基于状态空间模型的我国政府消费性支出与居民消费关系研究

Research on the Relationship Between Government Consumption Expenditure and Residents Consumption in China Based on State Space Model

本文利用我国1978—2013年的财政支出数据和居民消费水平数据,使用状态空间模型,结合卡尔曼滤波迭代算法,分析了我国政府消费性支出对居民消费支出的长期动态作用。实证结果显示:我国政府消费性支出对总体居民消费存在长期的引致效应;效果先增大后减弱,在1998年左右达到峰值;政府消费性支出对于城镇居民消费的引致效应在大多数年份大于农村居民消费的引致效应。最后根据实证结果,对进一步提高居民消费水平提出了相关政策建议。

This paper,using the data of fiscal expenditure and resident consumption from1978 to2013,analyzes the long term dynamic effects of government consumption expenditure on household consumption in China through the state space mode and Kalman filtering.Empirical results show that：the Chinese government consumption expenditure has a crowd-in effect on the household consumption.The effect first enhanced and then weakened,arriving at the peak in 1998;at the same time,the crowd-in effect in urban areas was greater than that of the rural areas.Finally,based on the empirical results,the relevant policy recommendations are proposed to further improve the consumption level of residents.