Research on the Nonlinear Impact of Economic Uncertainty on Economic Policy Uncertainty
This paper uses quantile regression and LSTVAR models to empirically study the nonlinear impact effect and impact mechanism of China's economic uncertainty on economic policy uncertainty respectively.The results show:(1)The impact of eco-nomic uncertainty shows a nonlinear evolution characteristic that becomes gradually more significant and intensifies as the degree of eco-nomic policy uncertainty increases.When economic policy uncertainty is below the 60%percentile,the impact of economic uncertainty on economic policy uncertainty is not significant.Above the 70%quantile,economic uncertainty has a significant positive effect on eco-nomic policy uncertainty,and the higher the quantile the greater the exacerbating effect.(2)The impact of economic uncertainty on e-conomic policy uncertainty has an obvious lag.After a positive impact of one unit standard deviation of economic uncertainty,economic policy uncertainty usually responds with a lag of one period,but in regimes with different levels of economic policy uncertainty,eco-nomic policy uncertainty shows an asymmetric response mechanism to the impact of economic uncertainty.In a low regime,economic policy uncertainty only produces a weak positive feedback response.In a high regime,increased economic uncertainty aggravates eco-nomic policy uncertainty,and this aggravating effect gradually increases and approaches zero after the 18th period over time.The con-clusion of this study has important decision-making reference for the implementation of the economic policy of"seeking progress while maintaining stability"in the current period of China's economic transformation,when both economic uncertainty and economic policy uncertainty have increased significantly.
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