The Construction Of Economic Uncertainty Index In China And Its Application In Macro Field

This paper selects a large number of variables related to economic uncertainty from the aspects of reflecting economic activity level,core inflation rate,exchange rate,foreign interest rate and development level of financial market,and constructs China's economic uncertainty index(EUI)by combining dynamic factor model and EGARCH model.Then,the correlation between economic uncertainty and macroeconomic variables was studied based on periodic spectrogram and cross-spectral analysis,and the Granger causality test was carried out on their relationship.On this basis,the impact effect of EUI on macroeconomic variables in China is studied under different economic uncertainty conditions.Finally,China's EUI is taken as the threshold variable,and the asymmetric effects of China's monetary policy are measured from different perspectives of economic uncertainty based on the threshold VAR model.The results show:First,the economic uncertainty index constructed in this paper can well reflect the uncertainty characteristics of China's economic changes.Some important economic events at home and abroad can be accurately identified by the constructed economic uncertainty index.Second,in the long run,China's economic uncertainty index has a strong correlation with GDP and inflation rate,and under different economic uncertainty conditions,China's economic uncertainty index has an asymmetric effect on the impact of the real economy and the inflation rate.To be specific,economic uncertainty can cause inflation to fall;However,economic uncertainty will inhibit the development of China's real economy,and the inhibition effect is more significant under the condition of high economic uncertainty.In general,China's EUI has a negative impact on both GDP and inflation.Thirdly,under different economic uncertainty conditions,China's monetary policy has asymmetric effects.Comparatively speaking,expansionary monetary policy can promote economic growth under the condition of low economic uncertainty.Therefore,the paper suggests that the central bank should compile and timely publish EUI,which reflects the characteristics of China's economic uncertainty.Furthermore,based on the economic uncertainty index,it can effectively promote the growth of the real economy,control the consumer price and implement China's monetary policy.