开放经济条件下财政支出冲击效应研究--基于人民币实际汇率传递的视角  

The Effects of Fiscal Expenditure in an Open Economy——From the Perspective of RMB Real Exchange Rate Transmission

作　　者：高慧清 张碧琼[2] GAO Huiqing;ZHANG Biqiong

机构地区：[1]郑州大学商学院,450001 [2]中央财经大学金融学院

出　　处：《国际贸易问题》2020年第8期147-163,共17页Journal of International Trade

基　　金：国家社会科学基金一般项目“中国海外投资的国家战略规划与风险防范研究”(15BGJ037);河南省哲学社会科学基金一般项目“内陆型自贸区金融开放促进区域经济质量提升机理及路径研究”(2019BJJ058)。

摘　　要：开放经济条件下,汇率无疑是宏观调控政策的关键传导变量。国际金融危机后,积极财政政策成为我国政府刺激经济、实现宏观调控的重要手段,对人民币实际汇率的影响日益显著,而经济开放程度的提高增加了财政支出政策效果的不确定性。本文基于实际汇率传递的视角,考察了积极财政支出冲击对主要宏观经济变量的动态影响,模拟结果表明:政府支出扩张推动实际汇率升值,产出增加和净出口下降,产出和净出口的汇率传导结果受到经济开放度、国内外商品替代弹性等因素的影响,政府支出对实际汇率和产出的影响效应会随经济开放度的提高而削弱。本文基于中国1996—2018年的季度数据,建立符号约束SVAR模型进行实证检验发现,财政支出扩张引起了人民币实际汇率升值,贸易盈余缩减,且汇率没有出现超调现象,研究结果支持了主流的"双重赤字"观点。本文进一步对经济开放度与财政支出政策有效性的实证分析发现,随着经济开放度的提高,政府支出所引致的产出效应和汇率效应均出现下降态势。Within an open economy,exchange rates are undoubtedly a key transmission variable of macro-control policy.After the Global Financial Crisis of 2008,fiscal policy has become an important means for the Chinese government to stimulate the economy and enforce macroeconomic regulations while having an increasing significant impact on the real exchange rate of RMB.Meanwhile,the increasing degree of economic openness increases the uncertainty of the effects of fiscal expenditure policies.We investigated the relationship between fiscal expenditure,real exchange rates and the effectiveness of fiscal policy in three steps.Firstly,by constructing a New Keynesian macro-economic DSGE model,we find that facing the active fiscal expenditure shock,the RMB real exchange rate will appreciate,output will increase and the current account balance will deteriorate.The effects of exchange rate transmission on output and net export are influenced by factors,such as economic openness and the elasticity of substitution of domestic and foreign commodities.With the increase in economic openness,the effects of fiscal expenditure on the real exchange rate and output essentially decrease.Secondly,using the quarterly data from 1996 to 2018 for the Chinese economy to construct a sign-SVAR model,we find that the empirical result is basically consistent with the theoretical model.Positive fiscal expenditure shock causes a sustained appreciation in the real exchange rate without overshooting and a significant decline in net export,which supports the theoretical prediction of Twin Deficits Hypothesis.Thirdly,extending the model of Chen and Ma(2014)in monetary policy effectiveness,and examining the effects of fiscal expenditure on output and real exchange rate,we find that the more open the economy,the smaller the output effects and exchange rate effects of a given change in fiscal expenditure.

关 键 词：财政支出冲击 汇率传递 符号约束 政策效应 

分 类 号：F812􀆰[经济管理—财政学]