财政政策冲击的宏观经济效应
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摘要
财政政策冲击的宏观经济效应一直都是一些经济学家和政策制定者关注的焦点问题之一。我国政府一直非常注重财政政策的宏观调控，2011年“十二五规划”中明确提出“加强和改善宏观调控，提高宏观调控的科学性和预见性，增强针对性和灵活性”。动态随机一般均衡(DSGE)模型是目前宏观经济领域最流行的分析工具之一，它使宏观经济理论模型有着清晰的微观理论基础，有效回避“卢卡斯批判”。运用DSGE模型研究我国财政政策冲击的宏观经济效应，可以更加清晰地呈现经济运行的机制，其结果更具有说服力。因此，本文在梳理国内外相关研究文献的基础上，构建财政政策分析的DSGE模型，并根据我国相关年度数据与季度数据，模拟不同情境下财政政策冲击的宏观经济效应。
首先，从新古典主义视角构建一个DSGE模型，并根据我国改革开放以来的相关年度数据对模型参数进行校准，模拟在完全竞争市场、无名义摩擦、无货币因素等特征情况下财政支出冲击的宏观经济效应。该DSGE模型是在Finn (1998)模型基础上进行了修正，其主要特点是私人消费与非生产性财政支出以能体现两者互补性的固定替代弹性函数形式进入消费者效用函数。其次，在新古典主义视角下的DSGE模型中，进一步引入消费税、劳动收入税、资本收入税，并根据改革开放以来相关年度数据对模型参数进行校准，模拟在完全竞争市场、无名义摩擦、无货币因素等特征情况下税收冲击的宏观经济效应。接着，以现代新凯恩斯主义基准模型——SW模型为基础，并对其进行拓展，例如，引入流动性约束消费者，引入财政支出与税收对政府债务规模的反应机制，将财政支出划分为非生产性财政支出与生产性财政支出，并引入消费税、劳动收入税、资本收入税等，同时根据我国1996年第1季度至2012年第1季度相关数据，采用贝叶斯估计的方法，模拟在垄断竞争市场、价格粘性、工资粘性、消费习惯、存在货币政策调控等特征情况下财政支出与税收冲击的宏观经济效应。然后，在已建新凯恩斯主义DSGE模型的基础上，模拟财政融资规则和货币规则对财政政策冲击宏观经济效应的影响。
其研究发现：(1)本文所构建的新古典主义DSGE模型对我国改革开放以来实际经济拥有较强的解释力，所构建的新凯恩斯主义DSGE模型对我国1996年以来实际经济也拥有较强的解释力。(2)不管是新古典主义DSGE模型还是新凯恩斯主义DSGE模拟，不同类型财政支出冲击的宏观经济效应都存在很大的差别，不同类型税收冲击的宏观经济效应也都存在很大差别，其中，公共资本产出弹性系数与生产性财政支出的宏观经济效应有着紧密关系，在短期内提高资本收入税对产出的损害是最大的。(3)在新古典主义DSGE模型中，生产性财政支出和私人消费间的互补性与非生产性财政支出对私人消费的影响有着密切关系。通过增强非生产性财政支出与私人消费的互补性可以实现，增加非生产性财政支出既能刺激产出又能促进居民消费的效果。(4)在新凯恩斯主义DSGE模型中，消费者的流动性约束程度与非生产性财政支出对私人消费的影响有着密切关系，引入财政支出与税收对政府债务规模的反应机制后，非生产性财政支出冲击对产出的影响并不一直是正向的，税收冲击对产出的影响并不一直是负向的。(5)财政融资规则对财政支出冲击宏观经济效应有着显著性影响，名义利率对通货膨胀的反应变化对财政支出与税收冲击宏观经济效应也有着显著性影响。
最后是结论。总结本文研究的主要内容，并提出相关政策建议，指出本文的后续研究与展望。
The macroeconomic effect of fiscal policy shock is always an important issueconcerned by economists and policy makers. The Chinese government has paid muchattention to the macro-control of fiscal policy, and the Twelfth Five-Year Planintroduced in2011has put forward the guiding idea to strengthening and improvingmacro-control, and enhancing the scientific and predictability of the macro-control.Dynamic Stochastic General Equilibrium (DSGE) model is one of the most popularanalysis tools in macroeconomic field nowadays. It makes the macroeconomic theorymodel have a clear micro-theoretical basis, which effectively avoid Lucas criticism.Meanwhile, studying the macroeconomic effects of fiscal policy shocks by usingDSGE model can clearly show the mechanism of economic operations and make theresults more convincing. Therefore, based on the domestic and foreign researchliterature, and according to annual and quarterly data of our country, this paper buildsa DSGE model to simulate the macroeconomic effects of fiscal policy in differentsituations.
Firstly, this paper constructs a DSGE model from the perspective of Neo-classicaltheory, and calibrates the model parameters based on related annual data of ourcountry since the reform and opening up policy. The paper simulates the macroeconomiceffects of fiscal expenditure under a perfectly competitive market environment, thereare no nominal frictions and no monetary factors in the model. This DSGE model isan extension of Finn(1998)’s model and its main characteristic is that the consumptionfunction includes a constant elasticity of substitution index between privateconsumption and non-productive fiscal expenditure. Secondly, the paper introducesconsumption tax, labor income tax, capital income tax, etc to the Neo-classical DSGEmodel. What’s more, we adjust the model parameters based on related annual data ofChina since1978. The model simulates macroeconomic effects of tax shock under thesituation of a perfectly competitive market environment, no nominal frictions, nomonetary factors, etc. Then, the paper also extends the modern New KeynesianismDSGE model, namely, the SW model. For example, we introduce liquidity constraintsof consumers, the mechanism of reaction of fiscal expenditure and revenue togovernment debt scale to the model, and divide fiscal expenditure into nonproductiveexpenditure and productive expenditure, we also takes into account of consumption tax, labor income, capital income tax, etc. Meanwhile, using quarterly data from1996to2012, the paper applies the Bayesian estimation method to simulate themacroeconomic effects of fiscal expenditure shock and tax shock under the situationof monopolistic competition market, price stickiness, wage stickiness, consumptionhabits, presence of monetary policy regulation, etc. Fourthly, this paper simulates theimpact of the rules of financial financing and monetary policy on the macroeconomiceffects of fiscal policy based on our extended New Keynesianism DSGE model.
The results shown that, Firstly, the Neo-classical DSGE model has a strongexplanatory power to the economic reality of our country since the reform andopening-up, and the New Keynesianism Model has a strong explanatory power toChina’s real economy since1996. Secondly, both the Neo-classical model and NewKeynesianism model simulation indicates that different types of fiscal expenditureshock and tax shock have different macroeconomic effects. The macroeconomic effectof productive fiscal expenditure shock is bound up with elasticity of output withrespect to public capital. And increasing in capital income tax has most negativeeffect on output in the short run. Thirdly, under the Neo-classical DSGE model, theimpact of non-productive fiscal expenditure to private consumption has a closerelationship with the complementarity of non-productive fiscal expenditure andprivate consumption. What’s more, by improving the complementarity ofnon-productive fiscal expenditure and private consumption, the increase innon-productive expenditure can stimulate output and promote residents consumption.Fourthly, according to the New Keynesianism DSGE model, the impact ofnon-productive fiscal expenditure on private consumption has a close relationshipwith consumer’s liquidity restriction. Moreover, after introducing the mechanism ofreaction of fiscal expenditure and revenue to government debt scale, thenon-productive fiscal expenditure shocks don’t always have a positive effect onoutput, and tax shocks don’t always have a negative effect on output. Fifthly, financialfinancing rules have a significant influence on the macroeconomic effects of fiscalexpenditure, and the response of nominal interest rate to inflation also has asignificant influence on the macroeconomic effects of fiscal expenditure.
Finally, we summarize the main findings of this paper, put forward policyproposals based on the conclusion, and point out the future research directions.
首先，从新古典主义视角构建一个DSGE模型，并根据我国改革开放以来的相关年度数据对模型参数进行校准，模拟在完全竞争市场、无名义摩擦、无货币因素等特征情况下财政支出冲击的宏观经济效应。该DSGE模型是在Finn (1998)模型基础上进行了修正，其主要特点是私人消费与非生产性财政支出以能体现两者互补性的固定替代弹性函数形式进入消费者效用函数。其次，在新古典主义视角下的DSGE模型中，进一步引入消费税、劳动收入税、资本收入税，并根据改革开放以来相关年度数据对模型参数进行校准，模拟在完全竞争市场、无名义摩擦、无货币因素等特征情况下税收冲击的宏观经济效应。接着，以现代新凯恩斯主义基准模型——SW模型为基础，并对其进行拓展，例如，引入流动性约束消费者，引入财政支出与税收对政府债务规模的反应机制，将财政支出划分为非生产性财政支出与生产性财政支出，并引入消费税、劳动收入税、资本收入税等，同时根据我国1996年第1季度至2012年第1季度相关数据，采用贝叶斯估计的方法，模拟在垄断竞争市场、价格粘性、工资粘性、消费习惯、存在货币政策调控等特征情况下财政支出与税收冲击的宏观经济效应。然后，在已建新凯恩斯主义DSGE模型的基础上，模拟财政融资规则和货币规则对财政政策冲击宏观经济效应的影响。
其研究发现：(1)本文所构建的新古典主义DSGE模型对我国改革开放以来实际经济拥有较强的解释力，所构建的新凯恩斯主义DSGE模型对我国1996年以来实际经济也拥有较强的解释力。(2)不管是新古典主义DSGE模型还是新凯恩斯主义DSGE模拟，不同类型财政支出冲击的宏观经济效应都存在很大的差别，不同类型税收冲击的宏观经济效应也都存在很大差别，其中，公共资本产出弹性系数与生产性财政支出的宏观经济效应有着紧密关系，在短期内提高资本收入税对产出的损害是最大的。(3)在新古典主义DSGE模型中，生产性财政支出和私人消费间的互补性与非生产性财政支出对私人消费的影响有着密切关系。通过增强非生产性财政支出与私人消费的互补性可以实现，增加非生产性财政支出既能刺激产出又能促进居民消费的效果。(4)在新凯恩斯主义DSGE模型中，消费者的流动性约束程度与非生产性财政支出对私人消费的影响有着密切关系，引入财政支出与税收对政府债务规模的反应机制后，非生产性财政支出冲击对产出的影响并不一直是正向的，税收冲击对产出的影响并不一直是负向的。(5)财政融资规则对财政支出冲击宏观经济效应有着显著性影响，名义利率对通货膨胀的反应变化对财政支出与税收冲击宏观经济效应也有着显著性影响。
最后是结论。总结本文研究的主要内容，并提出相关政策建议，指出本文的后续研究与展望。
The macroeconomic effect of fiscal policy shock is always an important issueconcerned by economists and policy makers. The Chinese government has paid muchattention to the macro-control of fiscal policy, and the Twelfth Five-Year Planintroduced in2011has put forward the guiding idea to strengthening and improvingmacro-control, and enhancing the scientific and predictability of the macro-control.Dynamic Stochastic General Equilibrium (DSGE) model is one of the most popularanalysis tools in macroeconomic field nowadays. It makes the macroeconomic theorymodel have a clear micro-theoretical basis, which effectively avoid Lucas criticism.Meanwhile, studying the macroeconomic effects of fiscal policy shocks by usingDSGE model can clearly show the mechanism of economic operations and make theresults more convincing. Therefore, based on the domestic and foreign researchliterature, and according to annual and quarterly data of our country, this paper buildsa DSGE model to simulate the macroeconomic effects of fiscal policy in differentsituations.
Firstly, this paper constructs a DSGE model from the perspective of Neo-classicaltheory, and calibrates the model parameters based on related annual data of ourcountry since the reform and opening up policy. The paper simulates the macroeconomiceffects of fiscal expenditure under a perfectly competitive market environment, thereare no nominal frictions and no monetary factors in the model. This DSGE model isan extension of Finn(1998)’s model and its main characteristic is that the consumptionfunction includes a constant elasticity of substitution index between privateconsumption and non-productive fiscal expenditure. Secondly, the paper introducesconsumption tax, labor income tax, capital income tax, etc to the Neo-classical DSGEmodel. What’s more, we adjust the model parameters based on related annual data ofChina since1978. The model simulates macroeconomic effects of tax shock under thesituation of a perfectly competitive market environment, no nominal frictions, nomonetary factors, etc. Then, the paper also extends the modern New KeynesianismDSGE model, namely, the SW model. For example, we introduce liquidity constraintsof consumers, the mechanism of reaction of fiscal expenditure and revenue togovernment debt scale to the model, and divide fiscal expenditure into nonproductiveexpenditure and productive expenditure, we also takes into account of consumption tax, labor income, capital income tax, etc. Meanwhile, using quarterly data from1996to2012, the paper applies the Bayesian estimation method to simulate themacroeconomic effects of fiscal expenditure shock and tax shock under the situationof monopolistic competition market, price stickiness, wage stickiness, consumptionhabits, presence of monetary policy regulation, etc. Fourthly, this paper simulates theimpact of the rules of financial financing and monetary policy on the macroeconomiceffects of fiscal policy based on our extended New Keynesianism DSGE model.
The results shown that, Firstly, the Neo-classical DSGE model has a strongexplanatory power to the economic reality of our country since the reform andopening-up, and the New Keynesianism Model has a strong explanatory power toChina’s real economy since1996. Secondly, both the Neo-classical model and NewKeynesianism model simulation indicates that different types of fiscal expenditureshock and tax shock have different macroeconomic effects. The macroeconomic effectof productive fiscal expenditure shock is bound up with elasticity of output withrespect to public capital. And increasing in capital income tax has most negativeeffect on output in the short run. Thirdly, under the Neo-classical DSGE model, theimpact of non-productive fiscal expenditure to private consumption has a closerelationship with the complementarity of non-productive fiscal expenditure andprivate consumption. What’s more, by improving the complementarity ofnon-productive fiscal expenditure and private consumption, the increase innon-productive expenditure can stimulate output and promote residents consumption.Fourthly, according to the New Keynesianism DSGE model, the impact ofnon-productive fiscal expenditure on private consumption has a close relationshipwith consumer’s liquidity restriction. Moreover, after introducing the mechanism ofreaction of fiscal expenditure and revenue to government debt scale, thenon-productive fiscal expenditure shocks don’t always have a positive effect onoutput, and tax shocks don’t always have a negative effect on output. Fifthly, financialfinancing rules have a significant influence on the macroeconomic effects of fiscalexpenditure, and the response of nominal interest rate to inflation also has asignificant influence on the macroeconomic effects of fiscal expenditure.
Finally, we summarize the main findings of this paper, put forward policyproposals based on the conclusion, and point out the future research directions.
引文
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