财政支出、实际汇率与中国净出口波动——基于SV-TVP-SVAR模型的动态识别

Fiscal Expenditure,Real Exchange Rate,and China's Net Export Fluctuation——Dynamic Identification Based on SV-TVP-VAR Model

本文采用带有随机波动率的时变参数结构向量自回归(SV-TVP-SVAR)模型动态识别了中国财政支出、实际汇率与净出口之间的时变关系,并以1998年第一季度、2005年第三季度、2008年第三季度和2010年第三季度的人民币汇率改革作为关键时点,刻画了不同时点上中国财政支出的净出口效应。研究结果表明:中国财政支出对实际汇率和净出口的影响具有显著的时变特征,中国将会经历"双重发散"和"双重赤字"交替出现的时变过程;财政支出对实际汇率和净出口的影响存在明显的滞后性,短期内(两个季度)财政支出的冲击效应最为显著;人民币汇率制度改革会显著影响中国财政支出的净出口效应,实行浮动汇率制度时,中国"双重赤字"联动具有较强的即期效应,实行固定汇率制度时,具有滞后效应且联动机制存在着不确定性。

This paper constructs an SV-TVP-SVAR model to identify the time-varying relationships among China＇s fis- cal expenditure, real exchange rate and net export. Utilizing the typical reform incidences of RMB exchange rate within the regimes of 1998Q1, 2005Q3, 2008Q3 and 2010Q3, this paper depicts China＇s fiscal effects in different regimes. The re- suits show that the effects of China＇s fiscal expenditure on real exchange rate and net export have significant time-varying characteristics. Overall, China experiences a switching process between ＂twin divergence＂ and ＂twin deficits＂. Moreover, the time-varying effects have certain time lags with which the short term （nearly 2 quarters） effect is most significant. It is also found that the reform of RMB exchange rate will significantly affect China＇s fiscal effects. China＇s ＂twin deficits＂ linkage has a strong current effect at the point of implementing the floating exchange rate system while which has a strong lagging ef- fect and uncertainty at the point of implementing the fixed exchange rate system.