Abstract：This paper comparatively and quantitatively analyzes the effects of four types of Chinese economic policy uncertainty index. which consists of fiscal policy uncertainty, monetary policy uncertainty. trade policy uncertainty as well as exchange rate and capital account policy uncertainty, on macroeconomy in China, Based on Smooth Local Projections model. the results show that, 1) four types of economic policy uncertainty all lead to output decline., but exchange rate and capital account policy uncertainty leads to the largest output decline, followed by monetary policy uncertainty. trade policy uncertainty and fiscal policy uncertainty. 2) Fiscal policy uncertainty and trade policy uncertainty has disinflationary effect in the short term and obvious inflationary effect on the long term, In contrast monetary policy uncertainty and exchange rate and capital account policy uncertainty has no disinflationary effect, but has obvious inflationary effect on the long term. 3) Only trade policy uncertainty statistically significantly leads to the decrease of interest rate in the short term in the four types of economic policy uncertainty. 4) Judging from the reaction between output and inflation, there is a negative trade-off between inflation and output. which may lead to the dilemma in policy operation of the government or the central bank.

Keywords: Macrocconomy; Economic policy uncertainty; Fiscal policy; Monetary policy; Trade policy; Exchange rate and capital account policy: Smooth local projections model