Time-varying Effects And Predictions Of Different Types Of Policy Uncertainty On Financial Stability

In the report of the 19th National Congress of the Communist Party of China,it is clearly pointed out that the main keynote of China's financial work in recent years is "maintaining financial stability".In the operation process of the financial system,information flow occupies a key position,and savings and investment are decision-making behaviors made on the basis of participants' analysis of existing information.Therefore,based on the measurement of financial stability,this paper chooses the perspective of policy uncertainty to forecast and analyze it.In the aspect of financial stability index measurement,this paper constructs the mixing dynamic factor model.According to the general definition principle of financial stability,it selects representative indicators from four aspects of financial development ability,financial stability ability,financial pressure resistance ability and external environment to measure China's mixing financial stability index.Through historical analysis,it is found that the measured index can reflect the main fluctuation stages of China's financial market,and has certain reliability and real-time.In the aspect of policy uncertainty measurement,based on the existing text analysis method,the paper optimizes and adopts the identification standard of "subject + predicate" collocation to measure four types of policy uncertainty,including currency,finance,exchange rate and trade.Through dynamic correlation analysis and Granger causality test,it concludes that four types of policy uncertainty are closely related to financial stability in fluctuation trend The index has a certain similarity,and the fluctuation time is slightly prior to the financial stability index,so the financial stability index constructed in this paper has a certain predictive ability.We further investigate the time-varying impact of different economic policy uncertainties on financial stability,and construct TVP-VAR model.Firstly,we investigate the difference of the impact of different lag periods on financial stability.The results show that the impact of one-year lag period of monetary policy uncertainty is significantly stronger than that of short-term lag period,while the other three types of policy uncertainty have more significant short-term impact.Secondly,we choose different time points to analyze Further investigation,pulse analysis is conducted in three time points: financial crisis period,financial crisis recovery period and economic new normal reform period.It is found that different policy uncertainties have negative effects,and the impact tends to be stable in about five months.At the same time,there is a trend of easing in recent years,which indicates that China's financial market is becoming mature and can effectively ease policy uncertainty in time The impact of certainty,to maintain the smooth operation of the financial market.In the aspect of forecasting financial stability index from the perspective of policy uncertainty,this paper establishes MSIAH(2)-VAR(1)model through test and analysis,and finds that in the selected time range,the two regions occupy roughly the same time,and tend to maintain their own state.As the process of financial globalization accelerates,China's financial market is facing more opportunities and challenges,Therefore,under the effective measures to maintain financial stability and the new impact brought by the outside world,it has roughly experienced four regional transformation(2008,2013,2015,2017).Then,the impulse impact analysis of the two regional systems is carried out,and the consistency and difference of the volatility are obtained.Except that the uncertainty of fiscal policy forms the opposite effect in the two regional systems,the impact direction of the other three is the same,only in the degree of difference.According to the estimated model,we predict the financial stability in and out of the sample,and the results show that the fitting of the model is good,while the prediction out of the sample shows that the financial stability index of China shows a downward trend.