经济不确定性与中国经济增长
——基于FAVAR-SV模型和新C-D生产函数

商业研究

经济不确定性与中国经济增长 ——基于FAVAR-SV模型和新C-D生产函数

王维国，王蕊

（东北财经大学经济学院，辽宁大连〓116025）

收稿日期:2018-10-16 出版日期:2019-02-15
作者简介:王维国（1963-），男，吉林通榆人，东北财经大学经济学院教授，博士生导师，经济学博士，研究方向：经济计量分析、人口资源环境与可持续发展、宏观经济分析；王蕊（1986-），本文通讯作者，女，吉林梅河口人，东北财经大学经济学院博士研究生，研究方向：经济计量分析。
基金资助:
国家自然科学基金项目“省际能源消费的变系数非参空间面板数据模型研究”，项目编号：71773012。

Economic Uncertainty and China′s Economic Growth:Based on FAVAR-SV Model and New C-D Production Function

WANG Wei-guo，WANG Rui

(School of Economics, Dongbei University of Finance and Economics,Dalian 116025,China )

Received:2018-10-16 Online:2019-02-15

摘要/Abstract

摘要： 经济不确定性的测度是一个复杂而困难的过程，本文首次应用因子增广向量自回归（FAVAR-SV）模型，采用158个宏观指标合成宏观经济不确定性指数；并利用扩展的C-D生产函数，采用29个省市、自治区面板数据，基于内生经济增长视角，将不确定性指数与科技进步纳入模型，考察经济不确定性对经济增长的影响。研究表明，宏观经济不确定性指数是反经济周期变量、测度结果稳定、能够迅速识别发生概率小于10%的“黑天鹅”事件，并与实际经济活动相符；经济不确定性指数对经济增长具有抑制作用，其滞后项的影响明显减弱，这源于政府相关政策的实施。单一类别指标股票不确定性会缩小宏观经济不确定性的实际影响，因此，利用丰富数据环境测度不确定性具有一定的优势。

关键词: 宏观经济不确定性, 内生经济增长, FAVAR-SV模型, 新C-D生产函数

Abstract: The measurement of economic uncertainty is a complex and difficult process. In this paper, the factor augmented vector autoregressive (FAVAR-SV) model is used for the first time. According to the national conditions, 158 macroeconomic indicators are used to obtain the macroeconomic uncertainty index; based on the extended C-D production function and panel data of 29 provinces, municipalities and autonomous regions, this paper takes economic uncertainty index and scientific and technological progress into the model from the perspective of endogenous economic growth, and measures the impact of economic uncertainty on economic growth. The results show that the macroeconomic uncertainty index is an anti-economic cycle variable, the measurement results are stable, and it can quickly identify the “black swan” event whose probability is less than 10%, which is consistent with the actual economic activities;the index of macroeconomic uncertainty has a negative impact on economic growth, and its lagging effect is obviously weakened, which is due to the implementation of relevant government policies. Stock uncertainty of a single category index will reduce the actual impact of macroeconomic uncertainty, therefore, the use of rich data environment to measure uncertainty has certain advantages.

Key words: macroecnomic uncertainty, endogenous economic growth；FAVAR-SV model, new C-D Production Function

王维国，王蕊. 经济不确定性与中国经济增长 ——基于FAVAR-SV模型和新C-D生产函数[J]. 商业研究.

WANG Wei-guo，WANG Rui. Economic Uncertainty and China′s Economic Growth:Based on FAVAR-SV Model and New C-D Production Function[J]. 商业研究.

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