经济政策不确定性对宏观经济的影响

Effect of Economic Policy Uncertainty on Macroeconomy

基于2001年1月至2022年4月间的高维月度数据,通过构建潜在阈值时变因子扩展的向量自回归模型(LT-TVP-FAVAR模型),研究经济政策不确定性对我国宏观经济的非线性影响。实证结果表明,构建的LT-TVP-FAVAR模型在分析经济变量之间的影响关系时将更多的信息包含在内,使得模型得出的结论与实际情况更加吻合;脉冲响应图显示,经济政策不确定性在短期内对我国的产出和物价水平都具有明显的冲击效应,而长期上这种冲击会慢慢减缓。在经济不稳定时期,我国的经济增长速度比经济稳定时期缓慢,通货膨胀率水平提高,不利于我国经济长期稳定发展。为实现经济高速稳定的发展,政府及相关部门应适时把控宏观经济政策调整的力度和频率,在最大程度上保证经济运行的透明度,从而降低经济政策不确定性带来的负面影响。

Based on the high-dimensional monthly data from January 2001 to Apil 2022,this paper firstly constructs the LT-TVP-FAVAR model,and then analyzs the non-linear efcts of economie poliey uncertainty on China's macroeconomy.The empirical results show that,the LT-TVP-FAVAR model constructed in this paper adopts more information to analyze the infuence relationship among economic variables,which make the conclusion drawn by the model be more consistent with actual situation.The impulse response diagram of empirical results reveal that,economic policy uncertainty has an evident shock impact on the output and price level of China in the short term,and the impact would gradually lessen.During the period of economic instability,the economie growth speed in China is slower than that in the stable period,and the level of inflation also rise,which is harmful to the long-term stable development of China's economy.In order to achieve high-speed and stable economie development,the government should timely control the intensity and frequency of macrocconomic policy adjustment,so as to best ensure the transparency of economie operation,fllowed by reducing the negative impact of economie policy uncertainty.