The Interaction,Transmission Effect And Policy Response Of China's Economic And Financial Uncertainty

In early 2020,the new pneumonia epidemic broke out and gradually swept the world.The epidemic has accelerated the evolution of the unprecedented changes in a century,and at the same time,it has triggered in-depth thinking on uncertainty from all walks of life.This is a key issue that cannot be ignored in the process of promoting stable and healthy economic and financial development.Needless to say,the internal and external environment in which China's economy operates today is full of unstable and uncertain factors.On the one hand,it faces the test of instability factors such as domestic resource mismatch,local government debt risks and "de-realization to deficiency" in the financial market,and on the other hand,it is also continuously subjected to financial risk spillover contagion from developed economies,structural reform shocks from emerging economies,and the impact of the financial crisis.On the other hand,China is also suffering from the impact of structural reforms in emerging economies,the uncertainty of the new pneumonia epidemic,trade protectionism and other forms of isolationism,which have brought significant potential uncertainties to China's economic and financial development and become a major obstacle to its economic and financial stability.In this context,in order to avoid short-term shocks from becoming long-term risks and to improve China's ability to cope with uncertainties such as sudden and unknown events with strong diffusion and transmission capabilities,we adopt a research paradigm combining empirical and theoretical approaches,following the rigorous logic of "problem formulation ? empirical investigation ? theoretical analysis".On the basis of separating the measurement of economic and financial uncertainties in China and clarifying the dynamics of their interactions,we summarize the empirical facts of the impact of uncertainty shocks based on dynamic econometric models at both economic and financial levels,and construct a nonlinear DSGE model incorporating economic and financial uncertainties to systematically explain the shock transmission mechanism of each uncertainty.In addition,as an important manifestation of the application value and social significance of this paper,the response dynamics and regulatory effectiveness of China's macroeconomic policies under the impact of economic and financial uncertainty shocks are combined to broaden the choice of policy mechanisms in previous uncertainty-related theoretical studies,and to explore a multi-objective policy regulation model that effectively responds to multidimensional uncertainty shocks using a combination of fiscal and monetary policy experiments and "counterfactual" numerical simulation analysis.The policy regulation model is explored using a combination of fiscal and monetary policy experiments and "counterfactual" numerical simulations.The details of the study and the findings are as follows.Chapter 1 introduces the realistic and theoretical background of economic and uncertainty shocks in China,and presents the core research questions and research logic of this paper,on the basis of which the research methodology and main innovations are clarified.Chapter 2 compares the classical literature on the connotation and measurement of economic and financial uncertainty,the impact of shocks and policy responses to economic and financial uncertainty,and designs a specific solution to the problem on the basis of clarifying the relationship between this research and the existing results.In order to further strengthen the theoretical foundation of this paper,this chapter also relies on the theory of uncertainty and economic cycle to construct a theoretical framework of the transmission mechanism between uncertainty shocks and economic and financial fluctuations,and sort out the state-dependent and superposition characteristics of the effects of uncertainty shocks,which provides an important argumentative idea for the subsequent empirical investigation.In general,Chapters 1 and 2 aim to lay the groundwork for the subsequent chapters of the thesis,such as the empirical investigation and the elaboration of the theoretical mechanism.Chapter 3 separates the measures of economic and financial uncertainty in China based on the defining connotation of uncertainty,using a high-dimensional factor model that is not limited by data dimensionality and can utilize more economic and financial information,and combines empirical analysis,nonlinear Granger causality tests and dynamic spillover index methods based on TVP-VAR models to examine the characteristics of changes in economic and financial uncertainty and the interaction The study finds that the dynamics of economic and financial uncertainty in China are not well understood.It is found that both Chinese economic and financial uncertainties have obvious phase fluctuation characteristics,and both of them show significantly increasing fluctuation characteristics and correlation dynamics under major crisis events,and uncertainty shocks have obvious multidimensional and heterogeneous characteristics;financial uncertainty is an important source of causing economic uncertainty,especially in the outbreak of global financial crisis and post-financial crisis period,the impact of economic uncertainty on The impact of economic uncertainty on financial uncertainty is relatively low,and the interaction between the two is mainly manifested as the one-way impact of financial uncertainty on economic uncertainty;since the economy has entered the new normal period,the spillover effect of economic uncertainty has increased significantly and is larger than that of financial uncertainty.Chapter 4 systematically examines the dynamics of the impact of uncertainty shocks on economic volatility and their state-dependent characteristics based on dynamic measures such as SV-TVP-VAR model,SV-TVP-DF model and PCHVAR model in two dimensions: macro and meso(provincial)economy of China.It is found that both economic and financial uncertainties in China are important factors causing macroeconomic fluctuations,but financial uncertainty shocks have a greater amplifying effect on macroeconomic fluctuations and exhibit more obvious lags and persistence in comparison.The relative magnitude of the impact of uncertainty shocks on economic fluctuations is influenced by actual economic and financial factors such as the scale of local credit supply,industrial structure,and fiscal scale,which show significant state-dependent characteristics,and the impact effect and formation mechanism between the shocks under different conditions.The impact effect and formation mechanism thus undergoes important changes.Chapter 5 integrates the macro and meso(sub-market)financial dimensions of China,and systematically examines the volatility characteristics and superposition mechanism of Chinese financial markets under uncertainty shocks based on dynamic measures such as TVP-FAVAR-DMA models and frequency domain connectivity.It is found that China's financial market volatility has obvious correlation characteristics with the dynamics of economic and financial uncertainty,especially under major crisis events,and its volatility dynamics affected by uncertainty shocks will deviate from the main cycle of 3-4 years driven by the volatility of various financial submarkets together,and even a short-cycle volatility component of about two years during periods of high economic or financial uncertainty;China's economic and financial The impact of uncertainty on financial volatility is mainly short-to medium-term,and the impact of the circular transmission and accelerated amplification mechanism between the economic and financial situation and uncertainty shows non-linear characteristics,but the shock of dominant uncertainty in the corresponding period has obvious long-term effects;the superposition mechanism of financial market volatility under different types of uncertainty shocks has obvious differences,with economic(financial)uncertainty as the dominant In the period dominated by economic(financial)uncertainty,the short-and medium-term financial volatility components are mainly superimposed by the stock,bond and money(credit,exchange rate and real estate)markets.Chapter 6 combines empirical investigation and theoretical mechanism analysis to empirically summarize the macroeconomic effects of economic and financial uncertainty shocks in China,obtain relevant empirical facts,and construct a nonlinear DSGE model consistent with the above macro empirical facts to theoretically explain the transmission mechanisms of economic and financial uncertainty shocks.It is found that economic and financial uncertainty will have distinct shock effects due to the differences in their transmission mechanisms,where economic uncertainty is mainly characterized as costpush shocks,while financial uncertainty is characterized as economic tightening shocks in the short run;the price markup of firms and the financial friction mechanism are intrinsic determinants of the impact effects of economic and financial uncertainty shocks,respectively,and are also act as additional amplification mechanisms for financial and economic uncertainty shocks;factors such as consumption habits and risk aversion preferences of economic agents also determine the size of the impact effects of economic and financial uncertainty shocks,but do not change the nature of their impact effects.Chapter 7 combines empirical tests and policy counterfactual simulation analysis to empirically summarize the response dynamics and effectiveness of China's fiscal and monetary policies under economic and financial uncertainty shocks based on nonlinear econometric methods such as the LT-TVP-VAR model and STVAR model on the one hand,and provide guidance and reference for the design of policy options to effectively cope with uncertainty shocks;on the other hand,it provides guidance and reference for the policy options constructed in Chapter 6 On the other hand,the policy mechanism in the nonlinear DSGE model constructed in Chapter 6 is extended to explore the multi-objective policy regulation scheme to effectively cope with multidimensional uncertainty shocks.It is found that Chinese fiscal and monetary policies exhibit significant time-varying responses to uncertainty shocks,with obvious camera choices and lags;economic and financial uncertainties not only affect the effects of policy regulation in quantitative terms,but also change their directions,both of which weaken the effectiveness of policy regulation.In response to negative economic and financial uncertainty shocks,the coordination of monetary and fiscal policies can create room for fiscal policy and enhance the sustainability of policy,especially the combination of increased fiscal spending,debt management and mixed monetary policy has outstanding effectiveness in regulating the economy,stabilizing finance and controlling debt.In particular,the combination of increased fiscal spending,debt management and mixed monetary policy has outstanding effectiveness in regulating the economy,stabilizing finance and controlling debt.In general,this paper first achieves the separation of economic and financial uncertainties in China,clarifies the occurrence and interaction dynamics of each uncertainty shock,and on this basis extracts typical empirical facts about the impact of economic and financial uncertainty shocks in China from both economic and financial levels;finally,combines macro empirical findings with theoretical analysis,constructs a policy rule that includes economic and financial uncertainty shocks and incorporates Finally,we combine macro empirical findings with theoretical analysis to construct policy rules that include economic and financial uncertainty shocks and incorporate them into China's macroeconomic regulation practices,and theoretically explain the transmission mechanisms of each uncertainty shock while exploring multi-objective policy regulation solutions that effectively respond to economic and financial uncertainty shocks.The research in this paper is important for understanding the shocks,transmission and policy responses to multidimensional uncertainties in China's economy and finance.