财政政策冲击与经济周期波动的时变关联机制研究——基于经济扩张期和收缩期的对比分析  

Research on the Time-varying Correlation Mechanism Between Fiscal Policy Shocks and Business Cycle Fluctuations——Based on the Comparative Analysis of Economic Expansion Period and Contraction Period

作　　者：刘金全[1,2] 王国志 付卫艳 Liu Jinquan;Wang Guozhi;Fu Weiyan

机构地区：[1]吉林大学数量经济研究中心,长春130012 [2]吉林大学商学院,长春130012

出　　处：《经济问题探索》2021年第6期1-14,共14页Inquiry Into Economic Issues

基　　金：国家社会科学基金重点项目“经济周期形态变异、子类经济周期划分、子类经济周期与经济周期关联机制研究”(19AJY005),主持人:刘金全。

摘　　要：本文利用我国1992年1月-2020年6月的宏观经济数据,运用马尔可夫混频动态因子模型测度了我国经济周期波动态势,同时运用马尔科夫区制转移模型将经济周期划分为扩张期和收缩期,并采用SV-TVP-VAR模型对我国财政政策冲击与经济周期阶段性之间的时变关系进行了实证分析。研究表明:(1)财政政策冲击对投资、消费和产出的冲击在短期和中期内产生了正向促进作用,但长期效应比较平稳且微弱;(2)我国财政政策冲击具有非线性效应,经济扩张期和收缩期的财政政策冲击对投资、消费和产出的冲击具有"凯恩斯效应",但在某些特定时段则存在"非凯恩斯效应";(3)我国财政政策冲击存在非对称性效应,即财政政策冲击在经济紧缩期的调控效果要明显好于经济扩张期。因此,在经济下行期间还需要维持积极财政政策调控。Based on the macroeconomic data of China from January 1992 to June 2020,this paper uses the Markov mixing dynamic factor model to measure the fluctuation trend of China’s business cycle.At the same time,it divides the economic cycle into expansion period and contraction period by using Markov regime transfer model,and uses sv-tvp-var model to test the time-varying relationship between fiscal policy shocks and business cycle periodicity The results show that:(1)the impact of fiscal policy on investment,consumption and output has a positive effect in the short and medium term,but the long-term effect is relatively stable and weak;(2)China’s fiscal policy shocks have non-linear effects.The fiscal policy shocks in the period of economic expansion and contraction have"Keynesian effect"on investment,consumption and output,but there are"non Keynesian effects"in some specific periods.(3)There are asymmetric effects in China’s fiscal policy shocks,that is,the regulation effect of fiscal policy shocks in the period of economic contraction is significantly better than that in the period of economic expansion.Therefore,it is necessary to maintain active fiscal policy regulation during the economic downturn.

关 键 词：财政政策 经济周期 非线性效应 非对称性 SV-TVP-VAR 

分 类 号：F812.2[经济管理—财政学] F037.1