The Nonlinear Effect Of Economic Uncertainty And Asset Price Influence

Economic uncertainty has gradually become an important reason affecting asset price fluctuation and economic fluctuation.At present,the Sino-US trade friction,the complex and severe COVID-19 epidemic at home and abroad,profound and complex changes in the international situation,uneven development of the domestic economy,and the arduous tasks of reform,development and stability,this means that China’s internal and external environment remains grim and complex,economic uncertainties may further increase,and economic development still faces many risks and challenges.Under the current economic background,the nonlinear correlation between macroeconomic uncertainty and asset prices is a problem worthy of further study.This paper makes an in-depth study on the interaction mechanism between economic uncertainty and asset prices from theoretical analysis and empirical research.In terms of theory,this paper analyzes the influence mechanism of economic uncertainty on stock price,bond price and real estate price in detail from macroeconomic effect of economic uncertainty and investor sentiment effect.Meanwhile,it analyzes the mechanism of asset price’s influence on economic uncertainty in detail from asset price channel and financial accelerator.And then it puts forward corresponding research hypothesis.In the empirical aspect,this paper first draws on Jurado et al.(2015)’s method of constructing economic uncertainty,selects basic indicators,applies factor model and random volatility model to construct China’s economic uncertainty index,and analyzes the constructed economic uncertainty index based on the actual economic conditions,showing that the economic uncertainty index is relatively consistent with economic facts.Finally,based on the monthly data of stock,bond,real estate prices and economic uncertainty index,this paper constructs The Markov zone transition model(MS-VAR),and makes an empirical analysis of the nonlinear correlation between economic uncertainty and asset prices,especially considering the heterogeneity of assets.The results show that economic uncertainty and asset price can be divided into periods of high volatility and low volatility,and the impact of economic uncertainty and asset price has obvious heterogeneity and asymmetry.Specifically,for one unit of positive impact of economic uncertainty,the response range of asset prices in periods of high volatility is higher than that in periods of low volatility.(1)In the period of low volatility,stock prices will have a positive response to the positive impact of economic uncertainty in the current period,then have a negative response,and finally show a positive response for more than ten periods.Bond prices will change from a weak and temporary negative response to a positive response,while real estate prices will directly show a negative response;(2)In the period of high volatility,stock prices show a negative response to the positive impact of economic uncertainty,bond prices show a positive response,while real estate prices present a negative response in the current period,and then show a higher positive response.For the positive impact of asset prices,the response range of economic uncertainty in the period of high volatility is higher than that in the period of low volatility.(3)In the period of low volatility,the rise of stock price will increase economic uncertainty,the rise of bond price will reduce economic uncertainty,and the rise of real estate price will first reduce economic uncertainty,and then increase economic uncertainty;(4)In a period of high volatility,the rise of stock price will first reduce economic uncertainty and then increase it;the rise of bond price will increase economic uncertainty;the rise of real estate price will first decrease and then increase economic uncertainty.Finally,based on the research conclusions,this paper puts forward specific suggestions on how to prevent risks brought by economic uncertainty and efficiently allocate assets from the perspective of individuals and enterprises.In addition,from the perspective of the government,it puts forward specific suggestions on how to stabilize the sharp fluctuations of asset prices,reduce economic uncertainty,stabilize the development of financial market and real estate market,and prevent systemic risks.