经济不确定性冲击与货币政策的时变反馈——基于《人民日报》《光明日报》大数据的研究

The Time-varying Feedback Mechanism of the Economic Uncertainty and Monetary Policy——Empirical Evidence Based on Keyword Capture with Big Data Crawler

本文使用抓取《人民日报》和《光明日报》关键词大数据的方法构建Baker不确定性指数,并运用LT-TVP-VAR模型实证研究了我国货币政策对经济不确定性冲击的反应。分析显示,中国经济和贸易不确定性整体呈现出逆周期性,对经济发展具有负向冲击,且近两年出现明显上升。美国政府的行为和决策是造成不确定性的最主要因素,现阶段美国挑起的贸易摩擦是不确定性的主因。实证结果表明,我国货币政策对经济和贸易不确定性的反应十分迅速,不确定性引致宽松的货币政策,呈现出明显的"相机抉择"特征。在经济平稳时期,货币政策对经济和贸易不确定性冲击的反应程度最低,金融危机时期反映程度加大,贸易摩擦时期的反应程度最大,显示出中美贸易摩擦的复杂性、艰巨性及其对实体经济的冲击力度。对此,应实时监测预警经济不确定性提升货币政策前瞻性,继续推进利率市场化提升调控有效性,通过预期引导和多种政策组合对冲不确定性的负向冲击。

This paper constructs Baker uncertainty index based on keyword capture with big data crawler,then employs LT-TVP-VAR model to empirically study the response of China’s monetary policy to the impact of economic uncertainty.The analysis shows that the overall uncertainty of China’s economy and trade is counter-cyclical and has a negative impact on economic development, and it has significantly increased in the past two years. The actions and decisions of the US government are the main factors causing uncertainty, and the trade friction provoked by the US is the main cause of uncertainty. The empirical results show that China’s monetary policy response to the economic and trade uncertainty very quickly. The uncertainty caused by loose monetary policy presents the obvious characteristics of "discretion".In the period of steady economic development, the response is weakest, which in the financial crisis period is bigger, in friction period is biggest. This shows the complexity, the difficulty and its impact on the real economy of the Sino-US trade friction. In this regard, early warning economic uncertainty should be monitored in real time to improve the forward-looking monetary policy, continue to promote interest rate liberalization to improve the effectiveness of regulation, and hedge the negative impact of uncertainty through expected guidance and multiple policy combinations.