经济政策不确定性、宏观经济与资产价格波动——基于TVAR模型及溢出指数的实证分析

Economic Policy Uncertainty,Macroeconomic and Asset Price Fluctuation:Based on TVAR Model and Spillover Index

本文利用Baker等人构建的经济政策不确定性指数和我国1997年01月-2017年09月的宏观经济数据,通过非线性TVAR模型及其方差分解构建的溢出指数,实证考察了我国经济政策不确定性对宏观经济与资产价格的非对称影响,并测度了在不同经济政策不确定性环境下,经济变量间的相互溢出效应。研究发现:(1)经济政策不确定性的影响是非对称的,在经济政策不确定性较高时,其正向冲击将使得产出降低0.21%左右,房价和股市收益率分别上涨0.67%、0.51%左右;而在经济政策不确定性程度较低时,其正向冲击的影响微弱。(2)溢出指数表明,经济政策不确定性对产出、房价和股市存在净溢出,且在经济政策不确定性较高时期,总体溢出指数超过50%,变量间的联动性较强。研究结果表明,相关部门在制定及调整经济政策时应充分考虑其可能引发的不确定性,并通过阐明经济政策意图等方式,将负面影响降到最低。

Concerns about economic policy uncertainty have risen after global financial crisis,the FRB and IMF suggest that the economic policy uncertainty hindered the recovery of the U.S as well as the world economy.The economic policy uncertainty(EPU)index which was developed by Baker et al.shows that the economic policy uncertainty is unusually high in recent years in China,so it is important to identify the impacts of economic policy uncertainty and the mechanism.Based on the TVAR model and Spillover index,EPU index is adopted,empirically examines the nonlinear effects of China’s economic policy uncertainty on output and asset prices,as well as the spillover effects of macroeconomic variables through 1997 M01 to 2017 M09.The results show that:(1)The impact of economic policy uncertainty is asymmetric.When economic policy uncertainty is high,one positive impact of standard deviation caused a decline of output in 0.21%(accumulated),house prices and stock market volatility increased,but when economic policy uncertainty is low,the impacts were much more weaker.(2)Spillover index shows that there is a net spillover of output,house prices and stock market due to economic policy uncertainty.In the period of high economic policy uncertainty,the overall spillover index exceeds 50%,and the linkage between variables is strong.The results of this research have important implications for policy makers.