| With the acceleration of the process of economic globalization,the uncertainty and complexity of the world economic situation are increasingly deepened,especially since the financial crisis in 2008,the increase of global economic uncertainty has gradually attracted the attention of governments and academia.As the second largest economy in the world,with the increasing uncertainty of the world econo mic recovery after the international financial crisis,the uncertainty and complexity of China's economy have also increased.In recent years,especially when China's economy turns into medium and high-speed growth,with the increasing downward pressure of C hina's economy,the risks of real estate,stock market,local debt and other financial markets are constantly accumulating,which will undoubtedly increase the uncertainty of the economic system and need to be paid due attention.The outbreak of China's stock market disaster in 2015 had a wide and huge impact;at the beginning of 2016,China's economy was faced with uncertainties such as limited de stocking effect,exchange rate turbulence caused by exchange rate market reform,and capital outflow.Under the combined effect of the above factors,the downward pressure on the economy increased;the risk of domestic bond market and Sino US trade friction also brought many uncertainties in 2017;2018 is also a year full of risks and uncertainties.Investors are worried about the launch of Trump's tax reform policy,the adjustment of the Federal Reserve's monetary policy and the rise of trade protectionism.Generally speaking,compared with developed countries,developing countries are more seriously affected by uncertainty factors,while their own ability to resist risks is weak.Therefore,the research on economic uncertainty of developing countries is of more significance.Therefore,in the current economic environment,how to objectively evaluate the uncertainty of C hina's economy is an urgent question to be answered.Firstly,this paper attempts to build China's macroeconomic uncertainty index and verify its impact on the effectiveness of macroeconomic and related policies.Monetary policy is an important means of macroeconomic regulation.When the economy is facing great uncertainty,will the effect of monetary policy regulation change significantly? This is also an urgent question to be answered in the practice of monetary policy in the future.In the past three decades,the operation mode of financial market has changed dramatically.The financial market is more affected by uncertainty,and has a profound impact on the effectiveness of monetary policy.For example,Woodford(2003)pointed out that in the past decade,the transmission mechanism of monetary policy in the United States has changed dramatically: the correlation between economic variables and short-term policy rates has changed significantly in different periods.From 1962q1 to 1979q3,the growth rate of economic aggregate and expenditure has a negative correlation with the nominal federal funds rate,especially with the late federal funds rate;From 1984q1 to 2008q4,the growth rate of economic aggregate and expenditure has a positive correlation w ith the nominal federal funds rate,especially the late federal funds rate.From the perspective of China's situation,in recent years,with the recommendation of a series of economic and financial reforms including exchange rate market and interest rate liberalization,China's monetary and financial operation mechanism has undergone profound changes,and the increasingly deepening financial market has an increasingly important impact on monetary policy transmission.Generally speaking,the transmission mec hanism of C hina's monetary policy is mainly from the central bank to the financial system,and then to the real economy.At present,China's currency can be roughly divided into price channels and quantity channels.However,with the deepening of the financial market,the capital market has begun to form new influence channels.For example,when the asset price rises,on the one hand,it will promote the consumption of residents through the wealth effect,on the other hand,it will promote the consumption o f residents through the wealth effect On the one hand,it will also affect the balance sheet of the enterprise,thus affecting the financing ability and the financing cost of the enterprise,and then the financing scale of the whole society will change,eventually affecting the real economic activities,which is actually what we call the balance sheet channel.Then,in the current asset market facing high uncertainty,the effectiveness of monetary policy will undoubtedly change significantly.In addition to the introduction and conclusion,this paper mainly includes the following five chapters.The first chapter is the theoretical basis of this paper,which mainly clarifies the impact of economic uncertainty on macro-economy and the effectiveness of monetary policy and its mechanism.The second chapter is macroeconomic uncertainty and its measurement.Based on the actual situation of China's economy,the paper constructs China's macroeconomic uncertainty index by using the research methods of Jurado et al.(2015).In order to illustrate the applicability of the index,the paper further discusses the relationship and difference between macroeconomic uncertainty index and economic policy uncertainty,as well as the VIX sum of stock market volatility.The third c hapter is the impact of macroeconomic uncertainty on the effectiveness of monetary policy.This chapter mainly discusses whether the macroeconomic uncertainty will have an impact on the effectiveness of monetary policy.Based on the sample of C hina's macroeconomic in2005-2017,it first studies whether the monetary policy has an effective impact on economic output and price level,and then examines the situation of changes in macroeconomic uncertainty Under the circumstances,whether the impact of money supply m2,credit and interest rate on economic output and price level changes and the degree of change.The fourth chapter is the impact of macroeconomic uncertainty on the structural adjustment effect of monetary policy,which is the core chapter of this paper.It discusses in detail the impact of macroeconomic uncertainty on the structural adjustment effect of monetary policy.Also,with the help of C hina's macroeconomic data in 2005-2017,it studies whether there is an effective impact of monetary policy on the industrial structure first,and then examines the macro-economic data When the economic uncertainty changes,the impact of money supply m2,interest rate and price index on the industrial structure changes and the degree of change.The fifth chapter is the macroeconomic uncertainty and the effectiveness of structural monetary policy.On the basis of studying the structural effect of macroeconomic uncertainty on aggregate monetary policy,this chapter continues to discuss the effectiveness of structural monetary policy under high macroeconomic uncertainty.Considering that the implementation time of structural monetary policy is short,and it is in the stage of high macroeconomic uncertainty,this chapter focuses on the impact of high macroeconomic uncertainty on the structural effect of structural monetary policy from the perspective of the effectiveness of structural monetary policy.Based on the data samples of 1845 listed companies from the first quarter of 2013 to the fourth quarter of 2018,this paper uses different regression methods,different measurement methods of financing constraints,and compares the empirical results of different sub samples of enterprises with different characteristics,comprehensively and carefully analyzes the different effects of different structural monetary policy instruments on financing constraints of private enterprises,state-owned enterprises,small and medium-sized enterprises and large enterprises Finally,the effectiveness of each transmission channel of structural monetary policy is further investigated.The main conclusions of this paper are as follows:1.Based on the measurement and comparison of economic uncertainty,this paper finds that economic policy uncertainty is more a response to changes in economic policies of various countries than a complete response to macroeconomic uncertainty;at the same time,economic policy uncertainty is likely to be a passive response made by policy authorities according to macroeconomic uncertainty.Because of the imperfection of China's capital market,VIX can not fully reflect the uncertainty of the whole economy,and compared with the index of macroeconomic uncertainty,VIX can reflect the time of economic uncertainty,but can not reflect the specific degree of macroeconomic uncertainty.2.Based on the impact of macroeconomic uncertainty on the effectiveness of monetary policy,the study finds that,first of all,macroeconomic uncertainty will weaken the effectiveness of quantitative monetary policy,significantly reduce the marginal effect of policy stimulus on output promotion,but basically will not change the direction of its use.Specifically,with the increase of macroeconomic uncertainty,the impact of money supply m2 and credit loan on economic output and price le vel will be reduced,and the impact time will be shorter,but it will not change its direction of action.Secondly,macroeconomic uncertainty will weaken the effectiveness of price-based monetary policy,not change its direction of action on economic output,but change its direction of action on price level.Specifically,with the increase of macroeconomic uncertainty,the impact of interest rate on economic output and price level will be reduced,and the impact time will be shorter.But for the price level,the macroeconomic uncertainty will change the direction of the impact of interest rate shocks on the price level.Finally,macroeconomic uncertainty will weaken the effectiveness of income distribution of monetary policy,but will not change its direction of action.The positive impact of monetary policy will aggravate income inequality,and with the increase of macroeconomic uncertainty,monetary policy will aggravate income inequality more seriously.3.Based on the impact of macroeconomic uncertainty on the structural adjustment effect of monetary policy,the research finds that,first of all,both quantitative monetary policy,price monetary policy and inflation have an impact on the three industries,and the impact effect is significantly different,so there is a significant structural effect.Specifically,money supply m2 and inflation have the greatest impact on the second industry,the third industry second,and the least impact on the first industry;while interest rate has the greatest impact on t he second industry,the first industry second,and the least impact on the third industry.Secondly,considering the uncertainty of macro-economy,we find that with the increase of the uncertainty of macro-economy,the impact of quantitative monetary polic y,price monetary policy and inflation on the three industries has changed significantly,and there are obvious differences in this change,so the uncertainty of macro-economy has a significant effect on the structure of monetary policy Effective impact.Moreover,macroeconomic uncertainty has a significant impact on the industrial structure adjustment effect of quantitative monetary policy.Specifically,with the improvement of macroeconomic uncertainty,the impact of M2 on the three industries has changed in both the degree and the time of impact.Among them,the impact on the primary industry is still very small,which is basically the same as not considering the macroeconomic uncertainty;the impact on the secondary industry is very large,specifically,the macroeconomic uncertainty can greatly reduce the impact of money supply M2 on the secondary industry,but also significantly reduce the impact time;the impact on the tertiary industry is relatively large,but not on the secondary industry Loud.In add ition,macroeconomic uncertainty has a significant impact on the adjustment effect of industrial structure of price monetary policy.Specifically,with the increase of macroeconomic uncertainty,the impact of interest rate shocks on the three industries has changed both in the degree and time of impact.Among them,the impact on the primary industry is still very small,which is basically the same as that without considering the macroeconomic uncertainty;the impact on the secondary industry is very large,specifically,the macroeconomic uncertainty can greatly reduce the impact of interest rates on the secondary industry,but also significantly reduce the impact time;the impact on the tertiary industry is relatively small,but it accelerates the impact of interest rates The speed of the impact on the tertiary industry(soon peaked)reduces the impact time.Finally,macroeconomic uncertainty has a significant impact on the adjustment effect of inflation on industrial structure.Specifically,with the improvement of macroeconomic uncertainty,the impact of CPI on the three industries has changed in both the degree and time of impact.Among them,the impact on the first industry is still very small,which is basically consistent with the fact that the macro-economic uncertainty is not considered;the impact on the second industry is very large,specifically,when the macro-economic uncertainty is high,the impact of CPI is significantly smaller than that when the macro-economic uncertainty is not considered,and for the low macro-economic uncertainty,the impact effect of CPI has repeatedly fluctuated,and the impact has a negative impact The response time increases substantially;the impact on the tertiary industry is relatively large,and even there are changes in the direction of impact,but the direction of low macroeconomic uncertainty has not changed,but the degree of impact is greater than the situation without considering macroeconomic uncertainty.4.Based on the uncertainty of macro-economy and the effectiveness of structural monetary policy,it is found that: firstly,compared with the traditional monetary policy tools,structural monetary policy tools are more effective in easing the financing constraints of private enterprises and small and medium-sized enterprises,among which mortgage supplementary loans and regular loans are the most effective,but the policy effect shows obvious time lag characteristics;directional reduction The effect of quasi policy is not stable,and the convenient operation of medium-term lending can not alleviate the financing constraints of private enterprises and small and medium-sized enterprises.All kinds of structural monetary policy tools have no significant impact on the financing constraints of state-owned enterprises and large-scale enterprises.Secondly,the relationship between different structural monetary policy instruments and financing constraints of characteristic enterprises is examined by using investment cash flow sensitivity coefficient as an alternative index of financing constraints,and it is found that the above results are still stable.Finally,the transmission channels of different structural monetary policy tools are different and the unblocked situation of transmission channels is also different.The micro effectiveness of targeted reduction and medium-term lending facilities is weak,which can not alleviate the financing constraints of enterprises,indicating that its transmission channels are blocked;while the credit risk channels and bank credit channels of standing lending facilities are effective,and the role of bank credit channels is greater;mortgage supplementary loans mainly achieve targeted regulation through bank credit channels,not through credit risk channels.Based on the above research,this paper puts forward relevant policy suggestions.In the practice of monetary policy,the central bank should make full use of a variety of structural monetary policy tools,make a good combination of monetary policy control,and further strengthen the "targeting" of structural monetary policy operation through the specific provisions of policy implementation.Some of the structural monetary policies are ineffective and the transmission channels are blocked,which requires continuous innovation of structural monetary policy tools,further strengthening the credit guidance for commercial banks,striving to break the tendency of "reluctant to lend" to private enterprises,small and medium-sized enterprises and other weak enterprises,and better dredge the transmission channels of monetary policies.The research contributions of this paper are mainly reflected in the following two aspects:1.Based on the actual situation of C hina,this paper clarifies the differences between the existing researches on uncertainty measurement and puts forward a more suitable measurement for China's actual economic situation.The key to measure economic uncertainty lies in clarifying the related variables of uncertainty and how to extract the components of economic uncerta inty.From the existing research,the main methods to measure macroeconomic uncertainty can be divided into four categories:financial market volatility method,expert survey prediction method,prediction error method and news media information mining method.Most of the above four methods indirectly measure macroeconomic uncertainty by looking for alternative indicators of uncertainty,especially the financial market volatility method(bloom,2009)mixes uncertainty with other concepts(such as financial r isk),and the estimated results do not reflect macroeconomic uncertainty.Chuli et al.(2017)believed that using alternative indicators to estimate uncertainty,there was systematic alternative bias,and the interpretation and reliability of the estimatio n results were relatively insufficient.The index of macro-economic uncertainty constructed in this paper can make better use of the information of real economy and financial market,and has better counter periodicity and persistence.Specifically,the uncertainty index constructed in this paper should have a certain negative correlation with economic activities,or the economic uncertainty index has a certain counter cyclical.Unlike the general impact,the structural problems of economy are generally cons idered to have a certain lasting effect.After the construction of the economic uncertainty index,this paper tests the impact of the index on economic activities,and finds that it has obvious persistence,which satisfies the condition,indicating that the index constructed in this paper can better reflect the situation of economic structural problems.2.This paper focuses on the new trends of the structural effect of monetary policy,discusses the changes of the structural effect of monetary policy in the environment of economic uncertainty and the effectiveness of structural monetary policy.In the past,the research on the effectiveness of monetary policy mainly focused on the aggregate effect of monetary policy,but not enough on the structural effect and structural monetary policy.This paper fully considered the new characteristics of these monetary policies in the process of practice.Specifically,based on the impact of macroeconomic uncertainty on the structural adjustment effect of monetary policy,this paper finds that,first of all,both quantitative monetary policy,price monetary policy and inflation have an impact on the three industries,and the impact effect is significantly different,indicating that there is a significant structural effect.Moreover,in the period of high uncertainty,the effectiveness of structural monetary policy also has some new features.For example,compared with traditional monetary policy tools,structural monetary policy tools are more effective in easing the financing constraints of private enterprises and small and medium-sized enterprises.Among them,mortgage supplementary loans and standing loan facilities have the most significant effect,but the policy effect shows obvious time lag characteristics;The effect of targeted reduction policy is not stable;the medium-term loan facilitation cannot alleviate the financing constraints of private enterprises and small and medium-sized enterprises.All kinds of structural monetary policy tools have no significant impact on the financing constraints of state-owned enterprises and large-scale enterprises. |
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