政策不确定性的宏观经济后果

MACROECONOMIC CONSEQUENCES OF POLICY UNCERTAINTY

本文采取贝克的政策不确定性指数,运用FAVAR方法分析政策不确定性冲击对中国宏观经济的影响。经验结果发现,政策不确定性冲击对GDP、投资、消费、出口和价格变动会带来负向影响,导致实际有效汇率贬值,促使股票价格和房地产价格下跌。同时发现,政策不确定性作用于宏观经济的主要机制为预期渠道。该结论表明,政府应当尽量保持宏观经济政策的稳定性和持续性,并加强引导公众合理预期。

This paper adopts policy uncertainty index proposed by Baker and uses FAVAR model to analyze the impact of policy uncertainty on macroeconomic of China. Empirical results show that policy uncertainty has negative impact on GDP, investment, consumption, export and price, decreases real exchange rate and leads to a drop in stock price and real estate price. Besides, this paper finds the mainly mechanism of policy uncertainty effect on macroeconomic is expected channel. This conclusion suggests the government should keep macroeconomic policy as steady and continuous as possible and strengthen guidance of public rational expectation.