Econ Papers Daily / 期刊论文
不确定性三元组对美国经济活动的影响：一个多分辨率分位数机器学习框架
Impact of the uncertainty triad on US economic activity: a multi-resolution quantile machine learning framework
摘要
Climate, energy, and trade policy uncertainties form a triad that increasingly shapes US economic activity (EAC). This study investigates the association of climate policy uncertainty (CPU), energy-related uncertainty (EUI), and trade policy uncertainty (TPU) with US economic activity. It employs a novel CEEMDAN-based Multivariate Nyström Quantile-on-Quantile Kernel Regularized Least Squares (C-MN-QQKRLS) model, which extends traditional bivariate analysis, incorporates time-frequency asymmetries without absorbing the effects of other pertinent shocks, and addresses computational inefficiencies in conventional kernel designs. Results show that both EUI and TPU are positively associated with EAC in the short term, indicating that economic agents quickly adapt their strategies to changing circumstances. However, in the long term, the uncertainty triad and economic activity are negatively associated at their middle-to-high quantiles, suggesting that long-term uncertainty constrains growth. The persistent negative long-term CPU-EAC, EUI-EAC, and TPU-EAC relationships call for for immediate policy attention. These findings remain robust to macroeconomic controls, alternative variable measures, and nested estimator comparisons. The study highlights the importance of addressing climate-related challenges, achieving a balanced energy mix, and mitigating trade frictions. The evidence indicates that although temporary policy uncertainty shocks produce only short-term effects, persistent or long-term uncertainty imposes a structural constraint on US economic activity.
中文摘要
气候、能源与贸易政策不确定性构成的三元组日益塑造美国经济活动（EAC）。本研究考察气候政策不确定性（CPU）、能源相关不确定性（EUI）和贸易政策不确定性（TPU）与美国经济活动的关联。研究采用一种新颖的基于CEEMDAN的多元Nyström分位数对分位数核正则化最小二乘（C-MN-QQKRLS）模型，该模型扩展了传统的双变量分析，纳入时频不对称性而不吸收其他相关冲击的影响，并解决了传统核设计中的计算低效问题。结果表明，EUI和TPU在短期内均与EAC正相关，表明经济主体会迅速调整其策略以适应变化的环境。然而，从长期来看，不确定性三元组与经济活动在其中高分位数上呈负相关，表明长期不确定性制约增长。长期持续的CPU-EAC、EUI-EAC和TPU-EAC负相关关系亟需政策关注。这些发现在纳入宏观经济控制变量、替代变量测度以及嵌套估计量比较后依然稳健。本研究凸显了应对气候相关挑战、实现均衡能源结构以及缓解贸易摩擦的重要性。证据表明，尽管暂时性政策不确定性冲击仅产生短期影响，但持续或长期不确定性对美国经济活动构成结构性约束。