CAJ | 학술논문

基于Baker的经济政策不确定性指数和平滑转移向量自回归模型,分析了经济政策不确定性对宏观经济的影响及其传导机制。研究表明：经济政策不确定性的冲击通过实物期权机制对投资和产出造成短期的负面影响,加大了宏观经济的波动性;金融摩擦使经济政策不确定性冲击对宏观经济的影响具有非对称性;金融摩擦的程度以外部融资溢价水平来衡量,在外部融资溢价水平“高”的情况下,经济政策不确定性的冲击对宏观经济的不良影响更大。
기우Baker적경제정책불학정성지수화평활전이향량자회귀모형,분석료경제정책불학정성대굉관경제적영향급기전도궤제。연구표명：경제정책불학정성적충격통과실물기권궤제대투자화산출조성단기적부면영향,가대료굉관경제적파동성;금융마찰사경제정책불학정성충격대굉관경제적영향구유비대칭성;금융마찰적정도이외부융자일개수평래형량,재외부융자일개수평“고”적정황하,경제정책불학정성적충격대굉관경제적불량영향경대。
Based on the economic policy uncertainty index proposed by Baker, this paper uses the smooth transition vector autoregression model to analyze the impact of economic policy uncertainty on macroeconomy and its transmission mechanism theoretically and empirically. The result shows as follows：through the real-option mechanism, economic policy uncertainty shock has a short-run negative effect on investment and output while increasing maeroeconomic volatility;economic policy uncertainty shock has asymmetric effects on the macroeconomy under financial fric- tion;the degree of financial friction is measured by the level of external financing premium,the higher the external financing premium,the greater the adverse effect of economic policy uncertainty on macroeconomy.