宏观不确定性与金融不确定性:测度与动态关系研究

Macroeconomic Uncertainty and Financial Uncertainty:Measurements and Dynamic Interactions

本文使用214个变量的大维数据集,构建了中国的宏观不确定性和金融不确定性指数,并使用连续小波分析方法在时域和频域内对宏观不确定性和金融不确定性的动态关系进行了检验。研究发现中国的宏观不确定性和金融不确定性受到特定事件冲击的影响,2008年金融危机、2010年宏观调控和2020年初新型冠状病毒COVID-19对宏观不确定性影响较大。2007年美国次贷危机、2008年金融危机和2015年股灾对金融不确定性影响较大。连续小波分析结果表明两者在短期中期长期频段内存在正相关关系,中长期频段相关性更为明显。时域方面,两者的相关性在危机时期更为显著。在领先和滞后关系方面,中国经济进入"新常态"阶段前,金融不确定性领先于宏观不确定性,而"新常态"阶段,宏观经济面临下行压力,宏观不确定性领先于金融不确定性。对此,要重视宏观经济与金融市场的平稳运行,减少外生冲击对不确定性的影响。在实体经济低迷时期,更要关注宏观不确定性的高企趋势,警惕金融市场的波动。

In this paper,we construct China’s macroeconomic uncertainty index and financial uncertainty index by using a large-dimensional data set of 214 variables.The continuous wavelet analysis is also employed to examine the dynamic interactions between them in time-frequency domain.The findings show that China’s macroeconomic uncertainty and financial uncertainty are under the impact of major events.The macroeconomic uncertainty is influenced by the financial crisis in 2008,the macroeconomic regulation in 2010,and the COVID-19.The financial uncertainty is influenced by the U.S.subprime crisis in 2007,the financial crisis in 2008,and the market crash in 2015.Results from the continuous wavelet analysis show that macroeconomic uncertainty and financial uncertainty are positively correlated across all frequency bands,and the correlation is more obvious in the medium term.In the time domain,the correlation between them is more significant during the crisis.In terms of lead-lag relationships,before the"new normal"period,financial uncertainty tended to lead macroeconomic uncertainty.While during the"new normal"period,macroeconomic uncertainty led financial uncertainty when the macro economy was facing the downtrend.Therefore,the government should focus on the stability of the macro economy and the financial market and reduce the impact of exogenous shocks on uncertainty.During a downturn in the real economy,we should pay more attention to the upward trend of the macroeconomic uncertainty and the volatilities in the financial market.