经济政策不确定性对宏观经济的影响及其区域差异——基于省级面板数据的PVAR模型分析

The Impact of Economic Policy Uncertainty on Macroeconomy and Its Regional Difference——Evidence from China with the Panel VAR Model

采用Baker的中国政策不确定性指数与省级面板数据,运用PVAR模型分析了经济政策不确定性对我国宏观经济的影响与地区差异。研究发现,政策不确定性对我国的经济增长、投资、消费、CPI均产生了短期的负向作用。通过分区域样本的实证分析发现,政策不确定性对东部地区经济增长的影响更大,而对西部地区消费与CPI的影响更大。政策不确定性对东部地区投资的短期影响较显著,而对西部地区投资的长期影响较显著。该结论表明,政府需要保持政策的连续性与稳定性,并关注经济政策不确定的区域效应。

This paper adopts PVAR model to analyze the impact of economic policy uncertainty on macroeconomie and the regional effect by using policy uncertainty index proposed by Baker and provincial panel data. Empirical results show that policy uncertainty has negative impact on GDP, investment, consumption and price in the short term. The empirical study on regional differences on of policy uncertainty show that the economic growth in the eastern region is more sensitive to economic policy uncertainty, while the consumption and CPI in the western region is more sensitive to economic policy uncertainty. For the investment, policy uncertainty have a greater effect on eastern region in the short term and have a greater effect on western region in the long term. The conclusion suggests that government should keep macroeconomic policy as steady and continuous as possible and pay attention on the regional effects of economic policy uncertainty.