经济周期、财政政策周期和货币政策周期的时变关联机制研究

A Study on the Time-varying Correlation Mechanism of Economic Cycle,Fiscal Policy Cycle and Monetary Policy Cycle

本文运用时变参数向量自回归(TVP-VAR)模型、时变格兰杰模型和具有区制转移特征的局部投影模型,研究中国经济周期和经济政策周期之间的时变关联、因果次序以及政策互动视角下的财政货币政策有效性问题。研究发现:(1)我国财政政策周期和货币政策周期的变动会促使经济周期同向变动,合理运用财政政策和货币政策可以有效调控经济周期;我国财政政策具有顺周期特征,但顺周期的程度在不断减弱,而数量型货币政策应对经济周期的立场一直表现出逆周期特性,但对经济周期冲击和通货膨胀冲击的反应程度在不断减弱,这可能归咎于“金融稳定”“区间调控”或“量价转型”。(2)我国经济周期和经济政策周期之间的格兰杰因果关系主要体现在经济周期和货币政策周期之间,且只有在经济新常态之后两者才呈现出明显的耦合关系。(3)当前我国财政政策和货币政策的互动模式的主要功效是提升了各自稳增长的短期有效性,而中长期经济效应并不显著。

This paper uses Time-varying Parametric Vector Autoregressive(TVP-VAR)Models,Time-varying Granger Models,and local projection models with zonal shift characteristics to investigate the time-varying correlation between China’s economic cycle and economic policy cycle,the causal order,and the effectiveness of fiscal and monetary policies in the context of policy interaction.The study found that:(1)changes in China’s fiscal policy cycle and monetary policy cycle will contribute to the same direction of the economic cycle,and the rational use of fiscal policy and monetary policy can effectively regulate the economic cycle;(2)fiscal policy in China is pro-cyclical,but the degree of pro-cyclicality is decreasing,while the stance of quantitative monetary policy in response to economic cycles has been counter-cyclical,but the degree of response to economic cycle shocks and inflation shocks is decreasing,which may be attributed to"financial stability","inter-range regulation"or"quantity-price transformation";(3)The main efficacy of the current interactive model of fiscal and monetary policies in China is to enhance the short-term effectiveness of their respective growth stabilization,while the medium-and long-term economic effects are not significant.