摘要
本文首先对经济政策不确定性影响宏观经济波动的理论机制进行剖析;然后,运用HP滤波方法对中国宏观经济波动进行了测度,基于1996第1季度-2016年第4季度数据,采用随机波动的SV-TVP-VAR模型,实证检验经济政策不确定性对中国宏观经济波动的影响。研究结果表明:经济波动对价格水平的冲击响应表现出持续上升且始终为正的特征;经济波动对货币供应量的冲击响应呈现出双"V"型特征且始终为正;经济波动对经济政策不确定性的冲击响应有正有负,具有持续性的时变特征,2010年之前,该冲击响应上下波动变化,正负频繁转换,2011-2016年,该冲击响应呈现出"V"型特征且始终为正;可见经济政策不确定性正成为影响中国宏观经济波动的重要因素。基于研究结论,本文提出我国政府制定并实施宏观经济政策的重要启示。
This paper firstly analyzes the theoretical mechanism of the impact of economic policy uncertainty on macroeconomic fluctuations. then, based on China’s economic policy uncertainty index and measures economic fluctuation by HP filter method. We observe the impaction of economic policy uncertainty shock on economic fluctuation which synthesizing a variety of macroeconomic factors by SV-TVP-VAR model. Our results reveal a few stylized facts including: Economic fluctuation reacts to economic policy uncertainty shock both positively and negatively and shows persistent time-varying characteristics: this reaction fluctuates up and down and converses positive or negative effect frequently before 2010; this reaction appears "V" features and always positive from 2011 to 2016. Economic policy uncertainty is becoming important factor on impacting macroeconomic fluctuations in China. The reaction of economic fluctuation to consumer price index shock continues to rise and always is positive, but there are differences on rising rates among different periods; the reaction of economic fluctuation to money supply shock shows double "V" features and positively all the time. Therefore, aiming to differences on current economic application, the government should give the choice of the corresponding macroeconomic policy tools both promptly and distinctly to reduce negative shock effect of economic policy uncertainty.
作者
张兵兵
朱晶
孔乐兰
Zhang Bingbing;Zhu Jing;Kong Lelan(School of Economics and Management,Nanjing Agricultural University,Nanjing 210095)
出处
《浙江社会科学》
CSSCI
北大核心
2018年第12期43-51,156,共10页
Zhejiang Social Sciences
基金
国家社会科学基金青年项目(18CJY019)
教育部人文社会科学研究基金青年项目(14XJC790011)
江苏省社会科学基金青年项目(17EYC005)
江苏省高校优势学科建设工程资助项目(PAPD)
江苏高校哲学社会科学重点研究基地重大项目(2015JDXM009)
江苏省高校哲学社会科学研究重点项目(2017ZDXM096).
