财政赤字率、政府债务率、利率与汇率作用机制——基于MSAR-TVP-VAR模型的分析  

The Function Mechanism of Fiscal Deficit Ratio,Government Debt Rate,Interest Rate and Exchange Rate——The Analysis Based on the MSAR-TVP-VAR Models

作　　者：孙长鹏 邓晓兰[1] Sun Changpeng;Deng Xiaolan

机构地区：[1]西安交通大学经济与金融学院,西安710061

出　　处：《经济问题探索》2022年第4期164-179,共16页Inquiry Into Economic Issues

基　　金：国家社会科学基金项目“减税降费与财政可持续性研究”(19XJY020),项目负责人:邓晓兰。

摘　　要：在减税降费、“双循环”战略、“十四五”规划和二〇三五年远景目标背景下,财政赤字率、政府债务率、利率与汇率联动问题备受关注。融合不同理论模型,根据新中国72年月度数据,运用MSAR-TVP-VAR模型识别稳态区间,检验四者作用机制发现,财政赤字率上升推升政府债务率,政府债务率上升推升利率,利率上升促使人民币兑美元汇率下降。为稳定汇率,央行干预后,人民币兑美元汇率上升,促使利率下降,利率下降推升政府债务率,政府债务率上升推升财政赤字率。广义政府债务率对实际利率期限结构的总量与结构影响并存,对实际利率走廊以总量作用为主,无明显结构调整。在此基础上探讨了增收减支、隐性债务监管、货币政策独立性和人民币国际化的政策路径。Under the background of tax and fee reduction,the“Dual Circulation”strategy,the“14 th Five-Year Plan”and the long-term goals of 2035,the fiscal deficit ratio,government debt ratio,interest rate and exchange rate have attracted much attention.Combining different theoretical models,according to the 72-year monthly data of New China,using the MS-TVP-VAR models to identify the steady-state intervals and test the function mechanism,it is found that rising fiscal deficit rate boosts government debt rate,rising government debt rates up interest rates,rising interest rates lowers the RMB rate against the US dollar,after the intervention from the central bank to stabilize the exchange rate,the RMB rate rising against the US dollar lowers interest rates,falling interest rates boost government debt rate,rising government debt ratio boosts fiscal deficit ratio;the generalized government debt rate has both the total amount and structure impact on the actual interest rate term structure,only a total amount effect on the actual interest rate corridor,while the structural adjustment is not obvious.On this basis,the policy paths of income increase and expenditure reduction,hidden debt supervision,monetary policy independence and internationalization of RMB are discussed.

关 键 词：广义财政赤字率 广义政府债务率 利率期限结构 利率走廊 实际有效汇率 

分 类 号：F812[经济管理—财政学]