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The effects of economic policy uncertainty on China's economy: evidence from time-varying parameter FAVAR

机译：经济政策不确定性对中国经济的影响：来自时变参数的证据

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摘要

This article explores the effects of China's economic policy uncertainty (EPU) on its fiscal policy, monetary policy and a wide range of macro-economic variables using a time-varying parameter FAVAR model. Based on monthly data from 07/2003 to 08/2017, the time-varying structure of the model allows us to capture the time-varying characteristics of the macro-economic variables and which channel is relevant. Empirical results reveal that the reaction of monetary and fiscal policies to EPU is highly asymmetric across macro-economic circumstances. Loose monetary and fiscal policies are adopted in response to EPU shocks during the financial crisis, while policies are moderately tightened after the crisis. The China Interbank Offered Rate (Chibor) responds more sensitively and severely than M2 to EPU shocks. Additionally, EPU shocks have a significant and negative impact on economic growth, consumption, exchange rates, bonds and the stock market, but showing a positive impact on credit, real estate and fixed asset investment (which might be due to China's special economic market environment and the high investment return). The results indicate that EPU shocks significantly affect macroeconomic fundamentals through precautionary savings and financial market channels but lose their effectiveness through a 'real options' effect.
机译：本文探讨了中国经济政策不确定性（EPU）对其财政政策，货币政策和广泛的宏观经济变量的影响，使用时变参数FAVAR模型。基于07/2003至08/2017的月度数据，模型的时变结构使我们能够捕获宏观经济变量的时变特征，以及该频道是相关的。经验结果表明，货币和财政政策对EPU的反应在宏观经济环境中高度不对称。在金融危机期间对EPU冲击采取宽松的货币和财政政策，而危机后政策则适度收紧。中国银行间提供的率（Chibor）比M2更敏感，严重响应EPU冲击。此外，EPU冲击对经济增长，消费，汇率，债券和股票市场具有显着和负面影响，而是对信贷，房地产和固定资产投资表现出积极影响（可能是由于中国的经济市场环境所致和高投资回报率）。结果表明，通过预防储蓄和金融市场渠道，EPU冲击显着影响宏观经济基础知识，但通过“真实选择”效应失去了效力。

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