经济政策不确定性对我国金融稳定和经济增长冲击研究  

Research on the Impact of Economic Policy Uncertainty on China s Financial Stability and Economic Growth

作　　者：吴书斌[1] WU Shu-bin(The People s Bank of China,Sanming Central Sub-branch)

机构地区：[1]中国人民银行三明市中心支行,福建三明365000

出　　处：《当代金融研究》2022年第9期18-32,共15页Journal of Contemporary Financial Research

摘　　要：本文基于2005年1季度至2021年2季度数据,从金融稳定来源出发,选取13个基础指标构建我国金融稳定指数。进一步运用SV-TVP-VAR模型研究内外部经济政策不确定性对我国经济增长和金融稳定冲击的影响。研究表明:2005年以来,中国金融稳定运行呈现总体下降、局部振荡的变化特征且3个阶段性特征明显,并在2020年新冠肺炎疫情爆发时下探至最低点。从溢出效应看,内外部经济政策不确定性均会产生相互溢出,但输入效应大于输出效应。从冲击效果看,内外部经济政策不确定性提升均会对金融稳定和经济增长产生负向冲击,但存在冲击强度、影响时滞方面的结构性差异。Based on the data from the first quarter of 2005 to the second quarter of 2021,starting from the source of financial stability,this paper selects 13 basic indicators to construct my country s financial stability index.Further,the SV-TVP-VAR model is used to study the impact of internal and external economic policy uncertainty on my country s economic growth and financial stability.The research shows that:since 2005,China s financial stability has shown an overall decline,local oscillations,and three distinct phases,and it has dropped to the lowest point in 2020 when the new crown pneumonia epidemic broke out.From the perspective of spillover effects,both internal and external economic policy uncertainties will spill over to each other,but the input effect is greater than the output effect.From the perspective of impact effects,the increase in the uncertainty of internal and external economic policies will have a negative impact on financial stability and economic growth,but there are structural differences in the impact intensity and impact time lag.

关 键 词：经济政策不确定 金融稳定 经济增长 SV-TVP-VAR 

分 类 号：F832[经济管理—金融学]