中美经济政策不确定性联动效应探究  

The Linkage Effect of Sino-US Economic Policy Uncertainty

作　　者：孟玲丹 豆振江 MENG Lingdan;DOU Zhenjiang(School of Business,Hunan University of Humanities,Science and Technology,Loudi 417000,China;School of Finance,Zhongnan University of Economics and Law,Wuhan 430070,China)

机构地区：[1]湖南人文科技学院商学院,娄底417000 [2]中南财经政法大学金融学院,湖北武汉430073

出　　处：《湖南人文科技学院学报》2022年第4期70-75,共6页Journal of Hunan University of Humanities,Science and Technology

基　　金：湖南省教育厅优秀青年项目“经济不确定性环境下科技创新对经济高质量增长的影响机制研究”(20B326);湖南省社科评审委员会项目“新冠肺炎疫情对湖南宏观经济和重点产业的影响研究”(XSP21YBC193);娄底市社科评审委员会项目“娄底市高质量发展的测度评价与推进路径研究”(202201B);湖南省人文科技学院研究生科研创新项目“全球经济不确定性测度对我国农产品价格溢出效应研究”(ZSCX2021Y04)。

摘　　要：基于2005M1—2021M9期间Baker等构建的经济政策不确定性指数,采用DCC-GARCH模型实证检验中美两国经济政策不确定性动态相关性,研究发现:中美两国经济政策不确定性呈现明显的正向联动效应,且表现出时变特征,尤其自特朗普政府宣布执政以来,随着两国政策博弈程度加深,中美两国经济政策不确定性正向关系显著增强。研究结论证实了中美两国经济政策不确定性存有引致效应,丰富了美国经济政策不确定性对中国宏观经济溢出传导渠道,并为中国经济政策的不确定性波动提供了一种解释。Based on the economic policy uncertainty index constructed by Baker et al during 2005 M1-2021 M9,the DCC-GARCH model was used to demonstrate the dynamic correlation of economic policy uncertainty between China and the United States.It is found that the economic policy uncertainty of China and the United States shows an obvious positive linkage effect,and it shows time-varying quality;particularly,since Trump announced his administration,with the deepening of the policy game between the two countries,the positive relationship between economic policy uncertainty between China and the United States has increased significantly.The conclusion of the study confirms that the uncertainty of economic policy in China and the United States has a leading effect,enriches the transmission channel of the uncertainty of economic policy in the United States to China’s macro economy,and provides an explanation for the fluctuation of uncertainty in China’s economic policy.

关 键 词：经济政策不确定性 DCC-GARCH 引致效应 

分 类 号：F113.7[经济管理—国际贸易]