我国不同时期财政政策的宏观经济效应研究

Study on the Different Periods' Microeconomic Effects of Fiscal Policy in China

基于一个带有随机波动率的时变参数因子扩展向量自回归(TVP-FAVAR)模型对1998年亚洲金融危机时期、2008年全球金融危机时期以及2015年经济新常态时期中国财政政策冲击的宏观经济效应进行了实证研究,结果发现:在这三个时期,增加财政支出对产出增长仅具有短期促进效应,但对消费和投资增长在短期和长期都具有促进效应;在亚洲金融危机时期和经济新常态时期,增加财政收入同时会促进产出、消费和投资增长,而在全球金融危机时期,增加财政收入将导致产出和消费下降,但会促进投资增长,说明财政收入对产出和消费具有非线性效应,并且对投资始终存在非凯恩斯效应;扩大财政支出和财政收入只能引发通货膨胀的短期波动,并不产生长期持续作用;此外,财政政策对进出口、就业、工资、三次产业、货币、金融等变量也都存在不同程度的短期或长期影响。

In this paper,a TVP-FAVAR model is used to analyze the effects of fiscal policy on microeconomic variables during the periods of Asian financial crisis,global financial crisis and economic new normal. The results show that at all periods,the increase of government spending can only stimulate output growth in short term,but can promote consumption and investment growth both in short long term. At the periods of Asian financial crisis and economic new normal,increasing government revenue can stimulate output,consumption and investment growth simultaneously. However,at the global financial crisis period,increasing government revenue will lead to the decline of output and consumption,but can stimulate investment growth. This means that government revenue has the non-linear effects on output and consumption,and has non-Keynesian effects no investment at all times. Fiscal policy can cause the fluctuations of inflation only in short term,but has no effects on inflation in long term. In addition,fiscal policy also has significant effects on import,export,employment,wage,three industries,financial and other variables both in short and long term.