金融周期对我国财政可持续性影响研究
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摘要
尽管财政状况在金融危机中极易受到破坏,但关于金融周期对我国财政可持续性的影响仍然缺乏实证研究。鉴于此,本文首先分析了我国金融周期的特征,以及非对称的宏观经济效应。然后在引入金融中性产出缺口概念的基础上,对财政余额进行金融周期调整,以分析金融周期对我国财政可持续性的影响。实证分析结果显示:我国金融周期呈现明显的非对称特征;在金融萧条阶段,金融周期调整后的财政余额大于传统的经济周期调整后的财政余额,基于金融中性产出缺口及其对应的潜在产出调整的财政余额,一定程度上消除了金融周期对准确判断财政可持续性的干扰。鉴于金融因素对我国财政状况的影响,为保证我国财政可持续性,既需建立跨年度预算与中期规划,也需要宏观审慎政策的配合。
Financial crises can hurt the fiscal position seriously, while there is little research on the influence of financial cycle on Chinese fiscal sustainability. In order to analyze the influence of financial cycle on Chinese fiscal sustainability, we first explore its characteristic and asymmetric macroeconomic effect, then adjust the fiscal balance by calculating Chinese financial-neutral output gap and the potential output. The empirical results show that our financial cycle is obviously asymmetric and that during financial busts fiscal balance adjusted for the financial cycle is greater than traditional cyclically adjusted balance, suggesting that fiscal balance adjusted for the financial cycle eliminates the financial cycle's disturbance on judging whether the fiscal position is sustainable to a certain extent.
Financial crises can hurt the fiscal position seriously, while there is little research on the influence of financial cycle on Chinese fiscal sustainability. In order to analyze the influence of financial cycle on Chinese fiscal sustainability, we first explore its characteristic and asymmetric macroeconomic effect, then adjust the fiscal balance by calculating Chinese financial-neutral output gap and the potential output. The empirical results show that our financial cycle is obviously asymmetric and that during financial busts fiscal balance adjusted for the financial cycle is greater than traditional cyclically adjusted balance, suggesting that fiscal balance adjusted for the financial cycle eliminates the financial cycle's disturbance on judging whether the fiscal position is sustainable to a certain extent.
引文
[1]陈雨露,马勇,阮卓阳.金融周期和金融波动如何影响经济增长与金融稳定?[J].金融研究,2016(2):1-20.
[2]邓秋云,邓力平.政府性基金预算:基于中国特色财政的理解[J].财政研究,2016(7):2-10.
[3]范小云,袁梦怡,肖立晟.理解中国的金融周期:理论、测算与分析[J].国际金融研究,2017(1):28-38.
[4]胡永刚,郭长林.财政政策规则、预期与居民消费—基于经济波动的视角[J].经济研究,2013(3):96-107.
[5]李戎.中国财政可持续性研究—建立结构性财政平衡[R].北京:中国人民大学财税研究所、中国人民大学重阳金融研究院、中国人民大学财政金融学院,2017.
[6]马勇,张靖岚,陈雨露.金融周期与货币政策[J].金融研究,2017(3):33-53.
[7]彭文生.金融周期看经济[J].新金融评论,2015(2).
[8]吴锦顺.估计不可观察变量的两种半结构方法的比较[J].统计与决策,2014(11):8-12.
[9]吴军,薛小玉,刘钊.论财政政策对资产价格波动的影响[J].经济经纬,2014(4):127-132.
[10]夏子敬.日本财政支出及其对经济增长的影响分析(1969-2011)[D].吉林大学,2014.
[11]王金秀.基于全口径预算重构分税制财政体制[J].财政研究,2014(1):16-19.
[12]王晓霞.财政可持续性研究述评[J].中央财经大学学报,2007(11):23-27.
[13]伊楠,张斌.度量中国的金融周期[J].国际金融研究,2016(6):13-23.
[14]王子博.中国潜在产出估算模型的设计与应用—基于Kalman滤波的实证分析[J].统计与信息论坛,2012(1):27-32.
[15]周茂荣,骆传朋.我国财政可持续性的实证研究—基于1952-2006年数据的时间序列分析[J].数量经济技术经济研究,2007(11):47-55.
[16]Afonso A,Jalles J T. Euro Area Time-Varying Fiscal Sustainability[J]. International Journal of Finance&Economics,2017,22(3).
[17]Afonso A,Jalles J T. A Longer-Run Perspective on Fiscal Sustainability[J]. Empirica,2014,41(4):821-847.
[18]Balassone F,Cunha J,Langenus G,et al. Fiscal Sustainability and Policy Implications for the Euro Area[J]. Working Papers,2009.
[19]Bénassy-QuéréA, CoeuréB, Jacquet P. Economic Policy:Theory and Practice[M]. Oxford University Press, USA, 2010.
[20] Bouabdallah O,Checheritawestphal C D,Warmedinger T,et al. Debt Sustainability Analysis for Euro Area Sovereigns:A Methodological Framework[J]. Occasional Paper,2017.
[21] Borio C,Disyatat P,Juselius M. Rethinking Potential Output:Embedding Information about the Financial Cycle[J]. Oxford Economic Papers,2016,69(3):655-677.
[22]Borio C E V,Erdem M,Filardo A J,et al. The Costs of Deflations:A Historical Perspective[J]. 2015.
[23]Borio C E V,Lombardi M J,Zampolli F. Fiscal Sustainability and the Financial Cycle[J]. 2016.
[24] Baharumshah A Z,Soon S V,Lau E. Fiscal Sustainability in an Emerging Market Economy:When Does Public Debt Turn Bad?[J].Journal of Policy Modeling,2016,39(1):99-113.
[25] Chen P F. US Fiscal Sustainability and the Causality Relationship Between Government Expenditures and Revenues:A New Approach Based on Quantile Cointegration[J]. Fiscal Studies,2016,37(2).
[26]Drehmann M,Borio C E V,Tsatsaronis K. Characterising the Financial Cycle:Don't Lose Sight of the Medium Term![J]. 2012.
[27]Girouard N,AndréC. Measuring Cyclically-Adjusted Budget Balances for OECD Countries[J]. 2006.
[28] Ghosh A R,Kim J I,Mendoza E G,et al. Fiscal Fatigue,Fiscal Space and Debt Sustainability in Advanced Economies[J]. The Economic Journal,2013,123(566).
[29] Giorno C,Richardson P,Roseveare D,et al. Estimating Potential Output,Output Gaps and Structural Budget Balances[J]. 1995.
[30] Krajewski P,Mackiewicz M,Szymańska A. Fiscal Sustainability in Central and Eastern European Countries-A Post-Crisis Assessment[J].Prague Economic Papers,2016,preprint(2):1-14.
[31] Mahdavi S,Westerlund J. Fiscal Stringency and Fiscal Sustainability:Panel Evidence from the American State and Local Governments[J].Journal of Policy Modeling,2011,33(6):953-969.
[32] Nakajima J,Kasuya M,Watanabe T. Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary policy[J]. Journal of the Japanese&International Economies,2011,25(3):225-245.
(1) 采用当月同比增速数据可以消除季节因素影响。
(1) Y_t与Y_t~*表示实际产出和潜在产出,产出缺口GAPt=(Y_t-Y_t~*)/Y_t~*=ln(Y_t)-ln(Y_t~*)=y_t-Y_t~*。
[2]邓秋云,邓力平.政府性基金预算:基于中国特色财政的理解[J].财政研究,2016(7):2-10.
[3]范小云,袁梦怡,肖立晟.理解中国的金融周期:理论、测算与分析[J].国际金融研究,2017(1):28-38.
[4]胡永刚,郭长林.财政政策规则、预期与居民消费—基于经济波动的视角[J].经济研究,2013(3):96-107.
[5]李戎.中国财政可持续性研究—建立结构性财政平衡[R].北京:中国人民大学财税研究所、中国人民大学重阳金融研究院、中国人民大学财政金融学院,2017.
[6]马勇,张靖岚,陈雨露.金融周期与货币政策[J].金融研究,2017(3):33-53.
[7]彭文生.金融周期看经济[J].新金融评论,2015(2).
[8]吴锦顺.估计不可观察变量的两种半结构方法的比较[J].统计与决策,2014(11):8-12.
[9]吴军,薛小玉,刘钊.论财政政策对资产价格波动的影响[J].经济经纬,2014(4):127-132.
[10]夏子敬.日本财政支出及其对经济增长的影响分析(1969-2011)[D].吉林大学,2014.
[11]王金秀.基于全口径预算重构分税制财政体制[J].财政研究,2014(1):16-19.
[12]王晓霞.财政可持续性研究述评[J].中央财经大学学报,2007(11):23-27.
[13]伊楠,张斌.度量中国的金融周期[J].国际金融研究,2016(6):13-23.
[14]王子博.中国潜在产出估算模型的设计与应用—基于Kalman滤波的实证分析[J].统计与信息论坛,2012(1):27-32.
[15]周茂荣,骆传朋.我国财政可持续性的实证研究—基于1952-2006年数据的时间序列分析[J].数量经济技术经济研究,2007(11):47-55.
[16]Afonso A,Jalles J T. Euro Area Time-Varying Fiscal Sustainability[J]. International Journal of Finance&Economics,2017,22(3).
[17]Afonso A,Jalles J T. A Longer-Run Perspective on Fiscal Sustainability[J]. Empirica,2014,41(4):821-847.
[18]Balassone F,Cunha J,Langenus G,et al. Fiscal Sustainability and Policy Implications for the Euro Area[J]. Working Papers,2009.
[19]Bénassy-QuéréA, CoeuréB, Jacquet P. Economic Policy:Theory and Practice[M]. Oxford University Press, USA, 2010.
[20] Bouabdallah O,Checheritawestphal C D,Warmedinger T,et al. Debt Sustainability Analysis for Euro Area Sovereigns:A Methodological Framework[J]. Occasional Paper,2017.
[21] Borio C,Disyatat P,Juselius M. Rethinking Potential Output:Embedding Information about the Financial Cycle[J]. Oxford Economic Papers,2016,69(3):655-677.
[22]Borio C E V,Erdem M,Filardo A J,et al. The Costs of Deflations:A Historical Perspective[J]. 2015.
[23]Borio C E V,Lombardi M J,Zampolli F. Fiscal Sustainability and the Financial Cycle[J]. 2016.
[24] Baharumshah A Z,Soon S V,Lau E. Fiscal Sustainability in an Emerging Market Economy:When Does Public Debt Turn Bad?[J].Journal of Policy Modeling,2016,39(1):99-113.
[25] Chen P F. US Fiscal Sustainability and the Causality Relationship Between Government Expenditures and Revenues:A New Approach Based on Quantile Cointegration[J]. Fiscal Studies,2016,37(2).
[26]Drehmann M,Borio C E V,Tsatsaronis K. Characterising the Financial Cycle:Don't Lose Sight of the Medium Term![J]. 2012.
[27]Girouard N,AndréC. Measuring Cyclically-Adjusted Budget Balances for OECD Countries[J]. 2006.
[28] Ghosh A R,Kim J I,Mendoza E G,et al. Fiscal Fatigue,Fiscal Space and Debt Sustainability in Advanced Economies[J]. The Economic Journal,2013,123(566).
[29] Giorno C,Richardson P,Roseveare D,et al. Estimating Potential Output,Output Gaps and Structural Budget Balances[J]. 1995.
[30] Krajewski P,Mackiewicz M,Szymańska A. Fiscal Sustainability in Central and Eastern European Countries-A Post-Crisis Assessment[J].Prague Economic Papers,2016,preprint(2):1-14.
[31] Mahdavi S,Westerlund J. Fiscal Stringency and Fiscal Sustainability:Panel Evidence from the American State and Local Governments[J].Journal of Policy Modeling,2011,33(6):953-969.
[32] Nakajima J,Kasuya M,Watanabe T. Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary policy[J]. Journal of the Japanese&International Economies,2011,25(3):225-245.
(1) 采用当月同比增速数据可以消除季节因素影响。
(1) Y_t与Y_t~*表示实际产出和潜在产出,产出缺口GAPt=(Y_t-Y_t~*)/Y_t~*=ln(Y_t)-ln(Y_t~*)=y_t-Y_t~*。