财政支出对实际汇率的冲击效应研究——基于OECD国家的PVAR估计  

Research on the Impact of Fiscal Shocks on the Real Exchange Rate——Based on Evidences from OECD Countries

作　　者：张少华[1] 

机构地区：[1]浙江理工大学经济管理学院

出　　处：《国际金融研究》2010年第11期11-19,共9页Studies of International Finance

基　　金：国家社会科学基金青年项目:产业转移与区域协调发展:全球价值链视角下的对策研究(批准号08CJY005)资助成果之一;浙江理工大学科研启动资金资助(项目编号1005820-Y)

摘　　要：开放经济条件下财政冲击会影响一国的国际竞争力和外部均衡。本文采用PVAR方法研究了OECD国家的各种财政支出对实际汇率的冲击效应。研究发现,财政支出对实际汇率的冲击效应,不但与财政支出的分类有关,而且与汇率制度有关。在固定汇率制度框架下,实际汇率倾向于升值;在浮动汇率制度框架下,实际汇率倾向于贬值。而对于冲击效应的大小和持久性而言,各种财政支出具有显著的差异,相对于财政消费支出,财政投资支出具有更大更持久的冲击效应;相对于财政非工资消费支出,财政工资消费支出具有更大更持久的冲击效应。就时间维度而言,实际汇率的财政支出冲击效应存在着与时弱化现象。This paper makes a contribution to the literature on fiscal shocks in open economies by estimating the effects of different government spending shocks on the real exchange rate of eighteen OECD countries.We find that not only the composition of the spending shock matters,but also the exchange rate regime matters.We note that the real appreciation tends to occur in a panel of countries characterized by fixed nominal exchange rates,while the real depreciation tends to occur in a panel of countries that are characterized by floating nominal exchange rates.We find that the real exchange rate gives different responses to different government spending shocks.Moreover,we identify the differences across the components of government spending,with shocks to public investment generating a larger and more persistent impact on the real exchange rate than shocks to government consumption.Within the latter category,we also find that the impact of shocks to the wage component of government consumption is larger and more persistent than that of shocks to the non-wage components.

关 键 词：财政冲击 实际汇率 CHOLESKY分解 挤入/挤出效应 脉冲响应 

分 类 号：F812.4[经济管理—财政学]