财政政策反应函数与宏观调控政策取向研究
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摘要
本文构建财政政策时变反应函数模型,通过推导得到时变政策效果函数。经验结果表明,近年来中国财政政策表现出更强灵活性,存在明显盯住经济增长目标的政策取向。在财政赤字处于高位或增加时,政府被动负债削弱了盯住债务杠杆目标的政策取向;而财政赤字处于低位或下降时,政府倾向于采取反周期的策略主动降低债务杠杆。后次贷危机期间,财政政策表现出较强盯住房价目标的政策取向。从反事实政策效果看,究竟是采取单一的财政政策或货币政策来调控宏观经济更为有效,还是采取货币政策与财政政策组合更为合适,取决于宏观调控的不同政策目标。
This paper constructs a time-varying response function model of fiscal policy, and then backsteps to obtain a time-varying policy effect evaluation function. Empirical results show that China's fiscal policy has been showing greater flexibility in recent years, with an obvious orientation towards economic growth. In periods of large or growing fiscal deficit, the government's passive debt has been weakening its policy orientation of pegging to the debt-leverage target. Conversely, in periods of low or declining fiscal deficits, the government has tended to adopt its own initiative, a counter cyclical approach on debt deleveraging. In particular, since the subprime mortgage crisis,China' fiscal policy has shown a strong policy orientation towards housing prices. Judging from the effect of counterfactual policy, there is no consistent conclusion as to whether it is more effective to adopt a single fiscal policy or monetary policy, or a mixed fiscal and monetary policy, when it comes to controlling macroeconomics, something that depends on the different regulatory objectives of macroeconomic policies.
This paper constructs a time-varying response function model of fiscal policy, and then backsteps to obtain a time-varying policy effect evaluation function. Empirical results show that China's fiscal policy has been showing greater flexibility in recent years, with an obvious orientation towards economic growth. In periods of large or growing fiscal deficit, the government's passive debt has been weakening its policy orientation of pegging to the debt-leverage target. Conversely, in periods of low or declining fiscal deficits, the government has tended to adopt its own initiative, a counter cyclical approach on debt deleveraging. In particular, since the subprime mortgage crisis,China' fiscal policy has shown a strong policy orientation towards housing prices. Judging from the effect of counterfactual policy, there is no consistent conclusion as to whether it is more effective to adopt a single fiscal policy or monetary policy, or a mixed fiscal and monetary policy, when it comes to controlling macroeconomics, something that depends on the different regulatory objectives of macroeconomic policies.
引文
曹玮(2015):《中国公共外交有效吗?》,《国际政治科学》第3期。
陈小亮、马啸(2016):《“债务-通缩”风险与货币政策财政政策协调》,《经济研究》第8期。
郭庆旺、吕冰洋、何乘材(2004):《积极财政政策的乘数效应》,《财政研究》第8期。
贾俊雪、郭庆旺(2011):《财政规则、经济增长与政府债务规模》,《世界经济》第1期。
贾俊雪、秦聪、张静(2014):《财政政策、货币政策与资产价格稳定》,《世界经济》第12期。
张佐敏(2014):《中国存在财政规则吗?》,《管理世界》第5期。
周波(2012):《中国财政政策规则及其体制稳定性分析》,《数量经济技术经济研究》第2期。
Aktas, Z.; Kaya, N. and ?zlale, ü. “Coordination between Monetary Policy and Fiscal Policy for an Inflation Targeting Emerging Market.” Journal of International Money & Finance, 2010, 29(1), pp.123-138.
Davig, T. “Regime-Switching Debt and Taxation.” Journal of Monetary Economics, 2004, 51(4), pp.837-859.
Favero, C. A. and Monacelli, T. “Monetary-Fiscal Mix and Inflation Performance: Evidence from the US.” CEPR Discussion Paper, No.3887, 2003.
Favero, C. and Monacelli, T. “Fiscal Policy Rules and Regime (In) Stability: Evidence from the U.S.” NBER Working Papers, No.282, 2005, pp.1-30.
Foresti, P.“Monetary and Debt-concerned Fiscal Policies Interaction in Monetary Unions.” International Economics & Economic Policy, 2015, 12 (4), pp.541-552.
Forni, L.; Monteforte, L. and Sessa, L. “The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area.” Journal of Public Economics, 2009, 93(3), pp.559-585.
Gonzalez, A. M. “Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov-Switching Estimation Exploiting Monetary-Fiscal Policy Interdependence.” Journal of Money Credit & Banking, 2018, 50(1), pp.115-154.
Harvey, A.C.; Ruiz,E.and Sentana,E. “Unobserved Component Time Series Models with ARCH Disturbances.”Journal of Econometrics, 1992, 52, pp.129-157.
Kim, C. J. and Nelson, C. R. “Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data.” Journal of Monetary Economics, 2006, 53, pp.1949-1966.
Leeper, E. M. “Equilibria under ‘Active’ and ‘Passive’ Monetary and Fiscal Policies.” Journal of Monetary Economics, 1991, 27(1), pp.129-147.
Leeper, E. M.; Plante, M. and Traum, N. “Dynamics of Fiscal Financing in the United States.” Journal of Econometrics, 2010, 156(1), pp.304-321.
Lombardo, G. and Sutherland, A. “Monetary and Fiscal Interactions in Open Economies.” Journal of Macroeconomics, 2004, 26(2), pp.319-347.
Primiceri, G. E. “Time Varying Structural Vector Auto-Regressions and Monetary Policy.” Review of Economic Studies, 2005, 72(3), pp.821-852.
Guo,Q.W.; Jia,J.X.;Zhang,Y.J. and Z.Y. “Mix of Fiscal and Monetary Policy Rules and Inflation Dynamics in China.” China & World Economy, 2011, Vol.19(5), PP.47-66.
Stein, J. C. “Monetary Policy as Financial Stability Regulation.” Quarterly Journal of Economics, 2012, 127(1), pp.57-95.
Taylor, J. B. “Discretion versus Policy Rules in Practice.” Carnegie-Rochester Conference Series on Public Policy, 1993, 39, pp.195-214.
Woodford, M. “Price-Level Determinacy without Control of a Monetary Aggregate.” Carnegie-Rochester Conference Series on Public Policy, 1995, 43, pp.1-46.
Woodford, M. “Inflation T argeting and Financial Stability.” Riksbank Economic Review, 2012, 1, pp.7-32.
(1)数据来源于CEIC数据库。
(2)数据来源于万德(Wind)数据库和国际货币基金组织(IMF),此处不包含隐形债务。事实上,据IMF第4条款磋商报告测算,如果考虑中国地方政府的债务影响,则宽口径的政府债务杠杆率在2016年已高达62.2%,超过60%的国际警戒线。
(3)依据Leeper(1991)和Woodford(1995)的研究,预算约束公式采用Bt=(1+rt)Bt-1+pt×fdt×GDPt。其中,rt表示国债收益率,Bt为政府债务余额,pt为价格,等式两边同除以GDPt,并将(1)式代入,令gt和πt分别表示GDP增长率和通货膨胀率,则bt={(1+rt)/[(1+gt)(1+πt)]+γ1}bt-1+…,其中,bt=Bt/GDPt。结合贾俊雪等(2014)的研究,均衡条件时有(1+r*t)/[(1+g*t)(1+π*t)]≈1,其中星号表示对应变量的均衡值。当,即-2<γ1<0时,财政政策采取的是李嘉图式的消极策略,即致力于确保债务可持续性,此时政府债务路径是收敛的;反之,γ1不满足该条件时,财政政策执行的是非李嘉图式的积极策略。
陈小亮、马啸(2016):《“债务-通缩”风险与货币政策财政政策协调》,《经济研究》第8期。
郭庆旺、吕冰洋、何乘材(2004):《积极财政政策的乘数效应》,《财政研究》第8期。
贾俊雪、郭庆旺(2011):《财政规则、经济增长与政府债务规模》,《世界经济》第1期。
贾俊雪、秦聪、张静(2014):《财政政策、货币政策与资产价格稳定》,《世界经济》第12期。
张佐敏(2014):《中国存在财政规则吗?》,《管理世界》第5期。
周波(2012):《中国财政政策规则及其体制稳定性分析》,《数量经济技术经济研究》第2期。
Aktas, Z.; Kaya, N. and ?zlale, ü. “Coordination between Monetary Policy and Fiscal Policy for an Inflation Targeting Emerging Market.” Journal of International Money & Finance, 2010, 29(1), pp.123-138.
Davig, T. “Regime-Switching Debt and Taxation.” Journal of Monetary Economics, 2004, 51(4), pp.837-859.
Favero, C. A. and Monacelli, T. “Monetary-Fiscal Mix and Inflation Performance: Evidence from the US.” CEPR Discussion Paper, No.3887, 2003.
Favero, C. and Monacelli, T. “Fiscal Policy Rules and Regime (In) Stability: Evidence from the U.S.” NBER Working Papers, No.282, 2005, pp.1-30.
Foresti, P.“Monetary and Debt-concerned Fiscal Policies Interaction in Monetary Unions.” International Economics & Economic Policy, 2015, 12 (4), pp.541-552.
Forni, L.; Monteforte, L. and Sessa, L. “The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area.” Journal of Public Economics, 2009, 93(3), pp.559-585.
Gonzalez, A. M. “Identifying the Stance of Monetary Policy at the Zero Lower Bound: A Markov-Switching Estimation Exploiting Monetary-Fiscal Policy Interdependence.” Journal of Money Credit & Banking, 2018, 50(1), pp.115-154.
Harvey, A.C.; Ruiz,E.and Sentana,E. “Unobserved Component Time Series Models with ARCH Disturbances.”Journal of Econometrics, 1992, 52, pp.129-157.
Kim, C. J. and Nelson, C. R. “Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data.” Journal of Monetary Economics, 2006, 53, pp.1949-1966.
Leeper, E. M. “Equilibria under ‘Active’ and ‘Passive’ Monetary and Fiscal Policies.” Journal of Monetary Economics, 1991, 27(1), pp.129-147.
Leeper, E. M.; Plante, M. and Traum, N. “Dynamics of Fiscal Financing in the United States.” Journal of Econometrics, 2010, 156(1), pp.304-321.
Lombardo, G. and Sutherland, A. “Monetary and Fiscal Interactions in Open Economies.” Journal of Macroeconomics, 2004, 26(2), pp.319-347.
Primiceri, G. E. “Time Varying Structural Vector Auto-Regressions and Monetary Policy.” Review of Economic Studies, 2005, 72(3), pp.821-852.
Guo,Q.W.; Jia,J.X.;Zhang,Y.J. and Z.Y. “Mix of Fiscal and Monetary Policy Rules and Inflation Dynamics in China.” China & World Economy, 2011, Vol.19(5), PP.47-66.
Stein, J. C. “Monetary Policy as Financial Stability Regulation.” Quarterly Journal of Economics, 2012, 127(1), pp.57-95.
Taylor, J. B. “Discretion versus Policy Rules in Practice.” Carnegie-Rochester Conference Series on Public Policy, 1993, 39, pp.195-214.
Woodford, M. “Price-Level Determinacy without Control of a Monetary Aggregate.” Carnegie-Rochester Conference Series on Public Policy, 1995, 43, pp.1-46.
Woodford, M. “Inflation T argeting and Financial Stability.” Riksbank Economic Review, 2012, 1, pp.7-32.
(1)数据来源于CEIC数据库。
(2)数据来源于万德(Wind)数据库和国际货币基金组织(IMF),此处不包含隐形债务。事实上,据IMF第4条款磋商报告测算,如果考虑中国地方政府的债务影响,则宽口径的政府债务杠杆率在2016年已高达62.2%,超过60%的国际警戒线。
(3)依据Leeper(1991)和Woodford(1995)的研究,预算约束公式采用Bt=(1+rt)Bt-1+pt×fdt×GDPt。其中,rt表示国债收益率,Bt为政府债务余额,pt为价格,等式两边同除以GDPt,并将(1)式代入,令gt和πt分别表示GDP增长率和通货膨胀率,则bt={(1+rt)/[(1+gt)(1+πt)]+γ1}bt-1+…,其中,bt=Bt/GDPt。结合贾俊雪等(2014)的研究,均衡条件时有(1+r*t)/[(1+g*t)(1+π*t)]≈1,其中星号表示对应变量的均衡值。当,即-2<γ1<0时,财政政策采取的是李嘉图式的消极策略,即致力于确保债务可持续性,此时政府债务路径是收敛的;反之,γ1不满足该条件时,财政政策执行的是非李嘉图式的积极策略。
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