经济政策不确定性的国际关联及其解释
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摘要
基于各国经济政策不确定性指数,借鉴Diebold和Yilmaz提出的关联测量框架,本文从总关联、总定向关联和两两定向关联三个方面考察了经济政策不确定性的国际关联及其时变特征,并探索了国际关联的主要影响因素。研究结论:(1)经济政策不确定性的国际总关联度为37. 4%,且在样本期内呈现三个明显的急剧上升期,分别对应以下事件:2001年9月"9. 11恐怖袭击事件"、2008年9月雷曼兄弟破产、2016年6-11月英国脱欧公投和美国总统大选;(2)美国、韩国、德国、法国、加拿大受其他国家不确定事件影响较大,且该五国的不确定事件对其他国家的影响也较大。特别地,美国是经济政策不确定性的最大发送者,而日本和墨西哥为最大接受者;(3)经济政策不确定性的两两定向关联存在国别差异。美国和韩国间具有强关联性,且处于同一区域的美国、加拿大、墨西哥三国间和德国、英国、法国三国间的关联性也较强;(4)地理位置相邻、同属于"富人俱乐部"和发送国影响力是产生经济政策不确定性国际关联的主要因素。
Based on the new measurement framework of connectedness proposed by Diebold and Yilmaz,this study utilized the economic policy uncertainty index to investigate the international connectedness of economic policy uncertainty and its time-varying characteristics from three aspects:total connectedness,total directional connectedness,and pairwise directional connectedness.Our research found that in terms of total connectedness,the total international connectedness of economic policy uncertainty is 46.1%,with three distinct periods of sharp increases during the sample period.One is the 9/11 terrorist attack in 2001,the other one is the bankruptcy of Lehman Brothers in September 2008,and the third one is the initialization of Brexit and the US presidential election from June to November in 2016.In addition,data showed that the United States,South Korea,Germany,France,and Canada were greatly influenced by uncertainty in other countries,and,conversely,uncertainty in these five countries had a greater impact on other countries.For country pairs,the degree of connectedness of economic policy uncertainty between two countries varied across countries.In particular,the United States was the largest sender of economic policy uncertainty,while Mexico was the largest receiver.There was also strong connectedness between countries in the same region.Adjacent geographical locations,members in the "club of the rich",and the influencing power of sending countries are the main factors generating the international connectedness of economic policy uncertainty.
Based on the new measurement framework of connectedness proposed by Diebold and Yilmaz,this study utilized the economic policy uncertainty index to investigate the international connectedness of economic policy uncertainty and its time-varying characteristics from three aspects:total connectedness,total directional connectedness,and pairwise directional connectedness.Our research found that in terms of total connectedness,the total international connectedness of economic policy uncertainty is 46.1%,with three distinct periods of sharp increases during the sample period.One is the 9/11 terrorist attack in 2001,the other one is the bankruptcy of Lehman Brothers in September 2008,and the third one is the initialization of Brexit and the US presidential election from June to November in 2016.In addition,data showed that the United States,South Korea,Germany,France,and Canada were greatly influenced by uncertainty in other countries,and,conversely,uncertainty in these five countries had a greater impact on other countries.For country pairs,the degree of connectedness of economic policy uncertainty between two countries varied across countries.In particular,the United States was the largest sender of economic policy uncertainty,while Mexico was the largest receiver.There was also strong connectedness between countries in the same region.Adjacent geographical locations,members in the "club of the rich",and the influencing power of sending countries are the main factors generating the international connectedness of economic policy uncertainty.
引文
[1]BLOOM N.The Impact of Uncertainty Shocks[J].Econometrica,2009,77(3):623-685.
[2]BAKER SR,BLOOM N,DAVIS SJ.Measuring Economic Policy Uncertainty[J].Quarterly Journal of Economics,2016,131(4):1593-1636.
[3]DIEBOLD FX,YILMAZ K.On the Network Topology of Variance Decompositions:Measuring the Connectedness of Financial Firms[J].Journal of Econometrics,2014,182(1):119-134.
[4]KNIGHT FH.Risk,Uncertainty and Profit[M].Houghton Mifflin Company,1921.
[5]石自忠,王明利,胡向东.经济政策不确定性与中国畜产品价格波动[J].中国农村经济,2016(8):42-55.
[6]JURADO K.Measuring Uncertainty[J].American Economic Review,2015,105(3):2-7.
[7]JOETS M.Does the Volatility of Commodity Prices Reflect Macroeconomic Uncertainty?[R].Economix Working Papers,2015.
[8]ANTONAKAKIS N,CHATZIANTONIOU I,FILIS G.Dynamic Co-movements of Stock Market Returns,Implied Volatility and Policy Uncertainty[J].Economics Letters,2013,120(1):87-92.
[9]KO JH,LEE CM.International Economic Policy Uncertainty and Stock Prices:Wavelet Approach[J].Economics Letters,2015,134:118-122.
[10]LI XM,ZHANG B,GAO R.Economic Policy Uncertainty Shocks and Stock-bond Correlations:Evidence from the US Market[J].Economics Letters,2015,132:91-96.
[11]朱孟楠,闫帅.经济政策不确定性与人民币汇率的动态溢出效应[J].国际贸易问题,2015(10):111-119.
[12]KIDO Y.On the Link between the US Economic Policy Uncertainty and Exchange Rates[J].Economics Letters,2016,144:49-52.
[13]KANG W,RATTI RA.Oil Shocks,Policy Uncertainty and Stock Market Return[J].Journal of International Financial Markets Institutions and Money,2013,26(1):305-318.
[14]WANG Y,ZHANG B,DIAO X.Commodity Price Changes and the Predictability of Economic Policy Uncertainty[J].Economics Letters,2015,127:39-42.
[15]JONES PM,OLSON E.The Time-varying Correlation Between Uncertainty,Output,and Inflation:Evidence from A DCC-GARCH Model[J].Economics Letters,2013,118(1):33-37.
[16]鲁晓东,刘京军.不确定性与中国出口增长[J].经济研究,2017(9):39-54.
[17]HANDLEY K,LIMO N.Policy Uncertainty,Trade,and Welfare:Theory and Evidence for China and the United States[J].American Economic Review,2017,107(9):2731-2783.
[18]杨永聪,李正辉.经济政策不确定性驱动了中国OFDI的增长吗---基于动态面板数据的系统GMM估计[J].国际贸易问题,2018(3):138-148.
[19]KARA G,TIAN MH,YELLEN M.Taxonomy of Studies on Interconnectedness[J].SSRN Working Paper2704072,available at http://ssrncom/abstract=2704072,2015.
[20]HUANG X,ZHOU H,ZHU H.A framework for Assessing the Systemic Risk of Major Financial Institutions[J].Journal of Banking and Finance,2009,33(11):2036-2049.
[21]PATRO DK,QI M,SUN X.A Simple Indicator of Systemic risk[J].Journal of Financial Stability,2013,9(1):105-116.
[22]华仁海,陈百助.国内、国际期货市场期货价格之间的关联研究[J].经济学(季刊),2004(2):727-742.
[23]蒋舒,吴冲锋.中国期货市场的有效性:过度反应和国内外市场关联的视角[J].金融研究,2007(2):49-62.
[24]田利辉,谭德凯,王冠英.我国大宗商品期货市场存在羊群行为吗?[J].金融研究,2015(6):144-158.
[25]柳苏芸,韩一军,包利民.价格支持政策改革背景下国内外大豆市场动态关联分析---基于贝叶斯DCC-GARCH模型[J].农业技术经济,2016(8):72-84.
[26]DEMIRER M,DIEBOLD FX,LIU L,et al.Estimating Global Bank Network Connectedness[J].Journal of Applied Econometrics,2018,33(1):1-15.
[27]BILLIO M,GETMANSKY M,LO AW,et al.Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors[J].Journal of Financial Economics,2012,104(3):535-559.
[28]KOOP G,PESARAN MH,POTTER SM.Impulse Response Analysis in Nonlinear Multivariate models[J].Journal of Econometrics,1996,74(1):119-147.
[29]PESARAN HH,SHIN Y.Generalized Impulse Response Analysis in Linear Multivariate Models[J].Economics Letters,1997,58(1):17-29.
[30]KANG SH,YOON SM.Dynamic Connectedness Network in Economic Policy Uncertainties[J].Applied Economics Letters,2018,26(1):74-78.
[31]梁琦.空间经济学:过去、现在与未来---兼评《空间经济学:城市、区域与国际贸易》[J].经济学(季刊),2005(3):1067-1086.
[32]李敬,陈澍,万广华.中国区域经济增长的空间关联及其解释---基于网络分析方法[J].经济研究,2014(11):4-16.
[33]刘军.QAP:测量“关系”之间关系的一种方法[J].社会,2007(4):164-174.
(1)限于篇幅,本文没有列出稳健性检验结果,若读者对调整滚动样本期和预测期进行稳健性检验的结果感兴趣,可向作者索取。
(1)限于篇幅,读者若对该部分结果感兴趣,可向作者索取。
(2)网站:https://gephi.github.io。
[2]BAKER SR,BLOOM N,DAVIS SJ.Measuring Economic Policy Uncertainty[J].Quarterly Journal of Economics,2016,131(4):1593-1636.
[3]DIEBOLD FX,YILMAZ K.On the Network Topology of Variance Decompositions:Measuring the Connectedness of Financial Firms[J].Journal of Econometrics,2014,182(1):119-134.
[4]KNIGHT FH.Risk,Uncertainty and Profit[M].Houghton Mifflin Company,1921.
[5]石自忠,王明利,胡向东.经济政策不确定性与中国畜产品价格波动[J].中国农村经济,2016(8):42-55.
[6]JURADO K.Measuring Uncertainty[J].American Economic Review,2015,105(3):2-7.
[7]JOETS M.Does the Volatility of Commodity Prices Reflect Macroeconomic Uncertainty?[R].Economix Working Papers,2015.
[8]ANTONAKAKIS N,CHATZIANTONIOU I,FILIS G.Dynamic Co-movements of Stock Market Returns,Implied Volatility and Policy Uncertainty[J].Economics Letters,2013,120(1):87-92.
[9]KO JH,LEE CM.International Economic Policy Uncertainty and Stock Prices:Wavelet Approach[J].Economics Letters,2015,134:118-122.
[10]LI XM,ZHANG B,GAO R.Economic Policy Uncertainty Shocks and Stock-bond Correlations:Evidence from the US Market[J].Economics Letters,2015,132:91-96.
[11]朱孟楠,闫帅.经济政策不确定性与人民币汇率的动态溢出效应[J].国际贸易问题,2015(10):111-119.
[12]KIDO Y.On the Link between the US Economic Policy Uncertainty and Exchange Rates[J].Economics Letters,2016,144:49-52.
[13]KANG W,RATTI RA.Oil Shocks,Policy Uncertainty and Stock Market Return[J].Journal of International Financial Markets Institutions and Money,2013,26(1):305-318.
[14]WANG Y,ZHANG B,DIAO X.Commodity Price Changes and the Predictability of Economic Policy Uncertainty[J].Economics Letters,2015,127:39-42.
[15]JONES PM,OLSON E.The Time-varying Correlation Between Uncertainty,Output,and Inflation:Evidence from A DCC-GARCH Model[J].Economics Letters,2013,118(1):33-37.
[16]鲁晓东,刘京军.不确定性与中国出口增长[J].经济研究,2017(9):39-54.
[17]HANDLEY K,LIMO N.Policy Uncertainty,Trade,and Welfare:Theory and Evidence for China and the United States[J].American Economic Review,2017,107(9):2731-2783.
[18]杨永聪,李正辉.经济政策不确定性驱动了中国OFDI的增长吗---基于动态面板数据的系统GMM估计[J].国际贸易问题,2018(3):138-148.
[19]KARA G,TIAN MH,YELLEN M.Taxonomy of Studies on Interconnectedness[J].SSRN Working Paper2704072,available at http://ssrncom/abstract=2704072,2015.
[20]HUANG X,ZHOU H,ZHU H.A framework for Assessing the Systemic Risk of Major Financial Institutions[J].Journal of Banking and Finance,2009,33(11):2036-2049.
[21]PATRO DK,QI M,SUN X.A Simple Indicator of Systemic risk[J].Journal of Financial Stability,2013,9(1):105-116.
[22]华仁海,陈百助.国内、国际期货市场期货价格之间的关联研究[J].经济学(季刊),2004(2):727-742.
[23]蒋舒,吴冲锋.中国期货市场的有效性:过度反应和国内外市场关联的视角[J].金融研究,2007(2):49-62.
[24]田利辉,谭德凯,王冠英.我国大宗商品期货市场存在羊群行为吗?[J].金融研究,2015(6):144-158.
[25]柳苏芸,韩一军,包利民.价格支持政策改革背景下国内外大豆市场动态关联分析---基于贝叶斯DCC-GARCH模型[J].农业技术经济,2016(8):72-84.
[26]DEMIRER M,DIEBOLD FX,LIU L,et al.Estimating Global Bank Network Connectedness[J].Journal of Applied Econometrics,2018,33(1):1-15.
[27]BILLIO M,GETMANSKY M,LO AW,et al.Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors[J].Journal of Financial Economics,2012,104(3):535-559.
[28]KOOP G,PESARAN MH,POTTER SM.Impulse Response Analysis in Nonlinear Multivariate models[J].Journal of Econometrics,1996,74(1):119-147.
[29]PESARAN HH,SHIN Y.Generalized Impulse Response Analysis in Linear Multivariate Models[J].Economics Letters,1997,58(1):17-29.
[30]KANG SH,YOON SM.Dynamic Connectedness Network in Economic Policy Uncertainties[J].Applied Economics Letters,2018,26(1):74-78.
[31]梁琦.空间经济学:过去、现在与未来---兼评《空间经济学:城市、区域与国际贸易》[J].经济学(季刊),2005(3):1067-1086.
[32]李敬,陈澍,万广华.中国区域经济增长的空间关联及其解释---基于网络分析方法[J].经济研究,2014(11):4-16.
[33]刘军.QAP:测量“关系”之间关系的一种方法[J].社会,2007(4):164-174.
(1)限于篇幅,本文没有列出稳健性检验结果,若读者对调整滚动样本期和预测期进行稳健性检验的结果感兴趣,可向作者索取。
(1)限于篇幅,读者若对该部分结果感兴趣,可向作者索取。
(2)网站:https://gephi.github.io。
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