Summary:
At present, momentous changes of a like not seen in a century are accelerating across the world, “black swan” and “gray rhino” events are frequent, global uncertainty has increased significantly, and preventing imported risks is a key task to safeguard China's national security. US uncertainty is an important external shock, and its international spillover effect cannot be ignored. Therefore, in the context of continuous promotion of China's high-standard opening up, it is of great significance for China to prevent and mitigate major risks and safeguard national security by clarifying the impact of US uncertainty on China, grasping the key types of US uncertainty shocks needed to be prevented, and further clarifying the internal mechanism of US uncertainty shocks affecting China's economy from the perspective of production network. Based on the production network perspective, this paper uses the newly developed heterogeneous spatial auto-regressive (HSAR) model to measure the direct and network effects of US uncertainty on the tail risk of China's industries and comparatively analyzes the differential impacts of the US economic and financial and economic policy uncertainty shocks. On this basis, this paper further compares industry forward and backward linkages to clarify the main transmission direction of each type of shock along the industrial chain and investigates the changes in the effects of the three types of shocks during the Sino-US trade friction. It is found that, firstly, the rise in US economic and financial uncertainty will exacerbate China's industry tail risk, while the rise in economic policy uncertainty suppresses China's industry tail risk. Moreover, compared with financial uncertainty, US economic uncertainty has a greater effect on the tail risk of China's industries. Secondly, production network plays a role in amplifying the impact of US uncertainty on the tail risk of China's industries. And more than 40% of the total effect is the network effect brought about by input-output linkages among China's industries. The basic chemical and social service industries suffer the highest network effects. Thirdly, US uncertainty shocks can cause an overall homogeneous change in China's industry tail risk through the production network. US economic and financial uncertainty has a greater network effect on China's real economy industries, and US economic policy uncertainty has a greater network effect on China's financial industries. Fourthly, US economic and financial uncertainty shocks are mainly transmitted from downstream industries to upstream industries, and economic policy uncertainty shocks are mainly transmitted from upstream industries to downstream industries. Fifthly, the impact of US financial uncertainty on China's industry tail risks during the Sino-US trade friction period was greater compared to other periods. This paper provides empirical evidence and useful insights for Chinese policymakers to accurately grasp and effectively deal with external shocks. Based on the above conclusions, this paper puts forward the following policy recommendations. First, we need to monitor all types of US uncertainty separately and accurately grasp the sources of risks. Second, the production network of China's industries should be included in the monitoring and prevention system of external shocks, and the path of risk contagion should be clarified according to the production network, to block the cross-industry contagion of risks in a timely manner. Third, efforts should be made to enhance the resilience of industrial and supply chains, improve the ability of various industries to defend against external shocks, and especially accelerate the diversification of supply chains in the basic chemical and social service industries. The marginal contributions of this paper are mainly reflected in the following three aspects. First, this paper expands the research on the spillover effect of US uncertainty shocks to the industry level and uses tail risk to accurately characterize the industry performance under the shocks. Second, this paper introduces the production network when exploring the impact of US economic, financial and economic policy uncertainty on China's industries, uses the newly developed heterogeneous spatial auto-regressive model to quantify the direct and network effects of the three types of shocks, and examines the main transmission direction of the shocks along the industrial chain, and clarifies the internal mechanism of US uncertainty shocks affecting China's economy. Third, it reveals the changes in the effects of US uncertainty shocks during the Sino-US trade friction, and further enriches the research on the economic consequences of Sino-US trade friction.
李政, 李薇, 李丽雯. 美国三类不确定性冲击、生产网络传导与中国行业尾部风险[J]. 金融研究, 2024, 530(8): 39-57.
LI Zheng, LI Wei, LI Liwen. Three Types of US Uncertainty Shocks, Production Network Transmission and China's Industry Tail Risks. Journal of Financial Research, 2024, 530(8): 39-57.
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