Abstract: This paper is based on China’s 274-dimensional monthly economic and financial data in 2002 and 2018. Through improved uncertainty-related measurement methods, a high-dimensional factor model is used to achieve a separate measurement of China’s economic and financial uncertainty. Based on the non-linear Granger causality test and the dynamic spillover index method to investigate its correlation dynamics, the SV-TVP-FAVAR model is further used to measure the impact dynamics of both output fluctuations and price fluctuations. comparative analysis. The research found that: 1) China’s economic uncertainty and financial uncertainty both have obvious periodic fluctuation characteristics, and the level of financial uncertainty since the new normal period has been significantly greater than economic uncertainty 2) Financial uncertainty is the cause of economic uncertainty. An important factor of certainty, while the impact of economic uncertainty on financial uncertainty is relatively low, especially since China’s economy has entered a new normal period, the interaction between the two is mainly manifested in financial uncertainty on economic uncertainty. 3) Economic and financial uncertainties are both important factors that cause output fluctuations and price fluctuations, but in contrast, financial uncertainty shocks have a greater amplification effect on economic fluctuations and price fluctuations And showed more obvious hysteresis and persistence. The research in this article has deeply explored the interaction mechanism between the modern economy and the financial system from the perspective of uncertainty, and provided new evidence for strengthening anticipatory management and optimizing macro-policy control and control.

Keywords: economic uncertainty; financial uncertainty; macroeconomic effect; SV-TVP-FAVAR model