经济不确定性的非对称效应、传导机制与宏观政策调控

Asymmetric Effect,Transmission Mechanism and Macro-policy Regulation of Economic Uncertainty

本文使用高维宏观数据集构建中国的宏观经济不确定性指数,基于经济周期视角评估经济不确定性对经济增长的非对称效应,通过反事实分析论证金融摩擦机制的重要作用,为理解经济不确定性冲击的非对称效应、传导机制和政策应对方式提供了重要依据。本文得到三个结论:第一,经济不确定性对产出的影响具有经济周期非对称性,经济衰退时期经济不确定性对实际GDP增长率产生了显著的负面影响,经济繁荣时期经济不确定性冲击的影响并不显著;第二,金融摩擦机制强化了经济不确定性对产出的负面影响,经济不确定性的上升通过推高企业外部融资溢价,进而更大程度地影响实体经济增长,但金融摩擦机制仅在经济衰退时期比较重要,经济繁荣时期金融摩擦机制的影响并不显著;第三,财政政策和货币政策在经济衰退时期有显著且稳定的刺激效果,扩张性的财政政策和货币政策可以缓解金融摩擦,有效稳定经济增长。本文的研究结果表明,稳定经济衰退时期的金融状况对缓解不确定性冲击的负面影响具有重要意义,积极有为的经济政策调控可以有效应对不确定性冲击、平抑经济周期波动。

This paper uses high-dimensional macro datasets to construct China's macroeconomic uncertainty index,e-valuates the asymmetric effect of economic uncertainty on economic growth from business cycle perspective,and demon-strates the important role of financial friction mechanism through counterfactual analysis.This provides an important basis for understanding the asymmetric effect,transmission mechanism,and policy response methods of economic uncertainty shock.This paper draws three main conclusions:Firstly,the impact of economic uncertainty on output is asymmetric in the business cycle.During economic recession,economic uncertainty has a significant and persistent negative impact on the real GDP growth rate,while the impact of uncertainty shock during economic prosperity is not significant;Secondly,the finan-cial friction mechanism strengthens the negative impact of economic uncertainty on output.The increase in economic uncer-tainty drives up the external financing premium of enterprises,thereby affecting the growth of the real economy to a greater extent.However,the financial friction mechanism is only important during economic recession,and its impact is not signifi-cant during economic prosperity;Thirdly,the regulatory effects of fiscal and monetary policy during economic recession are significantly higher than those during economic prosperity.Expansionary fiscal and monetary policy can alleviate financial friction and effectively stabilize economic growth.The research conclusion of this paper indicates that stabilizing the finan-cial situation during economic recession is of great significance in alleviating the negative impact of uncertainty shocks.Ac-tive and proactive economic policy regulation can effectively respond to uncertainty shocks and suppress business cycle fluc-tuations.