美国经济对中国宏观经济的国际溢出效应基于MCMC-Gibbs抽样算法
1D'Amore-McKim School of Business, Northeastern University, Boston, Massachusetts, United States of America.
PloS one
|November 3, 2023
概括
美国的财政刺激措施推动了中国的经济发展.
科学领域:
- 经济学 经济学 经济学
- 国际金融 国际金融
- 计量经济学 计量经济学 计量经济学
背景情况:
- 美国的财政刺激措施影响了中国的出口.
- 了解全球经济溢出效应对于金融系统稳定至关重要.
- 宏观经济不确定性对国家经济构成风险.
研究的目的:
- 分析美国经济对中国宏观经济的溢出效应.
- 提高中国金融体系对外国经济威胁的抵御力.
- 检查美国经济不确定性对中国定价水平的影响.
主要方法:
- 构建了美国和中国的经济不确定性指数.
- 采用了一个时间变量参数-随机波动-向量自回归 (TVP-VAR) 模型.
- 使用马尔科夫链蒙特卡洛 (MCMC) -吉布斯采样用于模型估计.
主要成果:
- 美国的经济不确定性最初导致中国的定价水平下降,在2009年达到最低点.
- 美国经济不确定性对中国定价水平的影响在2012年后变得微不足道.
- 采用MCMC-Gibbs采样方法,可以获得良好的模型估计结果,最小的错误组件.
结论:
- 中国的定价水平对美国的经济不确定性很敏感,尽管这种影响在2012年后减少了.
- 中国应促进国际经济合作,以减轻系统性金融风险.
- 提高资本市场稳定性需要共同努力,并专注于一个命运共同的社区.
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