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