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
财经研究 2015 年 第 41 卷第 06 期, 页码:
摘要
参考文献
摘要
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。
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[4]李晓芳, 高铁梅, 梁云芳.税收和政府支出政策对产出动态冲击效应的计量分析[J].财贸经济,2005,(2):32-39+97.
[5]李永友.市场主体信心与财政乘数效应的非线性特征——基于 SVAR 模型的反事实分析[J].管理世界,2012,(1):46-56+187.
[6]王立勇,李富强.我国相机抉择财政政策效应非对称性的实证研究[J].数量经济技术经济研究, 2009,(1):58-66.
[7]张成思.随机冲击、货币政策与经济周期波动[J].中国人民大学学报,2010,(6):21-29.
[8]Baxter M, King R G. Fiscal policy in general equilibrium[J]. American Economic Review, 1993, 83(3): 315-334.
[9]Blanchard O, Perotti R. An empirical characterization of the dynamic effects of changes in government spending and taxes on output[J]. The Quarterly Journal of Economics, 2002, 117(4): 1329-1368.
[10]Blanchard O, Watson M W. Are business cycles all alike?[R]. NBER Working Paper, 1986.
[11]Christiano L J,Eichenbaum M, Evoms C L. Monetary policy shocks: What have we learned and to what end? [C]. Handbook of macroeconomics, 1999, Part A: 65-148.
[12]Favero C. How do European monetary and fiscal authorities behave?[R]. CEPR Working Papers, 2002.
[13]Galí J, LópezSalido, J D, Vallés J. Understanding the effects of government spending on consumption[J]. Journal of the European Economic Association, 2007, 5(1):227-270.
[14]Leeper E M, Sims C A, Zha T. What does monetary policy do?[J]. Brookings Papers on Economic Activity, 1996,1996(2): 1-78.
[15]Mountford A, Uhlig H. What are the effects of fiscal policy shocks?[J]. Journal of Applied Econometrics, 2009, 24(6): 960-992.
[16]Shapiro M, Watson M. Sources of business cycles fluctuations[C].NBER Macroeconomics Annual 1988,3: 111-156.
[17]Sims C A. Macroeconomics and reality[J].Econometrica, 1980,48(1): 1-48.
[18]Uhlig H. What are the effects of monetary policy on output? Results from an agnostic identification procedure[J]. Journal of Monetary Economics, 2005, 52(2): 381-419.
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王文甫, 张 南, 岳超云. 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[J]. 财经研究, 2015, 41(6): 0.
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