经济政策不确定性对金融稳定的时变影响研究

Research on the Time-Varying Impact of Economic Policy Uncertainty on Financial Stability

为了防范和化解金融风险,我国实施了一系列金融改革措施,但经济政策不确定性也随之逐渐走高。基于金融发展、金融脆弱性、金融稳健性和世界经济景气四个维度构建金融稳定指数,采用TVP-SV-VAR模型分析经济政策不确定性冲击对金融稳定的影响。模型的实证结果表明,经济政策不确定性对金融稳定具有负向影响,但在短期和长期的影响不同,短期内影响程度随时间推移逐渐增强,在中长期会逐渐减小。因此,政策制定者需关注政策不确定性带来的后果,增强经济政策的连续性,以保障我国金融稳定发展。

In order to prevent and resolve financial risks,the government has taken a series of financial reform measures,which leads to high economic policy uncertainty.This article measures the impact of economic policy uncertainty on financial stability.First,we constructed the financial stability index,and then used the TVP-SV-VAR model to analyze the impact of economic policy uncertainty shocks on financial stability,based on the economic policy uncertainty index constructed by Baker et al.The empirical result of the model shows that the economic policy uncertainty has a negative impact on the financial stability,but the impact is different in the short term and the long term.The degree of impact gradually increases in the short term,while gradually decreases in the medium and long term.Therefore,the government needs to pay attention to the consequences of policy uncertainty and enhance the continuity of economic policies to ensure the stable development of China’s finance.