中国的经济政策不确定性内生于经济波动吗?

Is China’s Economic Policy Uncertainty Endogenous to Economic Fluctuations?

现有研究假设中国的经济政策不确定性外生,本文尝试分析这种假设的合理性。本文分别采用冲击约束和异方差约束两种新的识别方式,研究中国经济政策不确定性和经济波动的因果关系。基于冲击约束的结果表明:经济波动不是形成逆周期政策不确定性的原因,因为正向产出冲击不会降低政策不确定性;反之,政策不确定性冲击对产出的影响显著为负,形成负向"驼峰状"效应,能解释产出长期变化的13%。基于异方差约束的结果进一步证实了冲击约束的结论,并表明政策不确定性冲击对产出的负向影响主要发生在2008年国际金融危机后,在危机前对产出的影响有限。本文认为将经济政策不确定性视为经济波动的外生因素较为合理,但不能忽视其时变特征。

Existing studies assume that China’s economic policy uncertainty is exogenous,the plausibility of which is examined in this paper.The paper uses both the shock-based and heteroskedasticity constraint approaches to investigate the causal relation between economic policy uncertainty and China’s economic fluctuations.The results from shock-based constraints show that economic fluctuations are not the cause of countercyclical policy uncertainty because positive output shocks do not reduce policy uncertainty.Conversely,the impact of a policy uncertainty shock on output is significantly negative,forming a negative"hump"effect.The policy uncertainty shock accounts for 13 percent of output’s forecast error variations in the long-term.The results based on the heteroskedasticity constraint approach further confirm our findings and suggest that the negative impact of policy uncertainty shocks on output occurred mainly after the 2008 financial crisis,with limited impacts before the crisis.The paper argues that it is reasonable to view economic policy uncertainty as an exogenous driving force of China’s economic fluctuations,but its time-varying characteristics cannot be ignored.