of the Federal Reserve as an indicator of unconventional monetary policy-quantitative easing policy in the United States,and the federal funds rate as a indicator of conventional monetary policy.Combined with the relevant scholars' measurement of the risk degree of China's financial market,the financial stress index is selected as the indicator to measure the financial risk,the stress index of banks,real estate,stocks and external financial markets is selected as the representative,and the appropriate weight is determined by using the critical weighting method to build a systematic China's financial stress index,which is the indicator representing China's financial risk.The variables are monthly data from January 2008 to December 2018.Based on the theoretical basis and the actual economic situation of the international transmission mechanism,this paper establishes a tvp-var model,which is composed of the scale of assets and liabilities of the United States,the federal funds rate of the United States and systematic variables of financial risk in China.The model examines the spillover effects of unconventional monetary policy and conventional monetary policy on China's financial market,respectively,and reflects the heterogeneity of US monetary policy.At the same time,tvp-var model can more comprehensively depict the long-term dynamic spillover effect of U.S.monetary policy on the stability of China's financial market,and deeply explore the different influences and reasons on China's various markets.In this paper,by analyzing the equal interval and time point impulse response function under tvp-var model,the following conclusions are obtained.US monetary policy does have a significant impact on China's financial risk.The impact of US asset and liability scale on China's financial risk has a downward trend in the early stage,which is negative and stable in the middle and late stage,and will continue.The impact of the US federal funds rate on China's financial risk increases first and then decreases.When the US exits the quantitative easing policy,the impulse response reaches the peak,which will maintain a positive and stable impact effect in the future.On the whole,the spillover effect of US monetary policy on China's financial risk is sustained and significant.This shows that China's financial market should take relevant measures not only to slow down the pace of China's internationalization,but also to take relevant measures in time to prevent the greater impact of US monetary policy on China's financial risks.Through the analysis of the empirical results of tvp-var model,this paper puts forward corresponding policies and suggestions.First,we should enhance the stability and flexibility of China's monetary policy;for the intervention of US monetary policy,China should strengthen the research on US monetary policy,timely adjust its own monetary policyaccording to the changes of US monetary policy,and ensure its own monetary policy stability.Second,promote the upgrading of industrial structure;in order to get out of the "middle-income trap",China should make structural adjustment as soon as possible.We will increase support for small and micro enterprises,strengthen support for innovation in high-tech industries,improve national creativity and innovative technology,and reduce the dependence of China's foreign trade market on the United States.Third,we should strengthen the supervision of short-term capital flows.The change of US monetary policy has repeatedly caused short-term capital flows,which has greatly threatened the stability of China's financial market.In order to avoid the impact of international hot money on China's financial market,we should establish strict control over the short-term capital account with two-way flow.Fourth,push forward the reform of RMB exchange rate.The RMB exchange rate is an important channel for US monetary policy transmission,so in order to maintain China's financial stability,we must improve the RMB exchange rate reform mechanism and make the RMB a weapon rather than a weakness of China.Fifthly,we should strengthen financial risk control in China.China's financial markets are closely linked.In order to avoid mutual transmission of financial risks,it is necessary to broaden the financing channels of each market,coordinate risk control of each department,improve the laws and regulations related to risk control,establish a risk early warning mechanism in time,and reduce the spillover effect of U.S.monetary policy on China's financial risks.Sixth,improve the macro Prudential policy.Both for domestic and foreign shocks,we must pay attention to the improvement of macro Prudential policy.Only by starting from the macro level and strengthening the coordination mechanism between various departments,can we prevent further shocks of US monetary policy in the future.