经济政策不确定性、金融稳定与波动的动态关联——基于中国2007—2019年数据的分析

The Dynamic Relationship among Economic Policy Uncertainty,Financial Stability and Economic Volatility:An Analysis based on China′s 2007-2019 Data

基于宏观经济演化视角,本文构建经济政策不确定性、金融稳定与波动的分析框架,运用TVP-SV-VAR模型解析相互之间的联动效应及非对称性。结果表明:在2012年之前,经济政策不确定性在中期和长期内会加剧经济波动,金融稳定的变化也助推了经济波动;2012年之后,经济政策不确定性在短期和中期内加剧了经济波动,且金融稳定和经济波动呈现交互影响的联动特征;在2015年之前,经济政策不确定性加剧或趋缓态势在短期内降低了金融稳定性;在2015年之后,经济政策不确定性加剧在中期和长期内降低了金融稳定性,而经济政策不确定性趋缓的态势有利于维护金融稳定。金融稳定性的降低在短期和中期内会加剧经济波动,金融稳定性增强在短期和中期内有助于平抑经济波动。

Based on the perspective of macroeconomic evolution,this paper constructs an analysis framework of economic policy uncertainty,financial stability and economic volatility,and uses TVP-SV-VAR model to analyze the linkage effect and asymmetry among them.The results show that before 2012,the economic policy uncertainty will aggravate the economic volatility in the medium and long term,and the change of financial stability will also promote the economic volatility;after 2012,the economic policy uncertainty aggravates the economic volatility in the short and medium term,and the financial stability and economic volatility show the interactive characteristics;before 2015,the trend of increasing or slowing down of economic policy uncertainty reduced financial stability in the short term;after 2015,the trend of increasing or slowing down of economic policy uncertainty reduced financial stability in the medium and long term,and the trend of slowing down of economic policy uncertainty is conducive to maintaining financial stability.The decrease of financial stability will aggravate the economic volatility in the short and medium term,and the enhancement of financial stability will help to stabilize the economic volatility in the short and medium term.