Summary: As one of the frontier issues in current economics research, behavioral decision making under uncertainty shocks is an important basis for understanding a series of issues ranging from individual behavior to economic cycle fluctuations,and is also a key factor that cannot be ignored in the construction of economic-financial theory models. The world today is undergoing a major change unprecedented in a century, and the domestic and international environment is becoming increasingly complex, with economic and financial crises occurring from time to time. The uncertainty unique to major crisis events poses a huge challenge to the stable development of the global economy. It is true that clarifying the impact mechanism of uncertainty and policy synergy under major crisis events has become the key to enhancing the ability to deal with systemic risk prevention and control and to relieving economic downward pressure.
        Against this background, in terms of empirical evidence and based on high-dimensional economic and financial monthlydata for the period 2002—2020, this paper adopts a high-dimensional factor model to achieve the separation of economic（supply and demand） and financial uncertainty identification. Following that, on the basis of in-depth analysis of the occurrence and linkage mechanisms of uncertainty shocks under different crisis events, the paper further uses a TVP-VAR model to systematically examine the impact dynamics of uncertainty shocks on China's macroeconomy under major crisis events and obtain relevant empirical facts. On the theoretical side, a nonlinear DSGE model consistent with the above empirical facts is constructed and used as a basis to simulate the transmission mechanism of uncertainty shocks and effective policy response options.
       It is found that, uncertainty shocks under major crisis events are characterized by multidimensionality and heterogeneity.Demand uncertainty （financial uncertainty） tends to play a dominant role in economic （financial ） crisis events, but secondary uncertainty is equally alarming. Economic and financial uncertainties will have completely different impacts due to the differences in their transmission mechanisms, and demand and supply uncertainties are mainly manifested as cost-driven shocks, while financial uncertainties appear as contractionary shocks in the short term. In dealing with multidimensional uncertainty shocks, the coordination of monetary and fiscal policies can create space for fiscal policy and enhance policy sustainability, especially the combination of increased fiscal spending, debt management and mixed monetary policy has outstanding effectiveness in regulating the economy, stabilizing finance and controlling debt. These research results can provide a powerful grip for economic stabilization and risk prevention and control on the one hand, and have important theoretical and practical significance for improving and optimizing the macro policy regulation system on the other hand. These research results can providea powerful starting point for stabilizing the economy and risk prevention on the one hand, and on the other hand have important theoretical and practical significance for improving and optimizing the macro-policy control system.
Keywords: Demand Uncertainty; Supply Uncertainty; Financial Uncertainty; Non-Linear DSGE Model; Policy Coordination