宏观经济、金融市场与政府债务——基于中国20年历史数据结合DAG和SVAR分析
|
摘要
本文采用1997年至2018年的宏观经济、金融市场与政府债务的指标样本数据,运用DAG和SVAR模型,实证研究各个经济变量之间的联动机制。研究表明,长短期来看,金融市场、宏观经济与政府债务之间存在因果关系,且前两者是波动因素的传递方,后者是接收方,进一步地,从长期来看,中国的政府债务风险受全球经济和资本市场波动等外部因素的影响,明显高于房地产业和价格水平等国内因素。适度宽松的货币政策和积极财政政策会使政府债务风险呈现不断上升态势,值得关注的是,金融市场的发展和经济繁荣程度可以减少宏观调控政策对经济的负影响,从而缓解政府债务风险。
This paper uses the sample data of macro-economy, financial markets and government debt from 1997 to 2018,and uses DAC and SVAR models to empirically study the linkage mechanism between various economic variables. Studies show that in the long run, there is a causal relationship between financial markets, macro-economy and government debt, and the first two are the transmitters of the volatility factors, the latter are the receivers,and further, in the long run, the Chinese government debt risk is affected by external factors such as global economic and capital market volatility,which is significantly higher than domestic factors such as real estate and price levels. Moderately loose monetary policy and proactive fiscal policy will make the government debt risk show an increasing trend. It is worth noting that the development of financial markets and economic prosperity can reduce the negative impact of macro-control policies on the economy, thus alleviating the government debt risk.
This paper uses the sample data of macro-economy, financial markets and government debt from 1997 to 2018,and uses DAC and SVAR models to empirically study the linkage mechanism between various economic variables. Studies show that in the long run, there is a causal relationship between financial markets, macro-economy and government debt, and the first two are the transmitters of the volatility factors, the latter are the receivers,and further, in the long run, the Chinese government debt risk is affected by external factors such as global economic and capital market volatility,which is significantly higher than domestic factors such as real estate and price levels. Moderately loose monetary policy and proactive fiscal policy will make the government debt risk show an increasing trend. It is worth noting that the development of financial markets and economic prosperity can reduce the negative impact of macro-control policies on the economy, thus alleviating the government debt risk.
引文
(1)罗伯特·巴罗、赫歇尔·格罗斯曼:《货币、就业和通货膨胀》,商务印书馆2015年版。
(2)白钦先、谭庆华:《论金融功能演进与金融发展》,《金融研究》2006年第7期。
(3)劳伦·勃兰特、托马斯·罗斯基:《伟大的中国经济转型》,上海人民出版社2009年版。
(4)陈柳钦:《规范地方政府融资平台发展的思考》,《地方财政研究》2010年第11期。
(5)陈诗一、汪莉:《中国地方债务与区域经济增长》,《学术月刊》2016年第6期。
(6)程宇丹、龚六堂:《财政分权下的政府债务与经济增长》,《世界经济》2015年第11期。
(7)胡援成、张文君:《地方政府投融资平台流程再造》,《求索》2010年第8期。
(8)约翰·梅纳德·凯恩斯:《就业、利息和货币通论》,中国社会科学出版社2009年版。
(9)梁邦海、黄莹、李勇:《基于熵权法的地方政府投融资平台综合评价体系构建及其实证研究》,《经济体制改革》2010年第4期。
(10)禄晓龙、张荐华:《中国分税制改革成效研究:1994-2011年》,《商业研究》2013年第12期。
(11)吕健:《政绩竞赛、经济转型与地方政府债务增长》,《中国软科学》2014年第8期。
(12)马海涛、秦强:《完善制度建设,加强政府投融资平台管理》,《经济与管理研究》2010年第1期。
(13)卡尔·马克思:《资本论(第一卷)》,人民出版社1963年版。
(14)马栓友:《中国公共部门债务和赤字的可持续分析——兼评积极财政政策的不可持续性及其冲击》,《经济研究》2001年第8期。
(15)庞晓波、李丹:《中国金融市场发展与政府债务风险》,《财经研究》2017年第10期。
(16)彭小泉:《国债市场和股票市场均衡发展研究》,《金融研究》2000年第3期。
(17)秦海林:《金融风险财政化、财政风险金融化与经济增长》,《上海金融》2010年第3期。
(18)施华强:《适度宽松货币政策下的中国信贷膨胀分析》,《经济学动态》2009年第8期。
(19)斯蒂格利茨:《经济学》(下册),商务印书馆1998年版。
(20)亚当·斯密:《国富论》,新世界出版社2007年版。
(21)史朝阳:《经济增长视角下我国地方政府债务问题研究》,华中科技大学博士学位论文,2012年。
(22)宋姗姗:《财政分权、投资冲动与地方债务增长研究》,《上海金融》2018年第2期。
(23)唐云锋:《我国地方政府债务的扩张机制研究——基于委托代理理论框架的分析》,《财经论丛》2006年第3期。
(24)王永钦、陈映辉、杜巨澜:《软预算约束与中国地方政府债务违约风险:来自金融市场的证据》,《经济研究》2016年第11期。
(25)赵振全、薛丰慧:《金融发展对经济增长影响的实证分析》,《金融研究》2004年第8期。
(26)祝志勇、高扬志:《财政压力与官员政绩的牵扯:细究地方政府投融资平台》,《改革》2010年第12期。
(27)Alesina, A. and Perotti,R., Income distribution:Political instability and investment. European Economic Review,Vol. 40, No. 6,1996.
(28)Arestis, P., Demetriades, P. 0. and Luintel, K. B.,Financial development and economic growth:The role of stock markets. Journal Of Money, Credit And Banking, Vol. 33, No.1,2001.
(29)Barro, R., Are government bonds net wealth?. Journal Of Political Economy, Vol. 82,No. 6,1974.
(30)Beck, T. and Levine, R., Stock markets, banks and growth:Panel evidence. Journal Of Banking And Finance, Vol.28,No. 3,2004.
(31)Benhabib, J. and Farmer, R. E., Indeterminacy and increasing return. Journal Of Economic Theory, Vol. 63, No.1,1994.
(32)Carmichael,J.,On Barro's theorem of debt neutrality:The irrelevance of new wealth. American Economy Review,Vol. 72,No. 1,1982.
(33)Checherita,S.,Mohanty,M. and Zampolli,F.,The real effects of debt. Bank For International Settlements Working Paper,No. 352,2011.
(34)Clements, B., Bhattacharya, R. and Nguyen, T. Q.,External debt, public investment, and growth in low-income countries. IMF Working Paper,No. WP/03/249,2003.
(35)Cochrane, J. H., Understanding policy in the great recession:Some unpleasant fiscal arithmetic. European Economic Review, Vol. 55,No. 1,2011.
(36)Cohen,D., Low investment and large LDC debt in the1980's. American Economic Reviews,Vol. 83,No. 3,1993.
(37)Cordella,T.,Debt overhang or debtirrelevance? Revisiting the debt growthlink. IMF Working Paper, No. WP/05/223,2005.
(38)Elmendorf, D. W. and Mankiw, G. N., Government debt. In Taylor,J. B. and Woodford,M.,(Eds.),Handbook Of Macroeconomics,No. 1,Amsterdam:Elsevier, 1999.
(39)Goodspeed,T. J., Bailouts in a federalism. International Tax And Public Finance, Vol. 9, No. 1,2002.
(40)Hall, R. E., Fiscal stability of high-debt nations under volatile economic conditions. German Economic Review, Vol.15,No. 1,2014.
(41)Jin, H., Qian, Y. and Weingast, B., Regional decentralization and fiscal incentives:Federalism, Chinese style.Journal Of Public Economics, Vol. 89,No. 9-10,2000.
(42)Jin,J. and Zou,H. F., Fiscal decentralization, revenue and expenditure assignments and growth in China. Journal Of Urban Economics, Vol. 16,No. 6,2005.
(43)Kumar,M. S. and Woo,J.,Public debt and growth. IMF Working Papers,No. 174,2010.
(44)Levine, R. and Zervos, S., Stock markets, banks and economic growth. American Economic Review, Vol. 88, No.3,1998.
(45)Li, Y., Ng, D. T. and Swaminathan, B., Predicting market return using aggregate implied cost of capital. Journal Of Financial Economics, Vol. 110,No. 2,2013.
(46)Ng, S. and Perron, P., Lag length selection and the const ruction of unit root tests with good size and power. Econometrica, Vol. 69,No. 6,2001.
(47)Panizza, U. and Presbitero, A. F., Public debt andeconomic growth:Is there a causal effect. MOFIR Working Paper,No. 65,2012.
(48)Pattillo, C., Helence, R. and Lucas, R., Extend debt and growth. IMF Working Paper, No. 69,2002.
(49)Pescatori, A., Sandri, D. and Simon, J., Debt and growth:Is there a magic threshold. IBM Working Paper, No.14/34,2014.
(50)Reinhart, C. M. and Rogoff,K. S., Growth in a time of debt. American Economic Review, Vol. 100,No. 2,2010.
(51)Siddiqui,R. and Malik, A., Debt and economic growth in South Asia. Pakistan Development Review, Vol. 40, No.4,2001.
(52)Spirtes, P., Glymour, C. and Scheines, R., Causation,Prediction And Search., New York:Springer-Verlag New York, 1993.
(53)Wu, J. L., Hou, H. and Cheng, S. Y., The dynamic impacts of financial institutions on economic growth:Evidence from the European Union. Journal Of Macroeconomics, Vol. 32,No. 3,2010.
(54)Xu,M. D. and Chen,X. B., Corporate investment and the cost of capital:Evidence from China. Economic Research Journal, Vol. 3,No. 6,2012.
(2)白钦先、谭庆华:《论金融功能演进与金融发展》,《金融研究》2006年第7期。
(3)劳伦·勃兰特、托马斯·罗斯基:《伟大的中国经济转型》,上海人民出版社2009年版。
(4)陈柳钦:《规范地方政府融资平台发展的思考》,《地方财政研究》2010年第11期。
(5)陈诗一、汪莉:《中国地方债务与区域经济增长》,《学术月刊》2016年第6期。
(6)程宇丹、龚六堂:《财政分权下的政府债务与经济增长》,《世界经济》2015年第11期。
(7)胡援成、张文君:《地方政府投融资平台流程再造》,《求索》2010年第8期。
(8)约翰·梅纳德·凯恩斯:《就业、利息和货币通论》,中国社会科学出版社2009年版。
(9)梁邦海、黄莹、李勇:《基于熵权法的地方政府投融资平台综合评价体系构建及其实证研究》,《经济体制改革》2010年第4期。
(10)禄晓龙、张荐华:《中国分税制改革成效研究:1994-2011年》,《商业研究》2013年第12期。
(11)吕健:《政绩竞赛、经济转型与地方政府债务增长》,《中国软科学》2014年第8期。
(12)马海涛、秦强:《完善制度建设,加强政府投融资平台管理》,《经济与管理研究》2010年第1期。
(13)卡尔·马克思:《资本论(第一卷)》,人民出版社1963年版。
(14)马栓友:《中国公共部门债务和赤字的可持续分析——兼评积极财政政策的不可持续性及其冲击》,《经济研究》2001年第8期。
(15)庞晓波、李丹:《中国金融市场发展与政府债务风险》,《财经研究》2017年第10期。
(16)彭小泉:《国债市场和股票市场均衡发展研究》,《金融研究》2000年第3期。
(17)秦海林:《金融风险财政化、财政风险金融化与经济增长》,《上海金融》2010年第3期。
(18)施华强:《适度宽松货币政策下的中国信贷膨胀分析》,《经济学动态》2009年第8期。
(19)斯蒂格利茨:《经济学》(下册),商务印书馆1998年版。
(20)亚当·斯密:《国富论》,新世界出版社2007年版。
(21)史朝阳:《经济增长视角下我国地方政府债务问题研究》,华中科技大学博士学位论文,2012年。
(22)宋姗姗:《财政分权、投资冲动与地方债务增长研究》,《上海金融》2018年第2期。
(23)唐云锋:《我国地方政府债务的扩张机制研究——基于委托代理理论框架的分析》,《财经论丛》2006年第3期。
(24)王永钦、陈映辉、杜巨澜:《软预算约束与中国地方政府债务违约风险:来自金融市场的证据》,《经济研究》2016年第11期。
(25)赵振全、薛丰慧:《金融发展对经济增长影响的实证分析》,《金融研究》2004年第8期。
(26)祝志勇、高扬志:《财政压力与官员政绩的牵扯:细究地方政府投融资平台》,《改革》2010年第12期。
(27)Alesina, A. and Perotti,R., Income distribution:Political instability and investment. European Economic Review,Vol. 40, No. 6,1996.
(28)Arestis, P., Demetriades, P. 0. and Luintel, K. B.,Financial development and economic growth:The role of stock markets. Journal Of Money, Credit And Banking, Vol. 33, No.1,2001.
(29)Barro, R., Are government bonds net wealth?. Journal Of Political Economy, Vol. 82,No. 6,1974.
(30)Beck, T. and Levine, R., Stock markets, banks and growth:Panel evidence. Journal Of Banking And Finance, Vol.28,No. 3,2004.
(31)Benhabib, J. and Farmer, R. E., Indeterminacy and increasing return. Journal Of Economic Theory, Vol. 63, No.1,1994.
(32)Carmichael,J.,On Barro's theorem of debt neutrality:The irrelevance of new wealth. American Economy Review,Vol. 72,No. 1,1982.
(33)Checherita,S.,Mohanty,M. and Zampolli,F.,The real effects of debt. Bank For International Settlements Working Paper,No. 352,2011.
(34)Clements, B., Bhattacharya, R. and Nguyen, T. Q.,External debt, public investment, and growth in low-income countries. IMF Working Paper,No. WP/03/249,2003.
(35)Cochrane, J. H., Understanding policy in the great recession:Some unpleasant fiscal arithmetic. European Economic Review, Vol. 55,No. 1,2011.
(36)Cohen,D., Low investment and large LDC debt in the1980's. American Economic Reviews,Vol. 83,No. 3,1993.
(37)Cordella,T.,Debt overhang or debtirrelevance? Revisiting the debt growthlink. IMF Working Paper, No. WP/05/223,2005.
(38)Elmendorf, D. W. and Mankiw, G. N., Government debt. In Taylor,J. B. and Woodford,M.,(Eds.),Handbook Of Macroeconomics,No. 1,Amsterdam:Elsevier, 1999.
(39)Goodspeed,T. J., Bailouts in a federalism. International Tax And Public Finance, Vol. 9, No. 1,2002.
(40)Hall, R. E., Fiscal stability of high-debt nations under volatile economic conditions. German Economic Review, Vol.15,No. 1,2014.
(41)Jin, H., Qian, Y. and Weingast, B., Regional decentralization and fiscal incentives:Federalism, Chinese style.Journal Of Public Economics, Vol. 89,No. 9-10,2000.
(42)Jin,J. and Zou,H. F., Fiscal decentralization, revenue and expenditure assignments and growth in China. Journal Of Urban Economics, Vol. 16,No. 6,2005.
(43)Kumar,M. S. and Woo,J.,Public debt and growth. IMF Working Papers,No. 174,2010.
(44)Levine, R. and Zervos, S., Stock markets, banks and economic growth. American Economic Review, Vol. 88, No.3,1998.
(45)Li, Y., Ng, D. T. and Swaminathan, B., Predicting market return using aggregate implied cost of capital. Journal Of Financial Economics, Vol. 110,No. 2,2013.
(46)Ng, S. and Perron, P., Lag length selection and the const ruction of unit root tests with good size and power. Econometrica, Vol. 69,No. 6,2001.
(47)Panizza, U. and Presbitero, A. F., Public debt andeconomic growth:Is there a causal effect. MOFIR Working Paper,No. 65,2012.
(48)Pattillo, C., Helence, R. and Lucas, R., Extend debt and growth. IMF Working Paper, No. 69,2002.
(49)Pescatori, A., Sandri, D. and Simon, J., Debt and growth:Is there a magic threshold. IBM Working Paper, No.14/34,2014.
(50)Reinhart, C. M. and Rogoff,K. S., Growth in a time of debt. American Economic Review, Vol. 100,No. 2,2010.
(51)Siddiqui,R. and Malik, A., Debt and economic growth in South Asia. Pakistan Development Review, Vol. 40, No.4,2001.
(52)Spirtes, P., Glymour, C. and Scheines, R., Causation,Prediction And Search., New York:Springer-Verlag New York, 1993.
(53)Wu, J. L., Hou, H. and Cheng, S. Y., The dynamic impacts of financial institutions on economic growth:Evidence from the European Union. Journal Of Macroeconomics, Vol. 32,No. 3,2010.
(54)Xu,M. D. and Chen,X. B., Corporate investment and the cost of capital:Evidence from China. Economic Research Journal, Vol. 3,No. 6,2012.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |