摘要
金融市场发挥着资金“蓄水池”的作用,连接着储蓄者与投资者,在金融市场运行机制的作用下,通过对储蓄者与投资者影响而发挥调节宏观经济运行的作用。金融市场税收作为政府调控金融市场的重要政策工具,对促进金融市场健康稳定地发展以及推动实体经济快速发展具有举足轻重的作用。从1997年亚洲金融危机爆发到2008年全球性经济危机爆发,我国金融市场税收都肩负着政府调节金融市场与经济运行的重任。在实践中,金融市场税收会产生何种经济效应呢?基于此,本文从微观与宏观层面、经济效率与社会公平视角,全面考察金融市场税收在中国实践中的经济效应,力求为我国政府提供政策决策的参考依据。
全文共分为9章,由理论分析、实证分析和政策启示三大部分构成。第1章导论。第2章从理论上分析金融市场税收机制的运行机理。第3至8章为实证分析部分。第3章从微观层面实证研究了金融市场税收对股票市场与债券市场的影响。第4-8章从宏观层面实证分析金融市场税收对实体经济的影响。其中,第4-7章是从经济效率视角研究金融市场税收对宏观经济变量、经济增长、经济周期波动以及稳态经济与黄金律水平的影响;第8章从社会公平视角考察金融市场税收的收入再分配效应。第9章是实证结论与政策启示部分。根据中国金融市场税收的实际经济效应,获得重要的政策启示。
第1章,导论。本章的内容包括：叙述了选题背景、意义；对基本概念作出解释,对研究对象作出说明；对国内外学者的研究进行文献综述；介绍研究方法,简述研究思路；指出本文可能创新与不足之处。
第2章,金融市场税收的一般分析。本章采用规范分析方法,通过对金融市场税收机制运行的分析,揭示金融市场税收经济效应的内在机理,为实证分析提供理论依据；同时,阐述了我国金融市场税制的构成,以确定实证检验中国金融市场税收经济效应的实践依据。
第3章,金融市场税收经济效应的微观分析。本章通过构建理论模型,实证检验中国金融市场税收的微观经济效应,总结了金融市场税收对股票市场影响的学术研究成果,重点考察了金融市场税收对债券市场的影响。利用市场一般均衡理论,构建包含金融市场税收的债券定价模型以及市场交易量模型,在此基础上揭示了金融市场税收政策调整引起的债券价格效应与市场规模效应。
第4章,金融市场税收经济效应的宏观分析—基于中国宏观经济变量的实证分析。本章从宏观层面的经济效率视角,实证研究金融市场税收对经济变量的影响。沿着金融市场税收变化→金融资产价格变化→消费与储蓄变化→投资变化的思路,在第3章实证分析金融市场税收价格效应的基础上,实证考察中国金融市场税收的消费效应、储蓄效应以及投资效应,揭示金融市场税收对经济变量影响的规律。首先,考察金融市场税收的消费效应。在跨期消费模型基础上,利用中国经验数据,揭示了金融市场税收对城镇与农村居民消费的影响。其次,考察金融市场税收的储蓄效应。运用前节的理论模型以及计量回归数据,测算了金融市场税收政策调整引起城镇居民与农村居民储蓄的变化。最后,考察金融市场税收的投资效应。根据投资与消费、储蓄的之间的关系,构建了金融市场税收对投资影响的理论模型,通过计量回归分析,揭示了金融市场税收政策变化导致投资变化的程度与方向。
第5章金融市场税收经济效应的宏观分析—基于中国经济增长的实证分析。本章在第4章的基础上,继而沿着经济变量的变化→经济增长变化的思路,考察金融市场税收政策调整对经济增长的影响程度,揭示金融市场税收的经济增长效应规律。首先,在Pagano(1993)模型①的基础上,结合金融市场税收对消费、储蓄与投资影响的模型,构建了金融市场税收的经济增长效应模型,为实证检验提供依据。然后,利用中国经验数据,对参数进行估计,测算了金融市场税收政策变化引起经济增长的变化量,揭示了金融市场税收的经济增长效应趋势。
第6章金融市场税收经济效应的宏观分析—基于中国经济周期波动的实证分析。本章在第4、5章分析的基础上,采用固定参数下脉冲响应函数、方差分解函数与分布滞后模型以及时变参数下的状态空间模型,考察金融市场税收的经济周期波动效应,全面揭示金融市场税收的经济周期波动效应规律。首先,结合凯恩斯经济周期波动模型与货币供给模型,利用加速乘数模型,构建了金融市场税收经济周期波动效应模型,为实证分析提供理论依据。其次,把金融市场税收引入脉冲响应函数、方差分解函数、分布滞后模型以及状态空间模型,构建了金融市场税收经济周期波动效应的计量模型,为计量分析奠定基础。最后,在固定参数与时变参数计量模型下,实证检验金融市场税收的经济周期波动效应。揭示了金融市场税收与经济周期波动之间的长期趋势关系和时间变化规律。
第7章金融市场税收经济效应的宏观分析—基于中国稳态经济与黄金律水平的实证分析。本章基于宏观动态均衡的视角,揭示金融市场税收政策调整引起经济稳态水平与黄金律水平变化规律。首先,在拓展的拉姆齐模型(引入金融市场税收)的基础上,通过相关参数估计与动态模拟,考察了金融市场税收对经济稳态水平的影响。然后,利用第4章金融市场税收对储蓄与投资影响的实证结果,以及本章第一节参数估计值,考察了金融市场税收对经济黄金律水平的影响。
第8章金融税收经济效应的宏观分析—基于中国收入再分配效应的实证分析。本章从宏观层面的社会公平角度,揭示金融市场税收调节居民收入差距的作用。首先,从收入结构视角与整体视角,构建了金融市场税收收入再分配效应模型,为实证分析奠定理论基础。然后,在理论模型的基础上,利用中国经验数据,实证检验金融市场税收的收入再分配效应。一方面,从结构视角,通过计算金融市场税收在不同收入组间的平均税率累进性,揭示金融税收调节收入差距的作用。另一方面,从整体视角,通过计算金融市场税收政策调整前后基尼系数变化量,揭示金融市场税收收入再分配效应的程度。
第9章实证结论与政策启示。首先,归纳概括了中国金融市场税收的实际经济效应,提供了政策建议的客观依据。然后,根据金融市场税收经济效应的实证结果,从短期与长期的角度,提出短期内适时调整金融市场税收政策与长期内推进金融市场税制改革的政策建议。
在对已有研究拓展和深化的基础上,本文可能进行了以下创新性探索：
(1)研究视角的宽广性
本文从微观与宏观、效率与公平、一般均衡与动态均衡等多视角、多层面探索了金融市场税收的经济效应。第一层面：微观与宏观的全方位分析。在微观方面,研究了金融市场税收的市场价格效应和市场规模效应；在宏观方面,考察金融市场税收对实体经济的影响。第二层面：经济效率与社会公平的全视角分析。在宏观分析中,从经济效率视角研究金融市场税收引起经济的变化；从社会公平视角分析金融市场税收的收入再分配效应。第三层面：静态均衡与动态均衡的全工具应用。在经济效率分析中,从静态均衡的角度考察金融市场税收对宏观经济变量(消费、储蓄、投资)、经济增长以及经济周期波动的影响；从动态均衡角度研究金融市场税收对稳态经济的影响。
(2)理论模型的拓展性
本文对理论模型的扩展主要体现在以下几方面：
第一,构建了金融市场税收的债券价格效应模型。传统的债券定价理论模型仅仅考虑了债券利息税、资本利得税以及市场利率对债券价格影响,但在构建债券定价模型时,未考虑存款利息税以及证券印花税等影响因素。本文利用市场一般均衡理论,把存款利息税和证券印花税引入到债券定价理论模型中,分析其税率变化对债券价格的影响。
第二,拓展了金融市场税收的消费与储蓄效应模型。首先,拓展了利息税①的消费与储蓄效应模型。关于利息税对消费与储蓄的影响国内外都进行了大量研究,但在构建理论模型时并未考虑物价因素,同时在选择家庭效用函数时多采用隐函数形式的效用函数或者采用Cobb-douglas形式的效用函数。而本文在构建利息税对消费与储蓄影响的理论模型时,不仅考虑了物价因素,而且选择了可以囊括Cobb-douglas效用函数、完全替代效用函数、完全互补效用函数的效用函数,从而使得所构建的理论模型更具有代表性。其次,构建了证券印花税的消费与储蓄效应模型。本文把证券印花税、物价以及储蓄等变量同时引入到消费-储蓄模型中,拓展了跨期消费模型,能够同时考察证券印花税的消费与储蓄效应。
第三,构建了金融市场税收的经济增长效应模型。学界较多地探讨了金融发展对经济增长的影响,例如Pagano (1993)所构建的金融资本及其金融市场发展对经济增长影响的模型。但对金融市场税收对经济增长影响的模型研究较少。本文在Pagano(1993)模型的基础上,利用金融市场税收对消费、储蓄与投资影响的分析结果,构建了金融市场税收的经济增长效应模型。
第四,拓展了金融市场税收的经济周期波动效应模型。凯恩斯学派的经济周期波动模型是建立在IS-LM模型的基础上,利用乘数-加速模型分析税收对经济周期波动的影响,但受到货币学派的质疑。本文在综合凯恩斯学派与货币学派的理论模型(应用IS-LM模型与乘数-加速模型,并且运用货币市场均衡模型)基础上,应用计量理论模型(脉冲响应函数、、方差分解模型、分布滞后模型以及时变参数模型等),构建了金融市场税收的经济周期波动效应模型。
(3)实证研究的拓展性
本文在理论分析的基础上,利用中国的经验数据,借助于计量工具,从不同视角实证研究了金融市场税收经济效应。
第一,实证分析了金融市场税收对中国债券市场的影响。已有的文献表明,存款利息所得税与证券印花税对中国债券市场影响的实证研究鲜为少见。国内曾有少数学者研究了有关对债券征税(比如机构投资者的债券利息所得税以及营业税)所引起债券收益率的变化,但对存款利息所得税的经济效应研究多体现在其宏观经济效应方面。本文利用事件研究法,结合GACH效应模型,实证考察了存款利息所得税与证券印花税的债券价格效应和债券规模效应。实证结果表明,存款利息所得税、证券印花税对债券价格和债券交易量具有显著性影响。
第二,实证考察了金融市场税收对居民消费与储蓄影响的程度。利息税的消费效应与储蓄效应一直是学界争论的焦点。多数学者采用规范分析法研究利息税的消费与储蓄效应,缺乏实证检验,其结论具有很强的主观性。本文在跨期消费理论模型基础上,借助计量工具,利用中国经验数据,实证考察了利息税的消费与储蓄效应的大小,得出结论更具有客观性。实证结果表明：利息税的收入效应大于替代效应,即提高利息税税率导致居民增加储蓄减少消费,而降低利息税税率引起居民减少储蓄增加消费；利息税对农村居民和城镇居民影响不同,利息税税率调整导致城镇居民消费与储蓄的绝对额变化较大,而利息税税率调整导致农村居民消费与储蓄的相对额变化较大。就证券印花税来看,学界直接研究证券印花税的消费与储蓄效应较少,本文推进了这一研究,实证考察了证券印花税税率调整对消费与储蓄的影响。实证结果表明：提高证券印花税税率导致储蓄减少消费增加,而降低证券印花税税率导致储蓄增加消费减少。
第三,实证检验了金融市场税收的经济增长效应。学界对税收经济增长效应的实证研究较多,但对利息税与证券印花税的经济增长效应实证研究较少,尤其实证检验其经济增长效应大小更是少之甚少。本文在有关利息税与证券印花税对经济变量影响的实证分析基础上,进一步实证检验了它们对经济增长的影响。实证结果表明：提高利息税税率抑制了经济增长,反之,降低利息税税率促进了经济增长。降低证券印花税税率对经济增长具有推动效应；证券印花税受外部环境的影响,对经济增长的影响还具有时期性。
第四,动态模拟了金融市场税收对稳态消费与稳态资本的影响。近几年,国内有些学者采用模拟分析法研究政策变化的效应,但对利息税与证券印花税的稳态消费与稳态资本效应研究却鲜为少见。本文从动态最优化视角,利用回归的参数数据,动态模拟分析利息税、证券印花税税率调整对稳态消费与稳态资本的影响程度。
第五,通过计算基尼系数,实证研究了金融市场税收的收入再分配效应。从结构视角,将利息税、股利所得税以及证券印花税的平均税率作为变量指标,分别计算出了它们各自在不同居民收入组的平均税率累进性,结果表明,利息税、股利所得税以及证券印花税的平均税率都具有累进性。又从整体视角,通过计算税收征收前后基尼系数的变化量,实证考察了金融市场税收的收入再分配效应。结果表明,相对于税前基尼系数,利息税、股利所得税以及证券印花税的税后基尼系数变小,即它们具有收入再分配的正效应。
(4)政策建议的应用性
第一,提出了中国金融市场税收的短期与长期政策目标。根据实证检验结果,结合经济发展不同阶段,提出短期与长期的政策目标：短期目标。短期内金融市场税收政策应着重发挥调节金融市场与经济运行的作用。由于我国金融市场还有待完善,市场上存在较多的噪声交易者,短期内应根据市场与经济运行状况适时调整金融市场税收政策,实现其调节金融市场与经济运行的作用。长期目标。长期内金融市场税收政策应兼顾效率与公平,实现双重调节功能。随着金融市场日趋成熟,经济发展水平不断提高,居民收入差距不断扩大,长期内应推进金融市场税制改革,实现其调节金融市场与调节收入差距的双重作用。
第二,从长期视角,提出我国资本利得税制度的设想。尽管国内有些学者提出资本利得税制度,但所设计的税制要么立足于调节金融市场,要么立足于调节收入差距,而本文的资本利得税税制则立足于发挥其双重调节功能。
Financial market(abbreviate FM) plays the role of funds "reservoir", links savers and investors. Under the action of the financial market mechanism, it plays the role of adjusting the macro economy through impacting savers and investors. Financial market taxation(abbreviate FMT), as an important policy tool of Government regulating FM, is beneficial to promote healthy and stable development of FM and rapid development of real economy. From the 1997 Asian financial crisis to the 2008 global economic crisis, FMT shouldered the task of regulating FM and economic operation in China. In practice, what economic effects FMT can produce? Based on this, this paper explores real economic effects of FMT from the angle of micro and macro, economic efficiency and social Justice, seeks to provide policy decisions reference for our government.
The text is divided into nine chapters, including theoretical analysis, empirical test and revelation. The fist Chapter is introduction.the second Chapter theoretically analyses FMT system run and the mechanism of economic effects generated by FMT. From third Chapter to the eighth Chapter is Chapters of empirically study.The third Chapter empirically study the micro effects of FMT on the stock market and bond market. From the fourth chapter to the seventh chapter empirically study the macro effects of FMT on real economy from the perspective of economic efficiency. The eighth chapter empirically study income redistribution effect of FMT from the perspective of social equity.The ninth chapter is conclusions and revelation.
Chapter I is the introduction. This chapter covers describing the background and meaning of topics, explaining the basic concepts, acounting for the object of study, reviewing domestic and foreign literature, introducing to the methods of study, summarizing research ideas, pointing out the innovation and weakness of this paper.
ChapterⅡis the general analsis of FMT, analysizes the process of FMT system run, reveals the internal mechanism of economic effects of FMT, which provide the basis for empirical analysis. And this chapter describes the composition of FMT in China.
ChapterⅢis the analysis of micro-economic effects of FMT. Through constructing theoretical models, empirically testing microeconomic effects of FMT, major focusing on the impact of FMT on the bond market. using of general equilibrium theory of market, constructs respectively models of pricing models and market trading volume including FMT, and reveals effects of bond prices and the market scale of FMT.
Chapter IV is empirical analysis of macro-economic effects of FMT which based on macro-economic variables in China. At the. macro level, this chapter empirically studies effects of FMT on economic variables from the perspective of economic efficiency. Along the thread of change of FMT→change in financial asset prices→change in consumption and savings→change in investment, the author empirically studies the impact of FMT on consumption, savings and investment, reveals the law that FMT affects economic variables. First, testing the consumption effect of FMT. Second, testing savings effect of FMT. Third, testing the degree and direction of the change in investment which caused by FMT.
Chapter V is empirical analysis of macro-economic effects of FMT which based on economic growth in China. This chapter is on the base of fourth chapter, and along the thread of change in economic variables→change in economic growth, tests the impact of FMT's adjustment on economic growth, reveals the law that FMT affects economic growth. First, constructing the model of the economic growth effect of FMT. Second, using China's data to estimate the parameters, and then measuring the variation of economic growth as change in FMT.
Chapter VI is empirical analysis of macro-economic effects of FMT which based on business cycle in China.using impulse response function, variance decomposition function, distributed lag model and state space model to conducut the model about business cycle effect of FMT, fully reveals the law that FMT affects business cycle. First, On the base of IS-LM model, the multiplier accelerator model and money market equilibrium model, conducuts the model about business cycle effect of FMT. Second, introduces impulse FMT into response function, variance decomposition functions, distributed lag model and state space model to construct the econometric model about business cycle effect of FMT. Third, using fixed-parameter and time-varying parameters econometric models, empirically tests business cycle effect of FMT, reveals the long-term trend relationship between FMT and business cycle and reveals the law that FMT affects business cycle with the variation of time.
ChapterⅦis empirical analysis of macro-economic effects of FMT which based on the steady-state level of the economy and the Golden Rule level in China. This chapter, under the view of the economic efficiency, using dynamic equilibrium, reveals the law that FMT affects the steady-state level of the economy and the Golden Rule level. First, examines the impact of FMT on the steady-state level of the economy. Second, examines the impact of FMT on the Golden Rule level.
ChapterⅧis empirical analysis of macro-economic effects of FMT which based on FMT's income redistribution effect. This chapter empirically studies the role of FMT's income redistribution. First, from structural and overall perspectives, constructs the model of FMT's income redistribution effect. Second, empirically tests FMT's income redistribution effect. On one hand, from the structural perspective, calculating the progressivity of average tax rate of FMT among different income groups; its result shows that average tax rate of FMT is progressive. On the other hand, from the overall perspective, calculating the variation of pre-tax and after-tax Gini coefficient reveals the extent of FMT's income redistribution effect.
ChapterⅨis conclusions and revelation. Fist, summarising the economic effects of FMT which is severed as a basis for policy recommendations. Second, from the short-term and long-term perspective, the author proposes to timely adjust the policies of FMT in the short term, and to promote the reform of FMT system in the Long term.
Through an in-depth study on economic effects of FMT,this paper conduct a number of innovative exploration in the following aspects:
(1) The broad perspective of research
This paper explores the economic effects of FMT from the angle of micro and macro,efficiency and fairness, general equilibrium and dynamic equilibrium, etc. First, the author studies the price effect and scale effect of FMT on the micro level, and the impact of FMT on real economy at the macro level. Second, the author studies economic changes from the perspective of economic efficiency and effects of income redistribution from the perspective of social justice,which are caused by FMT. Third, the author studies the impact of FMT on macroeconomic variables from the perspective of Static equilibrium and steady-state economy from the perspective of dynamic equilibrium.
(2) The in-depth of theoretical models
First, constructing the model about bond price effect of FMT. This paper, using the general market equilibrium theory, introduces interest income taxation(abbreviate IIT) and stock transaction taxation(abbreviate STT) to the bond pricing model, and analysis the impact on bond price as changes of IIT's and STT's rate.
Second, expanding the model about the consumption and savings effect of FMT. On one hand, the author uses CES utility function which can include Cobb-douglas utility function, Completely substitute utility function and fully complementary utility function, and introduces IIT and Price factor to CES utility function which deepen the existing model of consumption and savings. On the other hand, conducting the model about the consumption and savings effect of STT. Introducing SST and Price factor to CES utility function not only deepen the existing model of consumption and savings, but also it can consumption and savings effects of SST.
Third, Constructing the model about economic growth effect of FMT. On the base of the Pagano's model which studied the impact of financial markets on economic growth, using the results that FMT affect consumption, savings and investment to conduct the model about economic growth effect of FMT.
Fourth, Deepening the model about business Cycle effect of FMT. On the base of business Cycle theoretical models of Keynesian and monetary school (namely, applying the IS-LM model, the multiplier-accelerator model and money market equilibrium model), using impulse response function, variance decomposition function, distributed lag model and state space model to conducut the model about business cycle effect of FMT.
(3) Depth of empirical research
Through theoretical analysis, this paper empirically studies economic effects of FMT from different perspective using of large amounts of data and measurement tools.
First, This paper empirically analyses the impact of FMT on bond market of China. The impact of the deposit interest income taxation(DIIT) and STT on China's bond market is rarely concerned by Schools. By using event study and GACH effect model, the author empirically investigates bond price and scale effects of DIIT and STT. The empirical results show that DIIT and STT affect significantly bond price and bond trading volume.
Second, empirically studing the impact extent of FMT to consumption and savings. Existing research about consumption and savings effect of IIT is lack of empirical test, its conclusions are highly subjective. This paper uses theoretical model of the cross consumption, measurement tools and China's data to empirically study the impact extent of IIT on consumption and savings, and to gain more objective conclusions. The empirical results show that the substitution effect of IIT is greater than its income effect, Namely, increasing(lowering) IIT's rate cause people to increase(reduce) savings and reduce(increase) consumption; IIT generates different impact extent to rural residents and urban residents. The consumption and savings effect of STT is rarely concerned by Schools. This paper empirically analyses the consumption and savings effect of STT. The empirical results show that increasing(lowering) STT's rate cause people to reduce (increase) savings and increase (reduce) consumption.
Third, empirically testing economic growth effect of FMT. Through empirically analysizing the effect of FMT on economic variables, the authou further empirically test FMT's impact on economic growth. The empirical results show that improving(lowering) IIT's rate promote(hinder) economic growth; reducing STT's rate inhibit(promote) economic growth, and the economic growth effect of STT has the nature of period.
Fourth, from dynamic optimization perspective, using the parameter data of regression dynamicly simulate variation of steady-state consumption and steady-state capital,which is caused by the change of tax rate of IIT and STT.
Fifth, By calculating the Gini coefficient, empirically studing income redistribution effect of FMT. From the structural perspective, calculating the progressivity of average tax rate of IIT, STT and dividend income taxation(DIT) among different income groups; its result shows that average tax rate of IIT, STT and DIT is progressive. From the overall perspective, calculating the variation of Gini coefficient before and after tax, and the result shows after-tax Gini coefficient of IIT, STT and DIT is smaller than their pre-tax Gini coefficient, namely, they have a positive effect of income redistribution.
(4) The application of policy recommendations
First, the author raises short-term and long-term policy objectives of FMT in China. In the short term, the government timely adjusts the policies of FMT, which should focus on regulating FM and economic operation. In the long term, the government will reform the system of FMT, which should take into account efficiency and fairness to achieve the dual regulatory function, namely, to achieve regulating FM and the income gap.
Second, from the long-term perspective, the author puts forward the idea of capital gains tax system, which based on that capital gains tax system can play dual regulatory function.
引文
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