中国政策不确定性会加剧经济与金融不确定性吗?

Does policy uncertainty increase economic and financial uncertainty in China?

本文基于中国2002年-2019年间268维月度经济金融数据实现中国政策、经济和金融不确定性的分离测度,并进一步利用动态溢出指数以及STVAR模型考察其关联机制与影响动态.研究发现:政策不确定性不仅会推升经济与金融不确定性,同时也会受到经济与金融不确定性的正向反馈影响,然而其影响效应在金融危机爆发前后发生了显著逆转,政策不确定性对经济、金融不确定性的溢出效应在后危机时期占据主导地位;政策不确定性与经济、金融不确定性之间的溢出与反馈效应受不确定性本身、经济发展水平以及金融摩擦强度等影响表现出显著的非线性特征,例如政策不确定性对经济、金融不确定性的加剧作用会随着不确定性水平和金融摩擦强度的提高而明显增强,但在经济平稳运行期间可以得到有效缓解.这些研究结果为深入理解宏观不确定性的理论内涵、合理把控经济体的不确定性水平、切实完善中国宏观调控与金融监管政策框架提供了有益的经验依据和政策启示.

Based on the 268-dimensional monthly data of China from 2002 to 2019,this paper measures China’s policy uncertainty,economic uncertainty and financial uncertainty respectively,and further studies their correlation mechanism and influence dynamics by using dynamic spillover index and STVAR model.The results show that policy uncertainty will not only aggravate economic uncertainty and financial uncertainty,but also be positively affected by economic uncertainty and financial uncertainty.The spillover effect among policy uncertainty,economic uncertainty and financial uncertainty is affected by the degree of uncertainty,the level of economic development and the intensity of financial friction,which shows a significant nonlinear characteristic.For example,the aggravating effect of policy uncertainty on economic uncertainty and financial uncertainty obviously increases with the increase of uncertainty level and financial friction intensity,but it can be effectively alleviated in the period of economic prosperity.These findings provide useful empirical evidence and policy insights for a deeper understanding of the theoretical implications of macro uncertainty,a reasonable control of uncertainty levels in the economy,and a practical improvement of China’s macro-control and financial regulatory policy framework.