世界主要经济体宏观经济不确定性的时变双向溢出效应分析  

The Analysis of Time-varying Bidirectional Spillover Effects of Macroeconomic Uncertainty in the World’s Major Economies

作　　者：金春雨[1,2] 张德园[2] Jin Chunyu;Zhang Deyuan

机构地区：[1]吉林大学数量经济研究中心,长春130012 [2]吉林大学商学院,长春130012

出　　处：《经济问题探索》2019年第8期104-115,共12页Inquiry Into Economic Issues

基　　金：国家社会科学基金重大专项“适应新时代社会主要矛盾变迁着眼构建现代化经济体系的深化供给侧结构性改革研究”(18VSJ018)，项目负责人:金春雨

摘　　要：近十年来,“黑天鹅”事件频发极大地增加了全球经济的不确定性。在全球经济一体化的背景下,一国经济不确定性势必会受到他国经济不确定性的间接影响,从而延长本国经济不确定性对国内经济的直接影响。本文基于时变参数向量自回归(TVP-VAR)模型构建时变溢出指数,实证研究了2003年第4季度至2016年第1季度美国、欧元区、英国、日本、韩国和中国宏观经济不确定性之间的时变双向溢出效应,并进一步采用面板固定效应模型从事实层面(Defacto)和法律层面(Dejure)两个维度上实证分析了贸易全球化和金融全球化对宏观经济不确定性双向溢出效应的影响。实证结果表明:(1)主要经济体宏观经济不确定性总溢出效应为25%-52%,在2008年全球金融危机至2012年欧洲债务危机期间总溢出效应高达44%以上。(2)各主要经济体宏观经济不确定性的溢出效应和溢入效应具有明显的时变特征与阶段性特征,未有某一经济体的溢出或溢入效应在整个样本期内占据绝对主导地位。(3)事实上的贸易全球化不仅增强了宏观经济不确定性的国际溢出效应,而且也增强了宏观经济不确定性的国际溢入效应,而事实上的金融全球化仅仅增强了宏观经济不确定性的国际溢入效应,并未对宏观经济不确定性国际溢出效应产生显著影响。In the past decade, the frequent occurrence of “black swan”events has greatly increased the uncertainty of the global economy. In the context of global economic integration, domestic economic uncertainty will inevitably be affected by foreign economic uncertainty, which is going to have an indirect effect on the former, and prolong its direct effects on the domestic economy. Based on time-varying parameter vector autoregressive ( TVP-VAR) model, this paper constructs a time-varying spillover index and empirically studies the time-varying bidirectional spillover effects of macroeconomic uncertainties between United States, Euro Area, United Kingdom, Japan, South Korea and China from the fourth quarter of 2003 to the first quarter of 2016. Then, from the two dimensions of De facto and De jure, the panel fixed effect model is used to empirically analyze the impact of trade globalization and financial globalization on the international bidirectional spillover effect of macroeconomic uncertainty. Empirical results show that the total spillover effect of macroeconomic uncertainty in major economies is 25%-52%, and is more than 44% during the global financial crisis in 2008 and the European debt crisis in 2012. The directional spillover effects have obvious time-varying and periodic characteristics in all economies, and no one has a larger directional spillover effect than others over the entire sample. De facto trade globalization is not only to enhance the international spillover effects of macroeco-nomic uncertainty, but also to enhance the international inflow effect of macroeconomic uncertainty. De facto Financial globalization has only enhanced the international inflow effect of macroeconomic uncertainty, but not significantly affected the spillover effect of macroeconomic uncertainty.

关 键 词：宏观经济不确定性 时变溢出指数 TVP-VAR模型 贸易和金融全球化 

分 类 号：F120[经济管理—世界经济]