中国经济政策不确定性、实际有效汇率与金融稳定  

Uncertainty of China's Economic Policy,Real Effective Exchange Rate and Financial Stability

作　　者：聂顺江 李洪超 胡列曲 NIE Shunjiang;LI Hongchao;HU Liequ(School of Economics,Yunnan Minzu University,Kunming,Yunnan 650504)

机构地区：[1]云南民族大学经济学院,云南昆明650504

出　　处：《管理现代化》2023年第6期19-29,共11页Modernization of Management

基　　金：国家社会科学基金“多层次国际金融中心有序推进人民币国际化的机制与路径研究”(23BJL063)。

摘　　要：当前复杂多变的国际环境下,经济政策不确定性攀升、汇率波动频繁和金融稳定的联动问题备受关注。运用熵值法构建中国金融稳定综合指数(CFSCI),采用具有随机波动性的时变参数结构向量自回归模型(TVP-SV-VAR)来研究三者之间的动态时变效应,研究发现:经济政策不确定性上升会降低金融稳定,而实际有效汇率上升在短期会显著降低金融稳定,中长期的影响具有两面性,波动幅度变大。经济政策不确定性上升对实际有效汇率的影响在不同时段呈现异质性,中长期效应大于短期效应,进而间接降低金融稳定。而实际有效汇率上升在短期会增加经济政策的不确定性,影响程度历年来保持相对平稳,作用机制比较稳定,长期可能会降低不确定性,从而促进金融稳定。近些年来,三者之间作用强度有所下降。In the current complex and ever-changing international environment,the linkage between increasing economic policy uncertainty,frequent exchange rate fluctuations,and financial stability has attracted much attention.Using the entropy method to construct the China Financial Stability Composite Index(CFSCI),a time-varying parameter structured vector autoregressive model(TVP-SV-VAR)with random volatility was used to study the dynamic time-varying effects among the three.The study found that an increase in economic policy uncertainty will reduce financial stability,while an increase in the actual effective exchange rate will significantly reduce financial stability in the short term.The medium to long term impact has two sides,with larger volatility;The impact of increasing economic policy uncertainty on the real effective exchange rate exhibits heterogeneity at different time periods,with medium to long-term effects greater than short-term effects,thereby indirectly reducing financial stability;However,an increase in the actual effective exchange rate in the short term will increase the uncertainty of economic policies,maintain a relatively stable impact over the years,and have a relatively stable mechanism of action.In the long term,it may reduce uncertainty and promote financial stability.In recent years,the intensity of the interaction between the three has decreased.

关 键 词：经济政策不确定性 实际有效汇率 金融稳定 TVP-SV-VAR 熵值法 

分 类 号：F832[经济管理—金融学]