统计与数据科学学院知识库

  世界百年未有之大变局加速演进，逆全球化思想不断上升，单边主义和保护主义明显加剧，这些全球范围内的不确定性事件通过各种传导机制影响至经济层面，打破了世界经济和金融市场的和平发展，形成了一定程度的经济不确定性。在面临不确定因素增多的挑战下，应该如何准确测度我国的经济不确定性，以及经济不确定性如何影响我国宏观经济。

本文借鉴已有的相关研究和理论，首先选取了45个代表我国宏观经济的指标，采用GARCH(1,1)模型计算条件异方差，构建出符合我国国情的经济不确定性指数；其次，基于周期谱图和互谱分析，考察我国经济不确定性与宏观经济变量之间的相关性；随后，利用小波分解法分析在不同的周期上，经济不确定性指数与宏观经济代表性指标变量间的Granger因果关系；最后基于门槛向量自回归模型(TVAR)，以经济不确定性指数为转移变量，研究在不同区制下我国经济不确定性对宏观经济的非对称性冲击。

  通过上述的实证研究得到以下结论：第一，在市场中时时刻刻都存在着经济的不确定性，从而导致整个市场的动荡，最终给整个宏观经济的运行带来一定的负面影响。本文构建的经济不确定性指数在一定程度上可以很好地反映我国经济变动的不确定性特点。第二，通过相干谱和相位谱分析以及小波分解后的Granger因果检验结果得出，我国经济不确定性对经济增长的影响偏向于长期趋势，而对于通货膨胀而言，经济的变动影响更偏向中短期，但整体来说，我国经济不确定性的波动滞后于宏观经济的波动。第三，经济不确定性对中国宏观经济的影响存在非线性特征，在经济不确定性程度较高时，其正向冲击使得产出和通胀变动的影响作用更为持久且更为剧烈；而在经济不确定性较低时，其正向冲击的影响微弱。

  由此得出了以下政策启示：相关部门应及时制定和完善经济不确定性指数的构建体系，合理的构建这一体系能够最大限度地减少宏观经济波动所造成的经济不确定性。在制订和调整经济政策进行宏观经济调控时，要清楚地考虑到政策工具选择和政策执行过程中对经济不确定性的影响，尽可能地将不利影响降到最低。

     The world has undergone major changes unseen in a century, the idea of anti-globalization has been rising, and unilateralism and protectionism have intensified significantly. In the face of the challenge of increasing uncertainties, how should we accurately measure China's economic uncertainty and how economic uncertainty affects China's macroeconomy?

     Drawing on the existing relevant studies and theories, this thesis firstly selects 45 indicators representing China's macroeconomy, and uses the GARCH(1,1) model to calculate the conditional heteroskedasticity, and constructs an economic uncertainty index that conforms to China's national conditions. Secondly, based on the periodic spectrum and cross-spectrum analysis, the correlation between China's economic uncertainty and macroeconomic variables is investigated. Subsequently, the wavelet decomposition method was used to analyze the Granger causal relationship between the economic uncertainty index and the macroeconomic representative index variables in different cycles. Finally, based on the threshold vector autoregressive model (TVAR), the asymmetric impact of China's economic uncertainty on the macroeconomy under different regional systems is studied by taking the economic uncertainty index as the transfer variable.

     Through the above empirical research, the following conclusions are drawn: First, there is economic uncertainty in the market all the time, which leads to the turbulence of the entire market, and ultimately brings a certain negative impact on the operation of the entire macroeconomy. To a certain extent, the economic uncertainty index constructed in this thesis can well reflect the uncertainty characteristics of China's economic changes. Second, through the analysis of coherence spectrum and phase spectrum and the results of Granger causality test after wavelet decomposition, it is concluded that the impact of China's economic uncertainty on economic growth is biased towards the long-term trend, while for inflation, the impact of economic changes is more biased towards the short and medium term, but on the whole, the fluctuation of China's economic uncertainty lags behind the fluctuation of macroeconomy. Thirdly, the impact of economic uncertainty on China's macroeconomy is nonlinear, and when the degree of economic uncertainty is high, its positive impact makes the impact of output and inflation changes more durable and more intense. When economic uncertainty is low, the impact of positive shocks is weak.

     The following policy implications are derived: relevant departments should formulate and improve the construction system of economic uncertainty index in a timely manner, and the reasonable construction of this system can minimize the economic uncertainty caused by macroeconomic fluctuations. When formulating and adjusting economic policies for macroeconomic regulation and control, it is necessary to clearly take into account the impact of economic uncertainty on the selection of policy instruments and the process of policy implementation, so as to minimize the adverse impact as much as possible.