统计研究 ›› 2007, Vol. 24 ›› Issue (4): 51-57.

• 论文 • 上一篇    下一篇

非线性财政政策效应下财政赤字 可持续性研究

李美洲 韩兆洲   

  1. 暨南大学经济学院统计学系
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2007-04-15 发布日期:2007-04-15

The research of the sustainability of fiscal deficit based on the nonlinear effects of fiscal policy

LI Mei-zhou;HAN Zhao-zhou   

  • Received:1900-01-01 Revised:1900-01-01 Online:2007-04-15 Published:2007-04-15

摘要: 财政赤字可持续性检验往往采用线性协整技术来验证跨期预算约束是否成立,但这一检验方法是基于财政政策效应是线性效应理论之上的。在现实中,财政政策既具有凯恩斯效应也具有非凯恩斯效应,财政政策效应是非线性的,财政收支的调整过程也是非线性非对称的。用传统的线性协整技术难以描述财政赤字可持续性过程,本文分析探讨一种用于揭示非平稳时间序列非线性调整过程的模型——两机制门限协整模型,深入研究了该模型的参数估计、检验统计量,并通过自助法(bootstrap)模拟计算其检验统计量临界值及P值。最后利用该模型,揭示了我国财政收支调整是非线性调整过程,并证实了我国财政赤字具有可持续性,但财政赤字规模不应进一步扩大。

关键词: 财政赤字可持续性, 两机制门限协整模型, 非线性调整

Abstract: The research of the sustainability of fiscal deficit usually tests whether the intermporal budget constraintry holds based on linear cointergration model. However, fiscal policy has not only possible Keynesian effects, but also possible Non-Keynesian effects. The effects of fiscal policy are nonlinear, and the adjustment between fiscal revenue and fiscal expenditure is asymmetric. So tradition linear cointegration model can’t explain the process of the sustainability of fiscal deficit. The paper introduces a two-regime threshold cointegration model, which can explain the nonlinear adjustment to long-run equilibrium. The paper also gives the parameter estimation and test statistics of the model, and compute the critical value and p-value. Finally, we apply the model to analyze the sustainability of fiscal deficit. We find that in our country the fiscal deficit has a threshold cointegration and keep up the sustainability from 1952 to 2004, which makes use of the nonlinear adjustment between fiscal revenue and fiscal expenditure.


 

Key words: The sustainability of fiscal deficit, Two-regime threshold cointegration, Nonlinear adjustment