我国财政风险指数构建及区制状态研究

Research on the Fiscal Risk Index Construction and Regime Status in China

该文基于财政风险矩阵构建我国财政风险指标体系,并利用主成分分析法合成我国财政风险指数。在此基础上应用Markov区制转移模型对财政风险指数的动态路径进行了模拟分析。估计和检验结果说明Markov区制转移模型能够更好地说明我国财政风险的内生转移机制,我国财政风险的波动具有周期性规律和非对称特征,财政风险转移具有一定的惰性。同时,我国财政风险指数区制状态转移与国家宏观政策密切相关。在经济运行过程中,"强刺激"的宏观经济政策会为财政风险监管带来一定难度。

This paper constructs the fiscal risk index system in China based on the fiscal risk matrix, and synthesizes the fiscal risk index in China using the principal component analysis. The Markov regime switching model is applied on that basis to simulate and analyze the dynamic route of the fiscal risk index. The results indicate that the Markov regime switching model could better explain the endogenous switching mechanism of the fiscal risks. In China, there is the fluctuation of fiscal risks with periodic rule and asymmetrical feature, and certain non--reactivity brought by the fiscal risk switching. During the economic operation, the macro--economic policy of strong stimulation would bring difficulty for the fiscal risk--based regulation as a result.