经济政策不确定性对宏观经济的影响——基于实证与理论的动态分析

Does Policy Uncertainty Drive Chinese Aggregate Fluctuations?——Evidences and Dynamic Analysis

"新常态"下的经济政策不确定性在加大,但针对该不确定性的宏观效应及其机制的探讨,学界并未展开。为此,本文从实证与理论两个角度研究政策不确定性对宏观经济的影响。基于Max-share方法的结构向量自回归识别技术,本文发现政策不确定性上升会导致产出和物价水平显著下降,从而表现为负的需求冲击。随后,本文将政策不确定性引入新凯恩斯动态一般均衡模型中。定量分析显示:(1)模型很好地解释了实证发现,政策不确定性显著增加了产出和价格波动分别约10%和15%;(2)公众对政策的预期会显著增强不确定性冲击对经济波动的影响;(3)随着经济结构转型期的劳动收入份额下降以及劳动供给弹性变小(刘易斯拐点之后),政策不确定性对中国宏观经济的不利影响将不断增强。

The disturbance from policy uncertainty has been overlooked by the Chinese business cycle literature. We aim to empirically and quantitatively document the aggregate effects of policy uncertainty on the Chinese economy. Using a structural vector auto-regression model with a novel identification scheme, we recover the Chinese policy uncertainty shocks, and find that this type of shock resembles a negative demand shock, leading to declines in output and price level. We then construct a New-Keynesian dynamic general equilibrium model with Chinese characteristics and policy uncertainties. The quantitative exercises show that:(1) The simulation results closely match the empirical findings;(2) The adverse effects of policy uncertainty are exacerbated by introducing expectations about future policy;(3) The adverse effects of policy uncertainty becomes more severe when labor income share and elasticity of labor supply decline.