商业研究

商业研究

• 商经理论 • 上一篇    下一篇

经济政策不确定性在国际间的动态溢出效应 ——基于方向性溢出模型的实证研究

向古月1，周先平1，谭本艳2   

  1. （1. 中南财经政法大学 金融学院，武汉430073；2. 三峡大学 经济与管理学院，湖北 宜昌443002）
  • 收稿日期:2018-10-23 出版日期:2019-03-16
  • 作者简介:向古月（1990-），男，湖北宜昌人，中南财经政法大学金融学院博士研究生，研究方向：货币理论与货币政策；周先平（1975-），男，湖北孝感人，中南财经政法大学金融学院教授，博士生导师，经济学博士，研究方向：货币理论与货币政策、国际金融；谭本艳（1975-），男，湖北宜昌人，三峡大学经济与管理学院副教授，经济学博士，研究方向：数量经济学。

International Dynamic Spillovers of Economic Policy Uncertainty: An Empirical Study based on Directional Spillovers Model

XIANG Gu-yue1,ZHOU Xian-ping1, TAN Ben-yan2   

  1. (1. School of Finance, Zhongnan University of Economics and Law, Wuhan 430073,China; 2. School of Economics and Management, China Three Gorges University,Yichang 443002,China)
  • Received:2018-10-23 Online:2019-03-16

摘要： 本文利用Baker et al.（2016）经济政策不确定性指数（BBD Index）和Diebold and Yilmaz（2012）方向性溢出模型（Directional Spillovers）构造“四国经济系统”，对经济政策不确定性在国际间的动态溢出效应进行静态分析、比较静态分析和动态分析。静态分析结果显示，各经济体政策不确定性的变动中有超过1/5来源于其他经济体的溢出；比较静态分析结果显示，经济系统内总溢出效应逐步增强，前金融危机时期为18.09%，金融危机时期为29.81%，经济复苏时期为33.58%；动态分析结果显示，经济政策不确定性动态溢出的规模可能同国内政治周期和货币政策周期有关，米德冲突可能是主要传导渠道之一，美国、欧洲和日本应当为大部分溢出效应负责，中国是最大受害者之一。上述结论表明，我国应继续推进全面深化改革，加快浮动汇率制度改革，提高货币政策独立性。

关键词: 经济政策不确定性, 动态溢出效应, 方向性溢出模型, 米德冲突

Abstract: Based on the Baker et al.(2016) index of policy uncertainty（BBD Index） and Directional Spillovers proposed by Diebold and Yilmaz(2012), this paper presents a static analysis, comparative static analysis and dynamic analysis of the international spillovers of economic policy uncertainty among economies. Static analysis results show that in the whole sample period, more than one fifth of the changes in economic policy uncertainty come from the spillover effect of other economies;comparative static analysis shows the total spillover effect gradually strengthens, with 18.09% in the pre-financial crisis period, 29.81% in the financial crisis period and 33.58% in the economic recovery period;the results of dynamic analysis show that the scale of the spillover effect of economic policy uncertainty may be related to the domestic political cycle and monetary policy cycle, and the Mead Conflict may be one of the main transmission channels; The United States, Europe and Japan should be responsible for most of the spillovers, and China is one of the greatest victims. The policy enlightenment holds that we should push forward the comprehensive and deepening reform, accelerate the reform of floating exchange rate system and improve the independence of monetary policy.

Key words: economic policy uncertainty, dynamic spillover effect, directional spillovers, Mead Conflict