Abstract: In recent years, along with the highlight of macroeconomic uncertainty, the effectiveness of monetary policy is bound to be affected by macroeconomic uncertainty. In order to fully capture the feedback effect of monetary policy shock on macroeconomic uncertainty, this paper based on the perspective of endogenous macroeconomic uncertainty based on extracting a large number of macroeconomic variable uncertainty components and synthesizing macroeconomic uncertainty indicators. The impact of macroeconomic uncertainty on the effectiveness of monetary policy, and further explored the channels of macroeconomic uncertainty affecting the effects of monetary policy. The results show that macroeconomic uncertainty weakens the stimulus effect of expansionary monetary policy; macroeconomic uncertainty and expansionary monetary policy effects change in reverse, that is, the higher the macroeconomic uncertainty, the stimulating effect of expansionary monetary policy The weaker; expansionary monetary policy endogenously reduces macroeconomic uncertainty, and indirectly affects investment, consumption, and output through macroeconomic “uncertain channels”, amplifying the stimulating effect of expansionary monetary policy on macroeconomics Although this positive impact effect is less than the negative effect of macroeconomic uncertainty itself.

Key words: macroeconomic uncertainty; Monetary policy; Effectiveness of monetary policy