外部经济政策不确定性、跨境资本流动与经济波动

External Economic Policy Uncertainty,Cross Border Capital Flows,and Economic Fluctuations

近几年中国面临的外部经济政策不确定性持续攀升,国内经济也由量的发展转向质的提高,那么明确外部经济政策不确定性对国内宏观经济的影响则是当前亟须解决的重要问题。基于中国2001年1月至2022年12月的数据构建VAR模型和“BK”溢出指数实证研究外部经济政策不确定性、跨境资本流动对经济波动的影响及其周期性特征。研究表明:第一,外部经济政策不确定性升高和跨境资本流动增加都会导致中国经济波动加剧;第二,外部经济政策不确定性升高会促进跨境资本流动;第三,外部经济政策不确定性对经济波动的影响因经济金融环境的变化而存在差异,对跨境资本流动的影响主要发生在短期(半年内),而跨境资本流动在短期和长期(半年以上)均对经济波动产生不利冲击。因此,相关部门需强化不同周期下跨境资本流动的监管,针对不同周期下外部经济政策不确定性和跨境资本流动对经济波动产生的影响实施相对应的措施,并完善外部经济政策不确定性监测体系,以实现经济稳健发展。

In recent years,China has faced a continuous rise in external economic policy uncertainty,and the domestic economy has also shifted from quantitative development to qualitative improvement.Therefore,clarifying the impact of external economic policy uncertainty on the domestic macroeconomic is an important issue that needs to be addressed urgently.Based on China’s data from January 2001 to December 2022,a VAR model and a“BK”spillover index are constructed to empirically investigate the direction and extent of economic fluctuations affected by external economic policy uncertainty and cross-border capital flows under different cycles.The study findings are as follows:Firstly,higher external economic policy uncertainty and increased cross-border capital flows exacerbate China’s economic volatility;Secondly,higher external economic policy uncertainty promotes cross-border capital flows;Thirdly,the impact of external economic policy uncertainty on economic fluctuations varies due to changes in the economic and financial environment,and the impact of external economic policy uncertainty on cross-border capital flows mainly occurs in the short term(within half a year),while cross-border capital flows have a positive and adverse impact on economic fluctuations in both the short term and the long term(over half a year).Therefore,the relevant departments need to strengthen the supervision of cross-border capital flows under different cycles,implement corresponding measures to address the impact of external economic policy uncertainty and cross-border capital flows on economic fluctuations under different cycles,and improve the monitoring system of external economic policy uncertainty in order to realize sound economic development.