全球经济政策不确定性的动态溢出结构演变与外部事件冲击

Structural Evolution of Dynamic Spillover Effects of Global Economic Policy Uncertainty and External Event Shocks

本文利用美、欧、中、日四大经济体2000年1月~2021年5月的经济政策不确定性指数(EPU),采用基于TVP-VAR模型的时变溢出指数法对经济政策不确定性的时变溢出效应进行测度,并在此基础上利用WBS结构变点检测方法研究其结构突变及其与全球政治、经济、公共卫生等重大突发事件的关联,并通过时变以及时点脉冲响应分析研究了各经济体在短期、中期、长期3个不同周期视角下的溢出特征,以及在中美贸易争端、新冠肺炎疫情两个重大外部事件冲击下的溢出机制。结果表明:全球主要经济体经济政策不确定性的时变总溢出指数存在结构变化,金融危机、欧债危机、中美贸易摩擦、新冠肺炎疫情等重大事件的发生都引发了溢出效应的结构转变。早期美欧两大经济体是主要的溢出风险输出方,中日是主要的接收方,但自中美贸易争端以来我国的净溢出指数呈上升趋势,显示出我国抵御外部政策不确定性溢出风险的能力逐渐增强。在金融危机之前,各经济体的溢出效应以短期冲击为主,金融危机之后中长期脉冲响应逐渐显现,并且在新冠肺炎疫情时期,各经济体的长期脉冲响应普遍激增。

This paper applies the TVP-VAR model to the economic policy uncertainty(EPU)index data of US,Europe,China and Japan from Jan.2000 to May 2021 to construct the time-varying spillover index,which can measure the time-varying spillover effects of economic policy uncertainty among these four economies.Then we use the WBS change-point detection method to analyze the structural changes of the time-varying spillover index and further unveil their connections with the external event shocks.Furthermore,the spillover characteristics are studied from the short,median and long-term perspectives by time-varying impulse response analysis and analyzed under the events of US-China Trade Friction,and COVID-19 epidemic by time point impulse re⁃sponse function.The empirical results show that the dynamic total index has structural shifts.The structural changes almost can be attributed to the global important events,such as global financial crisis in 2008,European debt crisis,US-China Trade Friction,COVID-19 epidemic and so on.In the early stage of twenty-one century,US and Europe are the main exporters of uncertainty risk,while China and Japan are the main receivers.But since the US-China Trade Friction,China's net spillover index increases,which shows that China's ability of resisting spillover risk from other economies has been improved.Before the financial crisis,the spillover effects are mainly short-term,while after that,the medium and long-term spillover effects gradually appear.Especially during the COVID-19 epidemic period,the long-term spillover effects increase sharply in four economies.