基于VAR 模型的我国财政政策非凯恩斯效应和非对称性效应检验：1994-2010

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浙江财经学院硕士学位论文

摘要

市场经济并不总能保持总供给和总需求的平衡，因此政府需要通过财政政策

以及其他政策工具来调控经济，使其稳定发展以减少因经济波动所产生的社会福

利损失。尤其对我国来说，财政政策作为一项重要的宏观调控手段，对经济发展

和稳定更是有着至为关键的影响，因此有必要对其产出效应做出合理并且更为深

入的研究。传统凯恩斯理论认为，财政政策的效果是直接且明显的：经济萧条时

期，扩张性财政政策刺激总需求，而经济繁荣时期紧缩性财政政策会紧缩总需求。

关键在于凯恩斯乘数，传统凯恩斯主义的理论认为乘数始终不会小于零，而在较

新的实证研究发现凯恩斯乘数可能为负，因此，经济学界开始展开对财政政策非

凯恩斯效应的研究。另外，财政政策还可能具有非对称性效应，也就是说在经济

景气和不景气两种情况下，扩张性财政政策对产出的影响可能不同，同样紧缩性

财政政策在这两种情况下对产出的影响也可能不同。

本文首先利用HP滤波法估计出潜在产出，然后利用相应的估计方法分解出结

构性预算余额和周期性预算余额，接着在分解出结构性预算余额的基础上，采用

非约束VAR模型研究了我国在1994-2010年间的相机抉择的财政政策非凯恩斯效应

和非对称效应。

本文实证研究结果表明：（1）我国财政政策在1994-2010年间具有微弱的非凯

恩斯效应，期间的经济持续高速增长主要来自于产出自身的延续和波动；（2）我

国在1994-2010年间的财政政策具有明显的非对称性，扩张性财政政策对产出的冲

击具有凯恩斯效应，而紧缩性财政政策对产出的冲击则具有非凯恩斯效应，并且

两者对产出的冲击具有明显的非对称性，主要表现在冲击程度不同以及持续时间

也有差异；（3）扩张性财政政策在正负产出缺口两种情况下的政策效果不同，具

有明显的非对称性，正产出缺口下扩张性财政政策具有明显的扩大产出的效应，

而在负产出缺口的情况下却具有微弱的非凯恩斯效应；（4）紧缩性财政政策同样

具有非对称性效应，不同的是无论正产出缺口还是负产出缺口的情况下，紧缩性

财政政策都具有收缩经济的效果。

本文研究结果具有重要的实践价值，主要表现在：（1）我国财政政策的非凯

恩斯效应已经有所呈现，未来的财政政策实践应更重视发生非凯恩斯效应的可能

性，避免因为误判财政政策的效应而使得经济状况向与预期相反的方向变动；（2）

财政政策对产出的冲击具有非对称性效应，这有助于改善我国财政政策实践的效

果，对宏观调控以及政策之间的配合具有很强的参考价值，比如紧缩性财政政策

浙江财经学院硕士学位论文

II

具有较明显的非凯恩斯效应，在这种情况下，应当合理搭配财政政策和货币政策，

以避免紧缩性财政政策的非凯恩斯效应造成经济过热；（3）扩张性财政政策的非

对称性及其在负产出缺口下表现出一定的非凯恩斯效应，要求财政政策实践应谨

慎使用扩张性财政政策，或者与其他调控手段相配合，另外扩张性财政政策在负

产出；（4）紧缩性财政政策的非对称性同样要求谨慎实施紧缩性财政政策。

关键词：财政政策；产出缺口；结构性预算余额；非凯恩斯效应；非对称效

应



浙江财经学院硕士学位论文

III

ABSTRACT

The market economy is not always able to maintain the balance of the total supply

and common needs, so the government needs to regulate the economy through fiscal

policy, as well as other policy tools to its stable development in order to reduce social

welfare loss due to fluctuations in the economy. On China in particular, fiscal policy as

an important means of macroeconomic control, economic development and stability has

to key it is necessary to make its output effect reasonable and more in-depth study.

Traditional Keynesian theory suggests that the effect of fiscal policy is a direct and

obvious: the Depression, expansionary fiscal policy to stimulate aggregate demand,

aggregate demand economic boom contractionary fiscal policy tightening. The key is

that the Keynesian multiplier. Traditional Keynesian theory is that the multiplier is

never less than zero, and the newer empirical study found Keynesian multiplier may be

negative, therefore, the economics profession began the study of non-Keynesian effects

of fiscal policy. In addition, fiscal policy may have asymmetric effect, which means that

the economic boom and recession both cases, the impact of expansionary fiscal policy

on output may be different, same contractionary fiscal policy in both cases the outputs

may also be different.

Firstly, the use of the HP filter to estimate the potential output, and then use the

appropriate estimation method to decompose the structural budget balance and the

cyclical budget balance, and then based on the decomposition of the structural budget

balance, the VAR model study of the non-bindingin the non-Keynesian effects of

discretionary fiscal policy in the 1994-2010 period and the asymmetric effect.

The empirical study results show that: (1) China's fiscal policy in the 1994-2010

period with a weak non-Keynesian effects during the sustained rapid economic growth

mainly from the continuation of the output itself and fluctuations.(2) Our obvious

asymmetry in fiscal policy in the 1994-2010 period, the impact of the expansionary

fiscal policy on output Keynesian effect, the impact of the tightening of fiscal policy on

output has non-Keynesian effect, and both production there are also differences out the

impact has obviously asymmetric, mainly in the different degrees of impact and

duration.(3) Different policy effects of expansionary fiscal policy in the case of both

positive and negative output gap has a significant asymmetry positive output gap, the

effect of expansionary fiscal policy has significantly expand output, while the negative

output gap the case was weak non-Keynesian effects.(4) Contractionary fiscal policy

浙江财经学院硕士学位论文

IV

also has asymmetric effect is both positive output gap is still negative output gap,

tightening fiscal policy has the effect of the contraction of the economy.

The results of this study have important practical value, mainly in:(1) Non-Keynesian

effects of fiscal policy has been presented, the practice of fiscal policy in the future

should pay more attention to the possibility of non-Keynesian effects, avoid misjudged

the effects of fiscal policy and the economic situation to change in the opposite direction

with the expected.(2) Asymmetric effect of the impact of fiscal policy on output, which

helps to improve the practical effect of fiscal policy in China, and has a strong reference

value of co-ordination between the macro-control policy, such as the tightening of fiscal

policy has obvious non-Keynesian effects, in this case, it should be reasonable with

fiscal policy and monetary policy, to avoid non-Keynesian effects of the tightening of

fiscal policy to cause economic overheating.(3) Asymmetry of certain non-Keynesian

effects in the negative output gap, the practice of fiscal policy should be used cautiously

expansionary fiscal policy, or other means of regulation which is another expansionary

fiscal policy expansionary fiscal policy in negative output.(4) The non-symmetry of the

tight fiscal policy also requires careful implementation of tight fiscal policy.

Keywords: fiscal policy; output gap; structural budget balance; Non-Keynesian

effect; Asymmetric effect



浙江财经学院硕士学位论文

目录

第一章绪论......................................................................................................................... 1

第一节选题背景......................................................................................................... 1

第二节概念界定......................................................................................................... 2

第三节国内外文献回顾............................................................................................. 4

第四节逻辑结构......................................................................................................... 9

第五节方法和数据..................................................................................................... 9

第六节创新和不足................................................................................................... 10

第二章理论概述............................................................................................................... 12

第一节非凯恩斯效应理论基础 ............................................................................... 12

第二节非对称性效应理论解释 ............................................................................... 14

第三章财政政策非凯恩斯效应检验 ............................................................................... 16

第一节产出缺口估计............................................................................................... 16

第二节结构性预算余额分解 ................................................................................... 18

第三节非凯恩斯效应检验 ....................................................................................... 23

第四章财政政策非对称性效应检验 ............................................................................... 27

第一节财政政策的产出效应检验 ........................................................................... 28

第二节扩张性财政政策非对称效应检验............................................................... 31

第三节紧缩性财政政策非对称效应检验............................................................... 32

第五章基本结论及其意义............................................................................................... 35

参考文献............................................................................................................................. 37

附录..................................................................................................................................... 39

致谢..................................................................................................................................... 40

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摘要：

浙江财经学院硕士学位论文 I摘要市场经济并不总能保持总供给和总需求的平衡，因此政府需要通过财政政策以及其他政策工具来调控经济，使其稳定发展以减少因经济波动所产生的社会福利损失。尤其对我国来说，财政政策作为一项重要的宏观调控手段，对经济发展和稳定更是有着至为关键的影响，因此有必要对其产出效应做出合理并且更为深入的研究。传统凯恩斯理论认为，财政政策的效果是直接且明显的：经济萧条时期，扩张性财政政策刺激总需求，而经济繁荣时期紧缩性财政政策会紧缩总需求。关键在于凯恩斯乘数，传统凯恩斯主义的理论认为乘数始终不会小于零，而在较新的实证研究发现凯恩斯乘数可能为负，因此，经济学界开始展开对财政政策非凯恩斯效...

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