财政波动风险影响财政收支的动态研究  

A Dynamic Measure of Fiscal Uncertainty on the Government Revenue and Expenditure

作　　者：杨海生[1] 聂海峰[1] 陈少凌[2] 

机构地区：[1]中山大学岭南学院 [2]暨南大学金融系

出　　处：《经济研究》2014年第3期88-100,共13页Economic Research Journal

基　　金：教育部哲学社会科学研究青年基金项目(项目批准号:11YJC790137);国家自然科学青年科学基金项目(项目批准号:71203243);广东省软科学项目(项目批准号:2012B070300029);中山大学"中央高校基本科研业务费专项资金";暨南大学应用经济学科科研创新项目的资助

摘　　要：作为宏观调控的重要手段,财政收支变动及其风险是政府调控经济时关心的重要问题。利用月度财政收支的时间序列数据,本文建立了财政收支增长率和波动率的均值条件异方差(GARCH-in-Mean)模型,考察了财政收支波动风险对财政收支的影响。研究发现:(1)在增长率之间的关系上,财政支出增长推动财政收入增长,而财政收入的增长没有显著地促进财政支出的增长;(2)财政收支的风险对财政收支增长率的交叉影响是不对称的,财政支出风险促进财政收入增长,但财政收入风险抑制财政支出增长;(3)随机冲击对财政收支的影响持续时间较长,大约在9个月之后开始平复,并在27—40个月后才衰减完毕,而财政收支的波动率对随机冲击的反应很快,大约4个月时间就充分吸收了冲击的影响。What is the effect of the fiscal uncertainty on government revenue and expenditure？ Using the monthly time series data of government revenue and expenditure, we build a GARCH-in-Mean model to test the effect of uncertainty. Our results show that the fiscal uncertainty has an asymmetric effect. First, government expenditure growth stimulates government revenue growth, but revenue growth has little effect on expenditure growth. Secondly, government expenditure volatility resuhs in an increase in government revenue, but revenue volatility constraints expenditure growth. Lastly, government revenue and expenditure have persistent responses to shocks of revenue and expenditure growth; however, responses of their volatilities are much shorter to random shocks.

关 键 词：财政风险 波动率 条件异方差模型 

分 类 号：F812[经济管理—财政学] F224