关键词: 宏观经济不确定性, 不可观测变量, 混频动态因子随机波动模型

Abstract: This paper presents a method to directly measure the uncertainty of China's macroeconomic uncertainty using large dimension data. The macroeconomic uncertainty is measured by a stochastic volatility model of mixed dynamic factors with unobservable variables. China's macroeconomic uncertainty has been estimated using the 60-month and 4-quaterly statistical indicators from 1994 to 2017. The results show that: (1) China's macroeconomic uncertainty is affected by many factors and spikes around several years. The traditional indicators of macroeconomic climate index are not consistent of optimal synchronization indicators. (2) Retaining the core indicators as observed factors will improve the interpretability of the results and get more in line with the economic facts. (3) Macroeconomic policy is an important factor causing the economic uncertainty to rise. However, the influence of the policy often has a lagged effect. Unexpected policy changes will trigger higher macroeconomic uncertainty.

Key words: Macroeconomic Uncertainty, Unobservable Variables, Mixed_GFSV Model