美国分类经济政策不确定性对中国省域经济的冲击效应——基于GVAR模型的实证分析

Spillovers from US Disaggregated Economic Policy Uncertainty to China’s Provincial Economy:Empirical Analysis based on a GVAR Model

在全球经济一体化的背景下,一国经济政策不确定性会通过贸易、投资等渠道溢出到其他国家和地区,为分析美国经济不确定性对中国各省域的影响,采用全局向量自回归模型分析美国贸易、财政和货币政策不确定性对中国各省域经济的冲击效应。研究发现:美国贸易政策不确定性对各省域宏观经济的脉冲冲击大于货币政策不确定性的冲击,而财政政策不确定性的脉冲冲击明显较小;美国贸易和货币政策不确定性对各省域的脉冲冲击具有较大的异质性,省域经济发展越“充分”,对各省域消费物价指数的冲击越倾向于负向冲击,且冲击越小,而对进出口的冲击越倾向于正向冲击,且冲击越大。各省需注意贸易和货币政策不确定性对地区消费物价指数和进出口的冲击,以提前做好应对;各省域应进一步提升创新能力和开放水平,弱化外部经济政策不确定性的负向冲击。

In the context of global economic integration,economic policy uncertainty in one country will spill over to other countries and regions through trade and investment channels.To analyze the impact of US economic uncertainty on China’s provinces and regions,a global vector autoregressive model is used to analyze the shock effects of US trade,fiscal and monetary policy uncertainty on China’s provincial economies.It is found that the impulse shocks of US trade policy uncertainty on the macroeconomy of each province are larger than those of monetary policy uncertainty,while the impulse shocks of fiscal policy uncertainty are significantly smaller.The impulse shocks of trade and monetary policy uncertainty in the US are more heterogeneous across provinces.The more“well-developed”a province’s economy is,the more negative and smaller the shocks to the consumer price index tend to be for each province,while the more positive and larger the shocks to imports and exports tend to be.Provinces need to be aware of the impact of trade and monetary policy uncertainty on regional CPI and imports and exports in order to respond well in advance.Provinces should further enhance their innovation capacity and openness to weaken the negative shocks of external economic policy uncertainty.