关键词: 经济不确定性, 金融不确定性, 产出波动, 价格波动

Abstract: Uncertainty is the driving force of macroeconomic fluctuation; therefore, studying the effects of uncertainty on economic fluctuation has practical significance under the background of keeping the economy growing steadily and healthily. Based on the extended SV model, this paper measures the monthly economic uncertainty and financial uncertainty in China from 2002 to 2020 and uses the TVAR model to examine the regime-dependent impact of economic uncertainty and financial uncertainty on output fluctuation and price fluctuation. It finds that: Firstly, there is an interaction between economic uncertainty and financial uncertainty, and financial uncertainty has a stronger impact on economic uncertainty with a weaker lag. Secondly, compared with financial uncertainty, the impact of economic uncertainty on output fluctuation and price fluctuation is more obvious, and further expanded under the regime of high output and price volatility. Finally, in the scenario of the high growth rate of economic uncertainty, elevated financial uncertainty acts as an amplifier of output fluctuation and price fluctuation, while the low or high growth rate of financial uncertainty has an insignificant impact of economic uncertainty on output fluctuation and price fluctuation. The research takes into account both the real economy and the financial market, interprets the phenomenon of economic fluctuations from the perspective of uncertainty, and provides helpful empirical experience and policy inspiration for the formulation of macroeconomic control policies.

Key words: Economic Uncertainty, Financial Uncertainty, Output Fluctuation, Price Fluctuation