美国贸易政策不确定性对中国宏观杠杆率的非线性影响

The Non-linear Influence of US Trade Policy Uncertainty on China’s Macro Leverage Rate

美国贸易政策不确定性是否影响中国宏观杠杆率?基于高维数据的TVP-FAVAR模型实证研究发现,在滞后3个月,美国贸易政策不确定性上升同向提升了中国宏观杠杆率,且这种促进效应呈现明显的时变特征,金融危机爆发之前相对较弱,危机之后逐渐增强,特别地,自特朗普政府执政以来,美国贸易政策不确定性对中国宏观杠杆率的提升最为显著。当前阶段,中国政府应警惕美国贸易政策不确定性对中国宏观杠杆率的影响,进一步实施与加强去杠杆的调控政策,避免因美国贸易政策不确定性上升对中国去杠杆政策形成的削弱效应。

Does US trade policy uncertainty affect China’s macro leverage ratio?An empirical study of the TVP-FAVAR model based on high-dimensional data found that,after three months of lag,the uncertainty of US trade policy has increased the macro leverage ratio of China in the same direction,and this promotion effect has obvious time-varying characteristics.Before the financial crisis broke out,it was relatively weak,and it gradually strengthened after the crisis.In particular,since the Trump administration took office,the uncertainty of US trade policy has had the most significant increase in China’s macro leverage.At the current stage,the Chinese government should be alert to the impact of US trade policy uncertainty on China’s macro leverage ratio,further implement and strengthen de-leverage regulation and control policies,and avoid the weakening effect of China’s deleveraging policy due to the uncertainty of US trade policy.