中国经济政策不确定性的跨国动态溢出效应

中国作为世界第二、亚洲最大的经济体,在国际事务中发挥的作用日益突出,其经济政策波动对其他国家的影响也日益显著。本文基于1997年1月至2017年5月经济政策不确定性(Economic Policy Uncertainty,EPU)指数,运用DCC-GARCH模型分析了中国与美国、日本和英国的经济政策不确定性的动态溢出效应。研究表明,样本国家的EPU指数波动率呈现尖峰、厚尾、非对称的特征,因而更适用非对称多元t分布DCC-GARCH模型;中国经济政策不确定性对美国、日本和英国均有一定程度的正向溢出效应,但影响程度不一。进一步分析表明,中美间EPU指数的动态相关性高于中英和中日,中美和中英间的EPU指数动态相关系数走势较为相似,且趋向稳定;受地缘政治关系的影响,中日间的EPU指数动态相关系数走势明显异于中美和中英。

Dynamic Spillovers Effects of Economic Policy Uncertainty of China

As the world's second largest and Asia's largest economy, China plays an ever more important role in global affairs. The effects of its policy fluctuation over other countries are increasingly significant. In this paper, based on Economic Policy Uncertainty index of China, the USA, Japan and the UK from January 1995 to July 2017, a DCC-GARCH model is built which can effectively catch the dynamic correlation between different time series to analyze spillovers effects between China and the USA, the UK and Japan. The EPU index was developed by Baker, Bloom and Davis in 2016. The EPU data of sample countries shows the characteristics of spikes, fat tail and asymmetrical which means skewed multiple t distribution is favored. Through the empirical analysis, it is found that China has positive spillovers effects upon others. Further analysis shows the dynamic correlation of China-US is great than China-UK's or China-Japan's. The trends are more similar between China-US's and China-UK's than China-Japan's.Influenced by geopolitical relations, the trend of China-Japan's correlation is different from those of China-US's or China-UK's.It is the first time to analysis the dynamic correlations between China and other countries using the EPU index to measure spillover effects of economic policy uncertainty. Reference for other studies on policy related uncertainty can be provided in this paper.