中国经济、金融不确定性的交互影响动态与宏观经济效应分析

The interaction dynamics and macroeconomic effects of economic and financial uncertainties in China

本文基于中国2002年-2018年间274维月度经济金融数据,通过改进不确定性相关测度方法,采用高维因子模型实现中国经济和金融不确定性的分离测度,并在利用非线性Granger因果关系检验和动态溢出指数方法考察其关联动态的基础上,进一步使用SV-TVP-FAVAR模型就二者对产出波动、价格波动的冲击动态进行计量检验和比较分析.研究发现:1)中国经济不确定性与金融不确定性均存在明显的阶段性波动特征,并且新常态时期以来金融不确定性水平明显大于经济不确定性;2)金融不确定性是引起经济不确定性的重要因素,而经济不确定性对金融不确定性的影响则相对较低,特别是中国经济步入新常态时期以来二者的交互影响主要表现为金融不确定性对经济不确定性的单向影响;3)经济和金融不确定性均是引起产出波动和价格波动的重要因素,但相比之下,金融不确定性冲击对经济波动和价格波动所产生的放大效应更大且表现出更为明显的滞后性和持续性.本文的研究从不确定性视角深入探究了现代经济与金融体系的交互影响机制,为强化预期管理、优化宏观政策调控提供了新的经验依据和有益的政策启示.

By improving the current measurement method on uncertainty,a high-dimensional factor model based on a 274-dimensional monthly data of economic and financial parameters from 2002 to 2018 is adopted to achieve goal of separating and measuring China's economic uncertainty and financial uncertainty,and then the relationship between them will be discussed with the help of nonlinear Granger causality test and dynamic spillover index method.Moreover,an SV-TVP-FAVAR model will be used to carry out dynamic econometric test which could reveal the macroeconomic effects of economic and financial uncertainties.The results are as follows:First,prominent staged volatility is found in both China's economic uncertainty and financial uncertainty,and the level of financial uncertainty is significantly greater than its economic counterpart since the new-normal-period.Second,financial uncertainty is an important cause of the formation of economic uncertainty,while economic uncertainty has a relatively lower impact on financial uncertainty,and particularly,their interaction is basically a one-way impact that financial uncertainty laid on economic uncertainty since the new-normal-period came.Third,both economic and financial uncertainty are important factors that cause output fluctuations and price fluctuations,specifically,the amplification effect,time lag and persistency of the impact from financial uncertainty are greater than that from economic.Carried out from the perspective of uncertainty,this research could offer certain help on interpreting the impact mechanism of modern economic and financial systems,and on providing practical policy implications on strengthening expectation management.