美国不确定性对中国经济的时变冲击——基于QBLL-TVP-VAR模型的实证分析

摘要/Abstract

摘要： 近年来，伴随着外部不确定性的凸显，中国经济不可避免地会遭受到外部不确定性尤其是美国不确定性的冲击。为此，本文基于拟贝叶斯局部似然估计的时变参数向量自回归（QBLL-TVP-VAR）模型实证分析了美国宏观经济不确定性、金融不确定性和经济政策不确定性三类不确定性对中国经济的动态影响及其差异。实证结果表明：（1）美国宏观经济不确定性引致中国产出和价格分别在2014—2020年和2008年全球金融危机期间显著下降，对中国经济产生的不利影响最大；美国金融不确定性仅引致中国产出在2016—2020年显著下降，对中国经济产生的不利影响居中；而美国经济政策不确定性仅引致中国产出在2019—2020年显著下降，对中国经济产生的不利影响最小。（2）美国宏观经济、金融和经济政策不确定性均通过降低中国消费和中美货物贸易对中国经济产生了不利影响，但美国宏观经济和金融不确定性还分别通过降低中国投资和中国股价对中国经济产生了不利影响。（3）时变预测误差方差分解结果表明，在2008年全球金融危机期间美国金融不确定性是导致中国经济波动的主要外部因素，而在2017—2020年美国宏观经济不确定性是导致中国经济波动的主要外部因素。据此，建议政府建立前瞻性预警机制和反应机制、强化对外部不确定性的监测与分析，充分利用多种宏观经济调控工具对国内经济进行适时、精准干预和引导，扩大对外贸易开放、实施多样化的贸易开放战略，深化供给侧结构性改革、加速形成以国内大循环为主体和国内国际双循环相互促进的新发展格局，来应对外部不确定性冲击。

关键词: 美国, 宏观经济不确定性, 金融不确定性, 经济政策不确定性, QBLL-TVP-VAR模型

Abstract: The increasing external uncertainty over recent years, especially that from the US, has made it inevitable for China's economy to be impacted. Therefore, based on a time-varying parameter vector autoregressive model with quasi-bayesian local likelihood estimation (QBLL-TVP-VAR), this paper empirically analyzes the dynamic impacts and differences of three kinds of American uncertainties, namely macroeconomic uncertainty, financial uncertainty and economic policy uncertainty, on the Chinese economy. The results are as follows:(1) US macroeconomic uncertainty leads to significant declines in China's output and prices respectively from 2014 to 2020 and during the 2008 global financial crisis, which has the most adverse impact on China's economy; US financial uncertainty only leads to a significant decline in China's output from 2016 to 2020, which has a modest adverse impact on China's economy; US economic policy uncertainty only leads to a significant decline in China's output from 2019 to 2020, which has the least adverse impact on China's economy. (2) US macroeconomic, financial and economic policy uncertainty have all adversely affected China's economy by reducing Chinese consumption and China-US trade in goods, but US macroeconomic and financial uncertainty has negative impacts on China's economy by reducing Chinese investment and Chinese stock prices, respectively. (3) The results of time-varying forecast error variance decomposition show that US financial uncertainty is the main external factor leading to China's economic fluctuations during the 2008 global financial crisis, while US macroeconomic uncertainty is the main external factor leading to China's economic fluctuations from 2017 to 2020. Therefore, we suggest that the government should establish a forward-looking early warning mechanism and a response mechanism, strengthen the monitoring and analysis of external uncertainty; make full use of a variety of macroeconomic control tools to intervene and guide the domestic economy in a timely and precise manner; expand the opening of foreign trade, implement a diversified trade opening strategy; deepen the supply-side structural reform and accelerate the formation of a new development pattern featuring domestic cycles as the main body and domestic and international cycles reinforcing each other to cope with the impact of external uncertainty.

Key words: US, macroeconomic uncertainty, financial uncertainty, economic policy uncertainty, QBLL-TVP-VAR model

张德园, 林宇, 侯县平. 美国不确定性对中国经济的时变冲击——基于QBLL-TVP-VAR模型的实证分析[J]. 管理评论, 2021, 33(12): 71-86.

Zhang Deyuan, Lin Yu, Hou Xianping. The Time-varying Impact of US Uncertainty on China's Economy—Based on Empirical Analysis of the QBLL-TVP-VAR Model[J]. Management Review, 2021, 33(12): 71-86.

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