Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1870519
he impact of high-frequency economic policy uncertainty on China’s macroeconomy: evidence from mixed-frequency VAR
Meng Yan
Kai Shi
Sažetak
We investigate the impact of high-frequency economic policy
uncertainty on investments of state-owned and private-owned
enterprises (SOEs and POEs), as well as short-, medium- and longterm bank loans in China by employing the mixed-frequency vector autoregression model. Impulse response analysis suggests that
monthly economic policy uncertainty is allowed to have heterogeneous effects on investments and bank loans in China. Variance
decomposition analysis shows that aggregating monthly economic policy uncertainty into the quarterly level underestimates
the influence of economic policy uncertainty in shaping China’s
macroeconomy at business cycle frequencies. By further decomposing the SOEs’ investment, we reveal that the effects of economic policy uncertainty on SOEs’ investment are strengthened
due to the existence of the injection of the government investment into SOEs. Trade policy uncertainty has a similar impact on
China’s investments and bank loans as economic policy uncertainty. The counterfactual analysis shows that the impact of economic policy uncertainty on China’s investments and bank loans
is alleviated when the interest rate channel exists. Our major conclusions are insensitive to a series of robustness checks.
Ključne riječi
Economic policy uncertainty; state-owned enterprises; bank loans; trade policy uncertainty; counterfactual analysis; mixed-frequency vector autoregression
Hrčak ID:
301649
URI
Datum izdavanja:
31.12.2021.
Posjeta: 461 *