经济政策不确定性的国际关联及其解释被引量：13

International Connectedness of Economic Policy Uncertainty and its Explanation

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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.

作者肖小勇黄静田清淞 XIAO Xiaoyong;HUANG Jing;TIAN Qingsong

机构地区华中农业大学经济管理学院

出处《国际贸易问题》 CSSCI 北大核心 2019年第4期76-91,共16页 Journal of International Trade

基金国家自然科学基金青年项目"‘金融化’背景下国际粮价波动对我国粮价的传导及其风险评价研究"(71703049) 国家自然科学基金面上项目"‘金融化’背景下我国农产品期货与现货市场价格风险评价与传导研究"(71673103) 教育部人文社会科学研究青年基金"经济政策不确定性对我国粮食期货价格波动的影响及对策研究"(17YJC790173)

关键词经济政策不确定性国际关联 QAP回归分析 Economic Policy Uncertainty International Connectedness QAP Regression

分类号 F113 [经济管理—国际贸易]