中国财政政策冲击的识别与效应——符号约束方法下的SVAR分析

The Identification and Effect of Fiscal Policy Shocks in China:SVAR Analysis Based on Sign Restriction

文章基于国内对财政政策冲击效应识别不充分的事实,在其所建构的结构向量自回归模型系统中,对国内外财政政策冲击的识别逐一进行了讨论,然后采用符号约束的识别方法,利用中国1997年第1季度至2012年第4季度的统计数据对中国财政政策的冲击效应进行了系统的实证分析。研究发现:在对中国经济周期冲击和货币政策冲击的反应中,名义货币供给和利率等名义变量与产出、消费等真实经济变量的关联度较弱;而财政政策冲击对名义变量的效应都不显著;政府支出对实际产出的冲击在短期内不显著,但在长期内存在负效应,原因是扩张政府支出会引起增加政府收入的适应性超调,进一步产生紧缩效应;在短期内政府支出对实际投资具有"挤出效应";政府支出与信贷余额同方向变化,这表明中国政府支出主要依赖信贷融资的事实与困境。

Based on inadequate domestic research about identification of fiscal policy shocks,this paper discusses foreign and domestic identification of fiscal policy shocks one by one by constructing structural vector auto regression(SVAR)m model system,and employs the identification method of sign restriction to make a systematic empirical analysis of the effect of Chinese fiscal policy shocks by using quarterly data from the first quarter of 1997 to the fourth quarter of 2012.It comes to the conclusions as follows:firstly,as for responses to Chinese economic cycle shocks and monetary policy shocks,there is a weaker relational degree between nominal variables like nominal money supply &interest rates and real economic variables like output&consumption;secondly,fiscal policy shocks also have no significant effects on nominal variables;thirdly,government expenditures shocks have no significant effect on real output in the short run,but the negative effect in the long run,because of further deflation effect from adaptability excess adjustment to the increase in government revenues resulting from the expansion of government expenditures;fourthly,government expenditures have crowding-out effect on real investment in the short term;fifthly,government expenditures and credit balance move at the same direction,showing the fact and dilemma that China's government expenditures mainly depend on credit financing.