School of Business, Henan Normal University, Xinxiang, China.
Institute of International Economy, University of International Business and Economics, Beijing, China.
Front Public Health. 2021 Oct 29;9:771364. doi: 10.3389/fpubh.2021.771364. eCollection 2021.
The outbreak of the COVID-19 pandemic has caused an upsurge economic policy uncertainty (EPU). Study on the time-varying effect of EPU is of substantial implication for the central bank in implementation of monetary policy. To empirically investigate the time-varying effect of EPU, the paper considers the shock of the monetary policy implemented by China's central bank on different economic variables including interest rate, output gap, and inflationary gap using the latent threshold time-varying parameter vector autoregressive model (LT-TVP-VAR Model). Data period is chosen to be January 2015 through April 2021. Our findings show that (i) EPU has a significant threshold effect on the shock of quantitative monetary policy instrument and the shock of price-based monetary policy, and that the two types of policy are positively correlated; (ii) the price-based monetary policy instrument has a significant counter-cyclical effect on both output gap and inflationary gap; (iii) relative to the quantitative monetary policy instrument, the price-based monetary policy instrument has a more significant counter-cyclical effect on output gap; and (iv) a higher level of EPU is associated with a more significant monetary policy effect on output gap and inflationary gap.
新型冠状病毒肺炎疫情的爆发引发了经济政策不确定性的高涨。研究经济政策不确定性的时变效应对于央行实施货币政策具有重要意义。为了实证研究经济政策不确定性的时变效应，本文使用潜在门槛时变参数向量自回归模型（LT-TVP-VAR 模型），考虑了中国央行实施的货币政策对利率、产出缺口和通胀缺口等不同经济变量的冲击。数据期间选择为 2015 年 1 月至 2021 年 4 月。研究结果表明：（i）经济政策不确定性对数量型货币政策工具冲击和价格型货币政策工具冲击具有显著的门槛效应，且两类政策工具呈正相关；（ii）价格型货币政策工具对产出缺口和通胀缺口具有显著的逆周期效应；（iii）与数量型货币政策工具相比，价格型货币政策工具对产出缺口具有更显著的逆周期效应；（iv）较高水平的经济政策不确定性与产出缺口和通胀缺口的货币政策效应更为显著。
