不确定冲击的非线性效应:基于信贷周期视角的考察

Nonlinear Effects of Uncertainty Shock: A Perspective from the Credit Cycle

当前,学界通过利用时变参数随机波动模型估计的中国经济不确定性,并借助平滑转移向量自回归内生识别的信贷市场扩张和紧缩,全面探讨中国经济不确定冲击对宏观经济的非线性影响的研究不多。脉冲响应函数表明在信贷扩张和收缩两区制下,不确定冲击对大多数宏观经济金融变量产生了显著的非线性效应,方差分解结果支持了经济不确定冲击对与外部金融贸易条件关系密切的变量有着更好的解释能力。研究结果丰富了中国经济不确定的相关研究并厘清了经济不确定的传递机制,为调整和制定相应的宏观经济政策提供了有益的参考。

At present,there are few studies on the non-linear impact of China’s economic uncertainty on the macro-economy by using the time-varying parameter stochastic volatility model to estimate the uncertainty of China’s economy and the credit market expansion and contraction identified by the smooth transfer vector auto-regression.The impulse response function shows that under the two zone system of credit expansion and contraction,uncertain shocks have a significant nonlinear effect on most macro-economic and financial variables,and the variance decomposition results support that economic uncertain shocks have a better ability to explain variables closely related to external financial terms of trade.The research results enrich the relevant research of economic uncertainty in China and clarify the transmission mechanism of economic uncertainty,which provides a useful reference for adjusting and formulating the corresponding macroeconomic policies.