中国财政支出与估值效应:基于SVAR模型的研究  

Fiscal Expenditure and Valuation Effect in China: A Study Based on SVAR Model

作　　者：曹强[1] 田新[1] Cao Qiang;Tian Xin

机构地区：[1]安徽财经大学金融学院

出　　处：《世界经济研究》2020年第10期91-104,M0004,共15页World Economy Studies

基　　金：国家社会科学基金青年项目“新常态下中国对外净资产变动的影响因素、最优规模和动态效应研究”(项目编号:15CJY085);安徽省教育厅高校优秀青年人才支持计划重点项目(项目编号:gxyqZD2017047);安徽财经大学校级重大项目(项目编号:ACKY1602ZDA);安徽财经大学研究生科研创新基金项目(项目编号:ACYC2018108)的资助。

摘　　要：文章基于中国1998~2018年月度数据,利用SVAR模型研究了中国财政支出的膨胀与中国对外净资产估值效应之间的关系,并且对估值效应进行了Lane和Shambaugh(2010)的分解,基于估值效应内部结构将其分解为资产价格效应和汇率效应,重点检验了资产价格收益率的贸易渠道效应。文章得到三点结论:第一,不仅政府支出与估值效应存在J曲线效应,而且生产性政府的支出和估值效应也存在J曲线效应,但是其实际效果比非生产性政府要弱。第二,通过Lane和Shambaugh(2010)对估值效应的分解可以发现,资产价格收益率引致的估值效应的贸易渠道和金融渠道之间存在正向交互作用,导致中国估值效应常年为负,且累积估值效应也为负。第三,汇率市场化改革强化了政府支出与估值效应的J曲线效应,有助于改善中国对外净资产的估值效应为负的现状。This article runs SVAR models on monthly data from 1998 to 2018 to study the relationship between fiscal expansion and valuation effect of China’s net assets. Using Lane and Shambaugh’s( 2010) method,we further decompose the valuation effect into asset price effect and exchange rate effect in accordance to its internal structure,with a focus on examining the trade channel effect on asset price return rates. The following three conclusions are drawn. Firstly,Not only is there a J-curve effect for government spending and valuation effects,but there is also a J-curve effect for productive government spending and valuation effects although the actual effect is weaker than for unproductive government. Secondly,from the decomposition of valuation effect,it is evident that the valuation effect caused by asset price return rates has a positive interaction between the trade channel and the financial channel,resulting long term negative valuation effect in China with a negative cumulative value. Finally,Exchange rate reform on marketization has strengthened the j-curve effect of government expenditure and valuation effect,which is conducive to improving the valuation effect of China’s foreign assets.

关 键 词：估值效应 SVAR模型 生产性政府支出 资产价格收益率 

分 类 号：F812.45[经济管理—财政学]