财政政策信息摩擦与财政支出乘数—基于DSGE模型的分析

Fiscal Policy Information Friction and Fiscal Expenditure Multiplier——Research Based on DSGE Model

本文估算中国财政政策信息摩擦程度,构建纳入财政政策信息摩擦特征的DSGE模型研究中国财政政策有效信息冲击和噪音冲击的不同影响机制,测算不同信息摩擦情境下的长短期财政支出乘数及相应的财政政策效应损失。结果表明,中国财政政策存在信息摩擦;财政政策有效信息冲击和噪音冲击的影响机制存在差异,有效信息冲击效果大于噪音冲击的效果;政策信息摩擦程度越高,有效信息冲击的效果越弱,财政支出乘数越小,政策效应损失越大。不同信息摩擦情境下的财政支出乘数差异主要体现在政策未实施阶段及实施前期,而在政策实施后期,不同信息摩擦情境下的财政支出乘数收敛且趋同;中国财政政策有效信息比重为0.65,财政政策效应损失度最高达35%。

This paper estimates the degree of fiscal policy information friction in China, and studies the different effect of fiscal news shock and fiscal noise shock on the economy in DSGE model which incorporates features such as fiscal information friction, consumption habit, investment adjustment cost and price stickiness, then calculates the fiscal expenditure multipliers and the relevant loss of fiscal policy effect under different degrees of fiscal information friction. The results show that, there is indeed fiscal information friction in China. The effects of fiscal news shock and fiscal noise shock on economy are quite different, and the effect of fiscal news shock is larger than that of fiscal noise shock. Before the implementation of fiscal policy, the higher the degree of fiscal information friction, the smaller the effect of fiscal news shock, however, after the implementation of fiscal policy, the effects of fiscal news shock gradually converge under different degrees of fiscal information friction. The higher the degree of fiscal information friction, the smaller the fiscal expenditure multipliers, and the larger the loss of fiscal policy effects is. The difference in fiscal expenditure multiplier under different degrees of fiscal information friction is mainly reflected in the fiscal policy unimplemented and pre-implemented periods, while after the implementation of fiscal policy, the fiscal expenditure multipliers gradually converge to the same value.