关键词: 货币政策 , 波动效应 , Gumbel Copula , 上尾相依系数

Abstract: This paper mainly studies the volatility effect of US monetary policy on Chinas macroeconomy from the view of volatility effects existence test and intensity measurementThis paper defines a dummy variable to characterize the quantitative easing monetary policy，and introduces an upper tail dependence coefficient of Gumbel Copula to precisely detect its existenceThe empirical results demonstrate that US monetary policy will brings out the negative volatility effect，and that the synergistic effect will come into being between the traditional monetary policy and the quantitative easing monetary policy.

Key words:  monetary policy , volatility effect , Gumbel Copula , upper tail dependence coefficient