中国宏观经济不确定性的测度

Measure of Macroeconomic Uncertainty in China

文章基于大量季度宏观数据,采用扩散指数法构建了中国1997Q1—2020Q1的季度时变宏观经济不确定性指数。估计结果表明:(1)研究期间,中国宏观经济不确定性处于高位的时期主要包括1998—1999年、2003—2004年、2008—2009年和2020年初;(2)该指数和产出的相关系数为正,但时变特征明显;(3)金融类变量不是推高宏观经济不确定性的因素,但投资类变量推高了远期不确定性,预测子对解释宏观经济不确定性的变化起着关键作用。接着采用门限向量自回归模型考察宏观经济不确定性冲击对经济的影响,结果显示不确定性冲击存在非对称效应:当经济处于低速增长期时,不确定性冲击对产出和通货膨胀有显著的负向影响。

Based on a large number of quarterly macro data,this paper uses the diffusion index method to construct the quarterly time-varying macroeconomic uncertainty index from 1997Q1 to 2020Q1 in China.The estimation results are shown as follows:(1)During the study period,China’s macroeconomic uncertainty at a high level mainly include the periods from 1998 to 1999,from 2003 to 2004,from 2000 to 2009 and of early 2020.(2)The correlation coefficient between the index and output is positive,but the time-varying characteristics are obvious.(3)Financial variables are not the factors that increase the macroeconomic uncertainty,but investment variables increase the long-term uncertainty,and predictors play a key role in explaining the change of macroeconomic uncertainty.Then the paper uses the threshold vector autoregression model to investigate the impact of macroeconomic uncertainty shocks on the economy.The results show that uncertainty shocks have asymmetric effects:when the economy is in slow growth period,the uncertainty shock has a significant negative impact on output and inflation.