我国财政支出政策冲击效应的动态变化——基于包含随机波动的时变参数模型的考察

摘要

This paper attempts to characterize the dynamic evolution of the effectiveness of government spending shock over last two decades in China. Using a structural VAR model with drift coefficients and stochastic volatility, the empirical results show that the effectiveness of spending shock exhibits significant time variation with evident regime-switching feature rather than gradual-change feature. Decomposing the sources of variation, we find that the transmission mechanism of spending shock surprisingly remains quite stable over sample while the volatility of spending shock plays a vital role in the time variation of the effectiveness of policy shock. Our results verify again the validity of macro-stabilizing function of discretionary fiscal spending policy and emphasize the urgency of restraining government＇s unnecessary discretionary behaviors.%本文采用能够同时捕捉区制转换性变化和累积性变化的包含随机波动的时变参数结构向量自回归模型实证考察了1995-2009年间我国政府支出冲击效应的动态变化。结果表明虽然财政支出冲击的传导机制出现了局部的趋势性变化，但是对冲击效应的影响并不显著；冲击效应的大小主要取决于冲击本身的波动性。冲击的波动越大，冲击效应水平越高。这也使得冲击效应的动态变化在样本期间上表现出明显的区制转换性特征。