财政政策波动性与财政规则:基于开放条件DSGE模型的分析
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摘要
本文定量测度了中国财政政策波动性,构建了开放条件下的动态随机一般均衡模型,研究中国财政政策波动性的宏观影响与微观机理,并从降低财政政策波动性的负面影响视角考察财政规则的影响。结果表明:中国财政政策存在较大波动性;财政政策波动性冲击通过预期渠道导致总产出、消费、投资、出口和劳动雇佣等下滑及价格上涨;封闭条件会低估财政政策波动性的负面影响,开放条件下财政政策波动性的负面影响更大;金融摩擦会降低财政政策波动性冲击的影响;在不同的财政规则下,财政政策波动性对总产出、投资和私人消费均产生负效应。不同财政规则下的财政政策波动性影响程度存在差异,从总产出和私人消费角度看,在基准财政规则下,财政波动性的负效应最小。
Public finance is an important pillar of national governance, and fiscal policy is a major macroeconomic research topic for both academics and practitioners. However, most relevant studies ignore the volatility of fiscal policy. A recent series of studies emphasizes the indispensable role of fiscal policy volatility. Some even find fiscal policy volatility to be a better indicator of macroeconomic policy, and suggest that fiscal volatility may be the cost of macroeconomic regulation. Significantly, fiscal policy volatility is now attracting close attention from both policy makers and academics in developed countries.To overcome the drawbacks of existing studies, this paper estimates China's quarterly average labor tax rate and capital tax rate using a modified Mendoza formula to better fit China's national income accounting and tax systems, measure China's fiscal volatility, and identify fiscal volatility shock. We then construct a dynamic stochastic general equilibrium(DSGE) model with fiscal policy volatility, financial friction, and open economic condition to study the macro impact and micro mechanisms of China's fiscal volatility and the role of open economy and financial friction. On this basis, we study the role of different fiscal rules in reducing the detrimental effects of fiscal volatility.The results are as follows. First, China's fiscal policy is rather volatile, with volatility peaks in 2003, 2009, and 2012 resulting from SARS, the financial crisis, and the Eurozone debt crisis. Second, fiscal volatility shocks have a significant detrimental impact on output through the expectation channel. The detrimental effect is lower on consumption than on investment because of the strong desire of households to smooth consumption. Third, ignoring open economic conditions leads to underestimation of the detrimental impact of fiscal policy volatility on output, meaning that the detrimental effect is larger in an open economy model. Fourth, financial friction reduces the detrimental impact of fiscal volatility shock. Fifth, under different fiscal rules, fiscal volatility always has a negative impact on output, investment, and private consumption, but the detrimental impact is smallest under benchmark fiscal rules.The above conclusions have the following policy implications. First, our government should seek to improve the macroeconomic regulation system, paying attention to the impact of fiscal volatility and the potential cost underlying the positive effects of macroeconomic regulation. Second, the government should manage the relationship between the government and market scientifically, "make the market play a decisive role in the allocation of resources and play the role of government better", and maintain a smooth regulation process. Third, the government should use policy regulation to direct the expectations of the microeconomic participants, attach great importance to the mechanisms by which expectations are transmitted, and conduct macroeconomic policy according to clear rules.This paper contributes to the literature in the following ways. First, it constructs a modified Mendoza formula and fiscal policy response function based on the typical situation in China, estimates China's quarterly average tax rate, measures the volatility of China's fiscal policy, and identifies the fiscal volatility shock. Second, considering the complex interaction between different economic variables, to run a more reasonable simulation, the paper extends the DSGE models used in current studies by introducing open economic conditions and financial friction to study the macro impact and micro mechanisms of fiscal volatility. By calibrating the DSGE model parameters to China's data, our model is better able to simulate the impact of fiscal volatility. Third, we study the role of different fiscal rules in reducing the detrimental effects of fiscal volatility, providing new empirical evidence regarding fiscal policy rules.
Public finance is an important pillar of national governance, and fiscal policy is a major macroeconomic research topic for both academics and practitioners. However, most relevant studies ignore the volatility of fiscal policy. A recent series of studies emphasizes the indispensable role of fiscal policy volatility. Some even find fiscal policy volatility to be a better indicator of macroeconomic policy, and suggest that fiscal volatility may be the cost of macroeconomic regulation. Significantly, fiscal policy volatility is now attracting close attention from both policy makers and academics in developed countries.To overcome the drawbacks of existing studies, this paper estimates China's quarterly average labor tax rate and capital tax rate using a modified Mendoza formula to better fit China's national income accounting and tax systems, measure China's fiscal volatility, and identify fiscal volatility shock. We then construct a dynamic stochastic general equilibrium(DSGE) model with fiscal policy volatility, financial friction, and open economic condition to study the macro impact and micro mechanisms of China's fiscal volatility and the role of open economy and financial friction. On this basis, we study the role of different fiscal rules in reducing the detrimental effects of fiscal volatility.The results are as follows. First, China's fiscal policy is rather volatile, with volatility peaks in 2003, 2009, and 2012 resulting from SARS, the financial crisis, and the Eurozone debt crisis. Second, fiscal volatility shocks have a significant detrimental impact on output through the expectation channel. The detrimental effect is lower on consumption than on investment because of the strong desire of households to smooth consumption. Third, ignoring open economic conditions leads to underestimation of the detrimental impact of fiscal policy volatility on output, meaning that the detrimental effect is larger in an open economy model. Fourth, financial friction reduces the detrimental impact of fiscal volatility shock. Fifth, under different fiscal rules, fiscal volatility always has a negative impact on output, investment, and private consumption, but the detrimental impact is smallest under benchmark fiscal rules.The above conclusions have the following policy implications. First, our government should seek to improve the macroeconomic regulation system, paying attention to the impact of fiscal volatility and the potential cost underlying the positive effects of macroeconomic regulation. Second, the government should manage the relationship between the government and market scientifically, "make the market play a decisive role in the allocation of resources and play the role of government better", and maintain a smooth regulation process. Third, the government should use policy regulation to direct the expectations of the microeconomic participants, attach great importance to the mechanisms by which expectations are transmitted, and conduct macroeconomic policy according to clear rules.This paper contributes to the literature in the following ways. First, it constructs a modified Mendoza formula and fiscal policy response function based on the typical situation in China, estimates China's quarterly average tax rate, measures the volatility of China's fiscal policy, and identifies the fiscal volatility shock. Second, considering the complex interaction between different economic variables, to run a more reasonable simulation, the paper extends the DSGE models used in current studies by introducing open economic conditions and financial friction to study the macro impact and micro mechanisms of fiscal volatility. By calibrating the DSGE model parameters to China's data, our model is better able to simulate the impact of fiscal volatility. Third, we study the role of different fiscal rules in reducing the detrimental effects of fiscal volatility, providing new empirical evidence regarding fiscal policy rules.
引文
陈守东、杨东亮,2009:《我国财政支出不确定性对居民消费影响的实证研究》,《数量经济技术经济研究》第9期。
胡永刚、郭长林,2013:《财政政策规则、预期与居民消费——基于经济波动的视角》,《经济研究》第3期。
黄赜琳,2005:《中国经济周期特征与财政政策效应——一个基于三部门RBC 模型的实证分析》,《经济研究》第6期。
贾俊雪、郭庆旺,2012:《财政支出类型、财政政策作用机理与最优财政货币规则》,《世界经济》第11期。
贾俊雪,2011:《中国税收收入规模变化的规则性、政策态势及其稳定效应》,《经济研究》第11期。
金中夏、洪浩,2013:《开放经济条件下均衡利率形成机制——基于动态随机一般均衡模型对中国利率变动规律的解释》,《金融研究》第7期。
康立、龚六堂,2014:《金融摩擦、银行净资产与国际经济危机传导——基于多部门DSGE模型分析》,《经济研究》第5期。
康立、龚六堂、陈永伟,2013:《金融摩擦、银行净资产与经济波动的行业间传导》,《金融研究》第5期。
李浩、胡永刚、马知遥,2007:《国际贸易与中国的实际经济周期——基于封闭与开放经济的RBC模型比较分析》,《经济研究》第5 期。
吕冰洋、陈志刚,2015:《中国省际资本、劳动和消费平均税率测算》,《财贸经济》第7期。
米什金,2010:《货币政策方略:来自金融危机的教训》,《金融评论》第6期。
梅冬州、龚六堂,2011:《新兴市场经济国家的汇率制度选择》,《经济研究》第11期。
梅冬州、雷文妮、崔小勇,2015:《出口退税的政策效应评估——基于金融加速器模型的研究》,《金融研究》第4期。
仝冰,2010:《货币、利率与资产价格——基于DSGE模型的分析和预测》,北京大学博士学位论文。
王立勇、纪尧,2015:《财政政策波动性研究的国际动态》,《经济学动态》第10期。
许伟、陈斌开,2009:《银行信贷与中国经济波动:1993—2005》,《经济学(季刊)》第2期。
张佐敏,2013:《财政规则与政策效果——基于DSGE分析》,《经济研究》第1期。
张佐敏,2014:《中国存在财政规则吗?》,《管理世界》第5期。
Afonso,A.,and D.Furceri,2010,“Government Size,Composition,Volatility and Economic Growth”,European Journal of Political Economy,26(4),517—32.
Afonso,A.,and J.T.Jalles,2012,“Fiscal Volatility,Financial Crises and Growth”,Applied Economics Letters,19(18),1821—1826.
Aghion,P.,G.M.Angeletos,A.Banerjee,and K.Manova,2010,“Volatility and Growth”,Journal of Monetary Economics,57(3),246—265.
Agnello,L.,and R.M.Sousa,2009,“The Determinants of Public Deficit Volatility”,European Central Bank Working Paper Series 1042.
Altig,D.,L.Christiano,M.Eichenbaum,and J.Linde,2011,“Firm-specific Capital,Nominal Rigidities and the Business Cycle”,Review of Economic Dynamics,14(2),225—247.
Bernanke,B.,M.Gertler,and S.Gilchrist,1999,“The Financial Accelerator in a Quantitative Business Cycle Framework”,NBER Working Papers No.6455.
Chong,A.,and M.Gradstein,2006,“Policy Volatility and Growth”,IDB Working Paper No.482.
Christensen,I.,and A.Dib,2008,“The Financial Accelerator in an Estimated New Keynesian Model”,Review of Economic Dynamics,11,155—178.
Fatas,A.,and I.Mihov,2003,“The Case for Restricting Fiscal Policy Discretion”,Quarterly Journal of Economics,118 (4),1419—1447.
Fatas,A.,and I.Mihov,2007,“Fiscal Discipline,Volatility and Growth”,in:L.Serven et al(eds.),Fiscal Policy,Stabilization and Growth:Prudence or Abstinence?World Bank,Washington,DC.
Fatas,A.,and I.Mihov,2013,“Policy Volatility,Institutions and Economic Growth”,Review of Economics and Statistics,94(2),362—376.
Fernández-Villaverde,J.,P.F.Quintana,K.Kuester,and J.R.Ramirez,2015,“Fiscal Volatility Shocks and Economics Activity”,American Economic Review,105(11),3352—3384
Forni,L.,L.Monteforte,and L.Sessa,2009,“The General Equilibrium Effects of Fiscal Policy:Estimates for the EuroArea”,Journal of Public Economics,93(3),559—585.
Gertler,M.,and P.Karadi,2011,“Financial Intermediation and Credit Policy in Business Cycle Analysis”,Handbook of Monetary Economics,547—600.
Gertler,M.,and P.Karadi,2015,“Monetary Policy Surprises,Credit Costs and Economic Activity”,American Economic Journal,Macroeconomics,7(1),44—76.
Justiniano,A.,and G.E.Primiceri,2008,“Time Varying Volatility of Macroeconomic Fluctuations”,American Economic Review,98(3),604—641.
Leeper,E.M.,M.Plante,and N.Traum,2010,“Dynamics of Fiscal Financing in the United States”,Journal of Econometrics,156(1),304—321.
Rodrik,D.,1991,“Policy Uncertainty and Private Investment in Developing Countries”,Journal of Development Economics,36(2),229—242.
Schmitt-Grohé,S.,and M.Uribe,2003,“Closing Small Open Economy Models”,Journal of International Economics,61,163—185.
Schmitt-Grohé,S.,and M.Uribe,2004,“Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function”,Journal of Economic Dynamics and Control,28(4),755—775.
Villaverde,J.F.,P.F.Quintana,J.R.Ramirez,and M.Uribe,2011,“Risk Matters:The Real Effects of Volatility Shocks”,American Economics Review,101(6),2530—2561.
Woo,J.,2011,“Growth,Income Distribution,and Fiscal Policy Volatility”,Journal of Development Economics,96(2),289—313.
(1)与发达经济体相比,中国财政政策存在许多不同特征,如明显的生产性、政府投资性支出与消费性支出差异显著、金融市场发展不完备等,国外研究结论和模型结果不适用于中国。
(2)限于篇幅,劳动税平均税率与资本税平均税率的测算结果略,可向作者索取。
(3)限于篇幅,税收波动性冲击的脉冲响应函数图略,感兴趣的读者可向作者索要。
(4)DSGE模型的优势在于放松了新古典经济的完全竞争市场及完全弹性价格的假设,强调价格的粘性、刚性和经济系统中普遍存在的摩擦,为中国的财政规则研究提供了更符合现实的微观基础。
(5)限于篇幅,本部分税收规则和支出规则的参数估计结果略,可向作者索取。
胡永刚、郭长林,2013:《财政政策规则、预期与居民消费——基于经济波动的视角》,《经济研究》第3期。
黄赜琳,2005:《中国经济周期特征与财政政策效应——一个基于三部门RBC 模型的实证分析》,《经济研究》第6期。
贾俊雪、郭庆旺,2012:《财政支出类型、财政政策作用机理与最优财政货币规则》,《世界经济》第11期。
贾俊雪,2011:《中国税收收入规模变化的规则性、政策态势及其稳定效应》,《经济研究》第11期。
金中夏、洪浩,2013:《开放经济条件下均衡利率形成机制——基于动态随机一般均衡模型对中国利率变动规律的解释》,《金融研究》第7期。
康立、龚六堂,2014:《金融摩擦、银行净资产与国际经济危机传导——基于多部门DSGE模型分析》,《经济研究》第5期。
康立、龚六堂、陈永伟,2013:《金融摩擦、银行净资产与经济波动的行业间传导》,《金融研究》第5期。
李浩、胡永刚、马知遥,2007:《国际贸易与中国的实际经济周期——基于封闭与开放经济的RBC模型比较分析》,《经济研究》第5 期。
吕冰洋、陈志刚,2015:《中国省际资本、劳动和消费平均税率测算》,《财贸经济》第7期。
米什金,2010:《货币政策方略:来自金融危机的教训》,《金融评论》第6期。
梅冬州、龚六堂,2011:《新兴市场经济国家的汇率制度选择》,《经济研究》第11期。
梅冬州、雷文妮、崔小勇,2015:《出口退税的政策效应评估——基于金融加速器模型的研究》,《金融研究》第4期。
仝冰,2010:《货币、利率与资产价格——基于DSGE模型的分析和预测》,北京大学博士学位论文。
王立勇、纪尧,2015:《财政政策波动性研究的国际动态》,《经济学动态》第10期。
许伟、陈斌开,2009:《银行信贷与中国经济波动:1993—2005》,《经济学(季刊)》第2期。
张佐敏,2013:《财政规则与政策效果——基于DSGE分析》,《经济研究》第1期。
张佐敏,2014:《中国存在财政规则吗?》,《管理世界》第5期。
Afonso,A.,and D.Furceri,2010,“Government Size,Composition,Volatility and Economic Growth”,European Journal of Political Economy,26(4),517—32.
Afonso,A.,and J.T.Jalles,2012,“Fiscal Volatility,Financial Crises and Growth”,Applied Economics Letters,19(18),1821—1826.
Aghion,P.,G.M.Angeletos,A.Banerjee,and K.Manova,2010,“Volatility and Growth”,Journal of Monetary Economics,57(3),246—265.
Agnello,L.,and R.M.Sousa,2009,“The Determinants of Public Deficit Volatility”,European Central Bank Working Paper Series 1042.
Altig,D.,L.Christiano,M.Eichenbaum,and J.Linde,2011,“Firm-specific Capital,Nominal Rigidities and the Business Cycle”,Review of Economic Dynamics,14(2),225—247.
Bernanke,B.,M.Gertler,and S.Gilchrist,1999,“The Financial Accelerator in a Quantitative Business Cycle Framework”,NBER Working Papers No.6455.
Chong,A.,and M.Gradstein,2006,“Policy Volatility and Growth”,IDB Working Paper No.482.
Christensen,I.,and A.Dib,2008,“The Financial Accelerator in an Estimated New Keynesian Model”,Review of Economic Dynamics,11,155—178.
Fatas,A.,and I.Mihov,2003,“The Case for Restricting Fiscal Policy Discretion”,Quarterly Journal of Economics,118 (4),1419—1447.
Fatas,A.,and I.Mihov,2007,“Fiscal Discipline,Volatility and Growth”,in:L.Serven et al(eds.),Fiscal Policy,Stabilization and Growth:Prudence or Abstinence?World Bank,Washington,DC.
Fatas,A.,and I.Mihov,2013,“Policy Volatility,Institutions and Economic Growth”,Review of Economics and Statistics,94(2),362—376.
Fernández-Villaverde,J.,P.F.Quintana,K.Kuester,and J.R.Ramirez,2015,“Fiscal Volatility Shocks and Economics Activity”,American Economic Review,105(11),3352—3384
Forni,L.,L.Monteforte,and L.Sessa,2009,“The General Equilibrium Effects of Fiscal Policy:Estimates for the EuroArea”,Journal of Public Economics,93(3),559—585.
Gertler,M.,and P.Karadi,2011,“Financial Intermediation and Credit Policy in Business Cycle Analysis”,Handbook of Monetary Economics,547—600.
Gertler,M.,and P.Karadi,2015,“Monetary Policy Surprises,Credit Costs and Economic Activity”,American Economic Journal,Macroeconomics,7(1),44—76.
Justiniano,A.,and G.E.Primiceri,2008,“Time Varying Volatility of Macroeconomic Fluctuations”,American Economic Review,98(3),604—641.
Leeper,E.M.,M.Plante,and N.Traum,2010,“Dynamics of Fiscal Financing in the United States”,Journal of Econometrics,156(1),304—321.
Rodrik,D.,1991,“Policy Uncertainty and Private Investment in Developing Countries”,Journal of Development Economics,36(2),229—242.
Schmitt-Grohé,S.,and M.Uribe,2003,“Closing Small Open Economy Models”,Journal of International Economics,61,163—185.
Schmitt-Grohé,S.,and M.Uribe,2004,“Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function”,Journal of Economic Dynamics and Control,28(4),755—775.
Villaverde,J.F.,P.F.Quintana,J.R.Ramirez,and M.Uribe,2011,“Risk Matters:The Real Effects of Volatility Shocks”,American Economics Review,101(6),2530—2561.
Woo,J.,2011,“Growth,Income Distribution,and Fiscal Policy Volatility”,Journal of Development Economics,96(2),289—313.
(1)与发达经济体相比,中国财政政策存在许多不同特征,如明显的生产性、政府投资性支出与消费性支出差异显著、金融市场发展不完备等,国外研究结论和模型结果不适用于中国。
(2)限于篇幅,劳动税平均税率与资本税平均税率的测算结果略,可向作者索取。
(3)限于篇幅,税收波动性冲击的脉冲响应函数图略,感兴趣的读者可向作者索要。
(4)DSGE模型的优势在于放松了新古典经济的完全竞争市场及完全弹性价格的假设,强调价格的粘性、刚性和经济系统中普遍存在的摩擦,为中国的财政规则研究提供了更符合现实的微观基础。
(5)限于篇幅,本部分税收规则和支出规则的参数估计结果略,可向作者索取。
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