Economic Uncertainty And Its Macroeconomic Effects In China

With the acceleration of economic globalization and financial integration,the economic development of countries around the world is increasingly closely linked,while the world economic situation has become increasingly instability,and it is accompanied by uncertainties.In particular,there has been a marked increase in global uncertainty since the onset of the global financial crisis in 2008,which makes the world economy that already mired in the same year financial crisis and yet to recover,continue the trend of sluggish growth.At the same time,as the world's second largest economy,after 30 years of rapid growth,the uncertainty and complexity of Chinese economic activity also increased in recent years.On the one hand,as the largest developing country in the world,the external factors such as trade friction between China and the United States,monetary policy adjustment of the Federal Reserve and economic slowdown of the global economy,especially the emerging economies,are bound to affect the operation of China's economy in the context of globalization;On the other hand,China's economy is at a critical stage of deepening supply-side reform,and endogenous economic growth momentum is still insufficient.China's economy still faces problems such as excessively leveraged capital markets,local government debt risks and the accumulation of financial risks.These internal and external uncertainty factors add up to each other,and increased the pressure of economic operation and uncertainty in China.In this context,on the basis of fully sorting out and referring to domestic and foreign studies,this paper takes the measure of economic uncertainty in China as the starting point,and adopts a variety of econometric models to carry out empirical research on the uncertainty of Chinese economy with the progressive logic of the text.Firstly,based on the research method of Jurado et al.(2015),the uncertainty index of China's economy was constructed,and the state evolution characteristics of China's economic uncertainty and its linkage with China's economic cycle were further analyzed by using MS-AR model and the quantile granger causality test.The results show that the peak of China's economic uncertainty occurred during the global financial crisis in 2008-2009,the second peak occurred during the economic downturn and “stock market crash” in 2015-2016,while the other peaks were smaller,mainly during the period of the frequent macroeconomic regulation by the Chinese government.It is difficult for China's economic uncertainty to transfer from a low-uncertainty state to a high-uncertainty state,but it is relatively easy to transfer from a high-uncertainty state to a low-uncertainty state,and the duration of the high-uncertainty state is only 35% of the duration of the low-uncertainty state.During the global financial crisis in 2008 and China's “stock market crash” in 2015,the high uncertainty state of China's economy lasted for a long time,especially during the global financial crisis in 2008.Economic uncertainty in China presents a counter-cyclical feature and has an obvious antechamic relationship with the China's economic cycle.Although there is a significant two-way granger causality between China's economic uncertainty and its economic cycle in the whole distribution,the granger causality is mainly reflected in the low and middle-upper quantile levels.Secondly,the time-varying spillover index model was further used to empirically investigate the impact of economic uncertainty in the world's major economies and different types of economic policy uncertainty in China on China's economic uncertainty.The results show that at the international level,66.946% of the changes in China's economic uncertainty are caused by the impact of international economic uncertainty,which is mainly concentrated in the United States,the United Kingdom,France and Japan,while the impact of Canada,Germany and Italy is less.The spillover effect of international economic uncertainty on China's economic uncertainty was mainly concentrated in the global financial crisis in 2008 and the post-crisis period,especially in the period from 2007Q2 to 2010Q2 the economic uncertainty of the U.S.,U.K.and France had the most obvious spillover effect on China's economic uncertainty.At the domestic level,the change of 32.233% of China's economic uncertainty is caused by various economic policy uncertainties in China.Among them,the influence of fiscal policy uncertainty is the biggest,followed by exchange rate and capital account policy uncertainty,monetary policy uncertainty is followed by exchange rate and capital account policy uncertainty,and trade policy uncertainty is the least.The spillover effect of economic policy uncertainty on China's economic uncertainty was mainly concentrated in the period of 2008Q1-2011Q2,and the spillover effect of fiscal policy uncertainty,monetary policy uncertainty and exchange rate and capital account policy uncertainty on economic uncertainty was particularly obvious in the period of 2007Q3-2008Q2.Thirdly,on the basis of theoretical analysis of the impact of economic uncertainty on the macroeconomy,the MH-TVC-SVAR-SV model is used to empirically analyze the time-varying impact of economic uncertainty on macroeconomy in China,and the time-point impulse response results of the global financial crisis in 2008 and China's “stock market crash” in 2015 were compared.The results show that China's economic uncertainty leads to a decline in output,prices and interest rates in the short term,and the decline in output,price and interest rate has generally shown a downward trend over time,especially during the 2008 global financial crisis.In the short term,China's economic uncertainty shock had a negative impact on output,prices and interest rates during the global financial crisis in 2008 and the “stock market crash” in 2015.However,the negative impact on the macroeconomy during the global financial crisis in 2008 was significantly greater than that during the “stock market crash” in 2015.The contribution rate of China's economic uncertainty shocks to the changes of output,prices and interest rates presents an obvious time-varying feature,and generally presents a trend of decreasing in time,while in the duration,it basically presents an increasing trend with the increase of the number of periods.The contribution of economic uncertainty shocks to the changes in output,prices and interest rates was the largest during the global financial crisis in 2008,followed by the period of economic rebound,and finally the new normal economic downturn period.Fourthly,to further explore the channels of the impact of China's economic uncertainty on the macroeconomy,the C-SVAR model was used to empirically investigate the transmission effect of financial market in the impact of economic uncertainty on the macro economy,on the basis of theoretical analysis of financial market impact uncertainty macroeconomic effect,so as to clarify the impact relationship of economic uncertainty,financial market and macroeconomy.The results show that the increase of economic uncertainty leads to the increase of financial market pressure,which further enlarges the negative effect of economic uncertainty shock on macro economy.The rise of financial market pressure does not increase the duration of the negative impact of economic uncertainty shock on the macroeconomy,but enhances the negative effect of economic uncertainty shock on the macroeconomy by rapidly increasing the extreme value of the negative impact of economic uncertainty shock on the macro economy.Although financial shocks also lead to a rise in the level of economic uncertainty,economic uncertainty plays a relatively small role in the impact of financial market on the macroeconomy,that is,economic uncertainty plays a very small role in amplifying the negative effects of financial shocks on the macro economy.Finally,the SE-IVAR model was used to empirically investigate the transmission effect of the priced monetary policy and the quantitative monetary policy in the impact of economic uncertainty on the macro economy,so as to clarify the influence relationship of economic uncertainty,monetary policy and macroeconomy.The results show that whether the central bank adopts priced expansionary monetary policy or quantitative expansionary monetary policy to deal with economic uncertainty shock,expansionary monetary policy can alleviate the negative effect of economic uncertainty shock on macro economy to some extent.When the central bank adopts the priced expansionary monetary policy,the monetary policy has a relatively obvious time lag;however,there is no significant time lag effect when the central bank adopts the quantitative expansionary monetary policy.When the central bank adopts the priced expansionary monetary policy,monetary policy alleviates the negative effect of the economic uncertainty shock by reducing the negative response value of macro economy on economic uncertainty shock and shortening the negative duration of the economic uncertainty shock on macro economy.However,when the central bank adopts quantitative expansionary monetary policy,monetary policy do not short the duration of the negative influence of the economic uncertainty shock on macro economy,but alleviates the negative effect of the economic uncertainty shock on the macro economy by reducing the negative value of the impact of the economic uncertainty shock on the macro economy.