我国财政支出不确定性对居民消费影响的实证研究  

Empirical Studies on the Impact of China's Fiscal Expenditure Uncertainty on Household Consumption

作　　者：陈守东[1,2] 杨东亮[2] 

机构地区：[1]吉林大学数量经济研究中心 [2]吉林大学商学院

出　　处：《数量经济技术经济研究》2009年第9期119-133,共15页Journal of Quantitative & Technological Economics

基　　金：吉林大学"211工程"项目;吉林大学经济分析与预测创新基地;教育部重大项目(07JJD790131;08JJD790153);国家社会科学基金项目(06BJY010)资助

摘　　要：本文建立了我国财政支出增长率对其他宏观经济变量的反应函数,将财政支出增长率不确定性分解成确定性内生冲击和随机性外生冲击两种来源,分别用时变参数模型和区制转移模型对二者进行测量,统计检验发现,时变参数和区制转移联合模型能够完全捕捉财政支出增长率不确定性特征。利用状态空间模型将我国居民消费增长率分解成长期趋势成分和周期性成分,考察财政支出增长率两种不确定性对我国居民长期消费增长率的影响,发现确定性内生冲击与随机性外生冲击导致的财政支出增长率不确定性对其分别具有负向和正向作用。In this paper, we build the reaction function about fiscal expenditure growth rate on other macroeconomic variables, and measure two kinds of uncertainties of fiscal expenditure growth rate respectively which are led by endogenous and exogenous shocks, by time-varying model and switch regime model. Statistics test shows only time-varying model and switch regime union model can fit all uncertainties of fiscal expenditure growth rate. We study the impact of these two uncertainties on trend component of household consumption growth rate. The empirical results show that the uncertainty of fiscal expenditure growth rate led by endogenous and exogenous shocks respectively has negative and positive effect on household consumption of China.

关 键 词：财政支出 居民消费 不确定性 时变参数和区制转移联合模型 

分 类 号：F810.45[经济管理—财政学]