债权压力下财政政策与货币政策的动态互动效应——一个开放经济的DSGE模型

The Interactions of China's Fiscal and Monetary Policies Under Debt Pressure Shock——Based on a Chinese DSGE Model in an Open Economy

目前的文献忽视了持有国外债权贬值对中国的影响,也忽视了这一背景下政府财政与货币政策的互动效应。通过构建含"债权压力"的开放经济DSGE模型,本文采用"贝叶斯"估计方法进行了理论研究。研究发现:(1)财政政策对货币政策响应、货币政策对财政政策不响应是符合我国宏观经济事实特征的模式选择。(2)债权压力冲击在短期内会提升社会总产出,但持续期非常短。(3)地方政府公共支出的冲击效应大于中央支出的政策效应。(4)外部产出冲击和地方财政支出冲击对社会总产出的波动贡献较大;外部产出冲击对中国通货膨胀的波动影响也日益增大。

This paper discusses the linkage effect of monetary and fiscal policies in an open economic system. Through building a Chinese DSGE model including debt pressure, this paper conducts the theoretical research by means of Bayesian estimation method. The conclusions are as follows. Firstly, the fact that fiscal policy responds to monetary policy and monetary policy doesn＇t respond to fiscal policy is the selected mode which is corresponding to China＇s economic growth fact. Secondly, the shock of debt pressure will enhance social output in short term, but the duration period is very short. Thirdly, the impulse-response effects of local public expenditure to macro economy are similar to the central government＇s effects, while the economic effect of local public expenditure is bigger than the effect of central government. Finally, in recent years, foreign output shock and local public expenditure shock contribute a lot to output＇s fluctuation. The shock of interest rate and tax policy is the main force to drive consumption changes.