经济政策不确定性宏观金融效应的统计测度研究

Measuring of macro financial effects of economic policy uncertainty

本文基于Diebold和Yilmaz(2012)提出的溢出指数,研究2006年6月至2018年10月中国、美国和全球经济政策不确定性的宏观金融效应.选取宏观金融的核心领域,分析经济政策不确定性对中国股市、汇率和大宗商品的静态溢出效应及其动态变化,并进一步探讨经济政策不确定性宏观金融效应的空间异质性.本文的主要结论为:第一,比较中国自身和其他经济体的经济政策不确定性效应,中国自身经济政策不确定性的宏观金融效应最强.稳定股票市场,预防外资恶意做空中国股票市场是规避宏观金融效应带来的系统性金融风险的有效手段.第二,经济政策不确定性对中国宏观金融市场的净溢出具有显著的时变特征,且与特殊事件具有很强的关联性.第三,不同国家或地区经济政策不确定性的宏观金融效应空间异质性主要表现在溢出强度和溢出同步性两个方面.

Based on the spillover index proposed by Diebold and Yilmaz(2012),this paper studies the impact of China,US and global economic policy uncertainty on the core areas of China’s macro finance from June 2006 to October 2018.This paper analyzes the static spillover effects and its dynamic changes of economic policy uncertainty on China’s stock market,exchange rate and commodities,and further explores the spatial heterogeneity of spillover effects.The main conclusions of this paper are that:1)China’s economic policy uncertainty has the greatest impact on China’s macro financial core areas.Stabilizing the stock market and preventing the malicious short-selling of the Chinese stock market is an effective means to avoid the systemic financial risks brought about by the macro financial effect.2)The uncertainty of economic policy has a significant time-varying feature for the net spillover of China’s macro financial market.And it has a strong correlation with specific events.3)The spatial heterogeneity of macro financial effects of economic policy uncertainty in different countries or regions is mainly reflected in the two aspects—Intensity and synchronization of spillover.