优博-政策工具的挤出效应与挤入效应研究

作者姓名 作者姓名 杨子晖 论文题目论文题目 政策工具的挤出效应与挤入效应研究 作者简介作者简介 杨子晖 男 1979 年 7 月出生 2004 年 9 月师从于中山大学陈 浪南教授 于 2007 年 6 月获博士学位 中中 文文 摘摘 要要 私人投资与私人消费是一个国家总需求重要的组成部分 对国民经济的发展有着举足轻 重的影响 货币政策与财政政策是宏观调控的两大基本工具 它们在需求管理中的运用是否 能达到预期的效果常常成为人们关注的问题 然而 自九十年代中后期以来 我国经济在转 轨过程中呈现出以内需不足为主要特征的基本态势 为了刺激有效需求 我国政府实施了一 系列旨在促进经济增长的扩张性政策 扩张性政策的实施是否对私人部门支出产生挤出 或 挤入 效应 此外 作为货币政策和财政政策结合点的国债政策在调节社会资金供求方面的 作用也日益增强 特别是自九十年代中后期以来 随着扩张性政策的实施 作为政府重要融 资方式之一的国债发行量更是大幅增长 国债融资是否引起政府与民间部门在资金需求上的 竞争进而挤出了私人投资 国债融资规模的大幅增长是否引起理性个人对未来税负增加的预 期 并由此减少了现期消费 从而引发挤出效应 所有的这些都是我们目前亟需研究的重大 问题 对此问题的回答都将直接关系到未来的政策性选择与安排 而国内外学术界对此问题 还没完全达成一致的结论 有鉴于此 本文的研究目标就是结合我国实际经济条件 考察政 策工具对私人部门支出 私人投资与私人消费 是否产生挤出或挤入效应 为了克服国内外现有研究文献分析框架的局限性 增进本文结论分析的可靠性与合理性 在研究方法上 本文运用了一系列最新发展的现代计量经济学方法 主要包括 1 为了 有效解决传统时间序列单位根检验以及协整检验的小样本问题 本文在协整框架内对政策工 具是否引发挤出 或挤入 效应的问题进行国际比较研究时 采用了最新发展的面板单位根 检验 面板协整检验以及面板协整估计方法 其中面板单位根检验主要包括 IPS 检验 Im Pesaran 和 Shin 2003 Fisher ADF 和 Fisher PP 检验 Maddala 和 Wu 1999 Choi 2001 以及 Breitung 检验 Breitung 2000 面板协整检验主要采用了 Pedroni 1999 2004 检验方法 面板协整估计则采用组间面板 FMOLS 估计方法 Pedroni 2000 2001 2 为了克服传统的 Granger 因果检验和传统方差分解方法的 局限性 本文在考察政策工具对私人部门支出的动态影响时 采用了最新发展的 有向无环 图技术 DAG Pearl 1995 2000 Spirtes et al 1993 Swanson 和 Granger 1997 以 研究政策工具在长短期对私人投资的动态影响 3 在传统的时间序列分析中 本文也采 用了一些较为前沿的分析方法 其中在协整估计中 除了采用传统的 VECM 方法 本文运 用了完全修正 OLS Phillips 和 Hansen 1990 动态 OLS Stock 和 Watson 1993 并采 用了 递归协整分析方法 Hansen 和 Johansen 1999 对协整关系的稳定性进行检验 此 外 本文还采用了递归方差分解分析 非参数相关性检验等一系列较为前沿的计量经济学方 法 为了全面地 系统地阐述政策工具是否引发挤出 或挤入 效应 本文结合最新的理论 模型的发展 主要从以下七个方面展开深入的分析与研究 其一 本文结合新的理论模型的发展 从期内替代与跨期替代的角度 对我国财政支出 是否挤出居民消费的问题进行研究 并考察转轨时期我国消费行为的结构性转变 其二 本 文结合最新发展的面板协整技术 分别从总体样本以及单位样本这两个不同角度 对财政支 出是否挤出私人消费的问题进行跨国研究 其三 本文结合非参数检验等相关性分析方法 对财政支出与私人消费关系形成的影响因素进行研究 其四 本文结合我国实际经济条件 在对世代交叠模型进行有益拓展的基础上 从理论分析与经验分析的角度深入地考察了我国 货币融资 国债融资等不同融资方式对私人投资的挤出或挤入效应 其中重点考察了不同经 济条件下的国债融资对于私人投资所具有的不同效应 其五 本文结合新的理论模型的发展 考察国债对私人消费是否产生非线性的影响 其中重点考察了债务规模的扩大是否导致私人 消费的减少 从而引发挤出效应 其六 本文在货币 财政政策的框架内 采用最新发展的 有向无环图技术 DAG 考察了政策工具在长短期对私人投资的动态影响 在对政策 工具是否引发挤出效应作进一步讨论的基础上 对货币政策与财政政策这两种政策工具在总 需求管理中的有效性进行比较 在此研究过程中 本文结合新的理论发展 从货币政策影响 私人投资的 货币渠道 信贷渠道 以及财政政策的直接作用机制等角度进行分析 最后 是对本文结论的一个全面的概括总结 并在此基础上提出了现阶段完善我国货币政策 财政 政策以及国债政策协调机制 增强宏观调控能力的政策建议 本文研究结果表明 1 关于国债融资是否挤出私人投资 本文研究发现 在不同经济条件下 国债融资 对我国私人投资具有不同的效应 在 1980 2003 年总体样本时期内 国债融资在一定程度 上减少民间的资金供给 挤出了私人投资 进一步的分析显示 当经济有效需求不足 社会 存在着大量闲置资金时 国债的发行并不对私人投资产生挤出效应 且在一定程度上拓展了 财政支出的融资空间 增强了财政政策宏观调控的能力 实证结果同时显示 即使在国债产 生挤出效应情况下 只要我们把国债资金进行以公共投资为主的经济建设 它的净效应依然 为正 因此 我们政府当局不仅仅要在不同的经济条件下把握好国债融资的适当规模 更重 要的是坚持好国债资金正确的使用方向 2 关于国债融资对私人消费的宏观效应 本文研究发现 公共债务对私人消费有着 非线性的影响 在低债务的国家中 国债发行所引发的财富效应增强了居民的消费意愿 从 而使得公共债务对私人消费的影响显著为正 然而 在高债务的国家 公共债务规模的扩大 引发了理性消费者对未来税负增加的预期 因此 公共债务对私人消费的影响显著为负 这 就意味着对于通过大规模发行国债而实施的扩张性政策 我们必须加以审慎对待 债务规模 的扩大可能将导致私人消费的减少 从而引发挤出效应 进而降低了政策工具在需求管理中 有效性 3 关于财政支出是否挤出私人投资 本文研究发现 我国政府的公共投资在提高私 人资本边际产出的同时挤入了私人投资 社会文教费的支出则对私人投资有着负影响 因此 当我们分析财政政策 特别是赤字性财政政策对经济增长的影响时 我们必须对各项的经常 性支出和资本性支出加以区别对待 如果大规模减少公共投资支出 在长期可能将影响私人 投资的健康增长 特别是在内需不足 非理性投资热潮退却 如房地产市场投资泡沫破灭 的情形下 由大规模减少公共投资而对私人投资造成的影响可能将进一步凸现 4 关于货币政策对私人投资的影响 本文研究表明 扩张性政策在刺激总需求 促 进投资时 最终都体现为货币购买力的增加 因此 货币的适度增加有利于促进私人投资的 增长 此外 本文结合货币政策的不同传导途径作进一步的深入剖析 研究表明相比较 货 币渠道 而言 信贷渠道 仍是我国现阶段货币政策影响私人投资的主要传导途径 但由 于货币到信贷传导环节的断裂 使得 信贷渠道 自身存在着较大的政策局限性 5 由于货币政策缺乏相对的独立性 信贷渠道 的自身局限性以及利率机制的僵 化等原因而造成了货币政策对私人投资等实体经济部门影响乏力 相比较而言 由于政府通 过财政支出进行的基础设施建设与私人投资成 互补 关系 从而在很大程度上直接挤入了 私人投资 此外 由于财政支出并非真实利率上升的潜在因素 而公共支出在总体上并无 挤出 私人投资 因此 我国的财政政策对私人投资有着巨大影响作用 财政政策在总需 求管理中更具有效性 6 关于我国财政支出是否挤出居民消费 本文研究发现 虽然政府与居民消费的期 内替代关系在改革后进一步凸现 但由于居民消费的跨期替代弹性较大 改革后居民与政府 消费仍保持着互补关系 财政支出挤入了居民消费 此外 本文还发现 1978 年后我国政 府与居民消费行为发生了结构性转变 关于财政支出是否挤出私人消费的国际研究 本文分 析表明 在本文研究的样本国家及时期内 总体上政府与私人消费成替代关系 政府消费支 出在一定程度上挤出了私人消费 降低了乘数效应 与此同时 在对单位样本国家的比较分 析中我们发现 不同的样本国家的政府消费与私人消费呈现出不同的互补 或替代 关系 这就为各国未来财政政策的选择与安排进一步提供了参考依据 7 关于财政支出与私人消费关系的影响因素分析 本文结合非参数相关性检验研究 表明 替代弹性与政府规模 国防支出比重 没有显著的相关关系 这就意味政府规模与国 防支出比重并非替代程度大小的决定性因素 Karras 1994 以及 Evan 和 Karras 1996 有 关替代弹性与政府规模 国防支出比重 成正 负 相关关系的结论并不成立 目前 结合我国实际经济条件对政策工具是否引发挤出效应的问题展开综合性 系统性 的研究仍较少 本文运用最新发展的现代计量经济学方法 结合我国转轨经济的特点 从各 个崭新的角度对该命题展开深入地阐述与分析 并对现有研究文献的做了有益的拓展和补充 此外 本文不仅增进了学术界关于政策工具是否引发挤出效应问题的理解 而且有助于我们 重新审视并检验债务中性理论 新古典理论 凯恩斯理论以及货币学派等相关理论在中国的 适用性 因此 本文对于拓展转轨经济条件下政策工具的挤出与挤进效应的研究具有重要的 学术价值 与此同时 本文的结论与政策建议为政策当局对我国未来货币政策 财政政策及国债政 策的选择与安排提供理论分析与实证检验的参考依据 因此 本文对于完善我国宏观需求调 控机制 提高宏观经济决策的科学性和系统性具有重要的实用价值 关键词 货币政策 财政政策 国债融资 挤出效应 挤入效应 Research on Crowding Out and Crowding In Effects of Policy Tools Yang Zihui ABSTRACT As the essential components of domestic demand private investment and private consumption have very important influence over the economy development monetary and fiscal policy are the key macro control policies and the effectiveness of aggregate demand policies has become the focus of public attention however since the middle and latter 1990s there was underdemand of growth in the macroeconomy of China during economic transition To stimulate domestic demand Chinese government has implemented the expansionary policy Could the expansionary policy crowded out or crowed in private sector spending In addition as the link between monetary and fiscal policy government debt plays a more important role in controlling the demand and supply of society capital especially with the implementation of expansionary policy from the middle and latter 1990s as the important channel of government financing government debt scale enlarges on a large scale Could debt financing result in the competition of demand for capital between government and private sector then crowd out private investment When government debt reaches high levels could expectations about future taxes result in crowding out by a fall in private consumption All these are the problems we have to solve urgently and the answers to these questions could provide the references for us to choose and arrange the future policies however until now there appears to be no clear consensus among research works on these questions In light of this this dissertation investigates whether policy tools crowd out or crowd in private sector spending private investment and private consumption during China s economic transition To improve the reliability and rationality of the analysis framework this dissertation applies a lot of recently developed modern econometrics methods as follows firstly to solve the low power problem of conventional unit root test and cointegration test this dissertation uses the recently developed panel unit root tests panel cointegration tests and panel cointegration estimation when we investigate whether policy tools cause crowd out effect among the international countries Three panel unit root tests are applied here IPS test Im Pesaran and Shin 2003 Fisher type tests using ADF and PP tests Maddala and Wu 1999 Choi 2001 and Breitung test Breitung 2000 We test for cointegration data employing the heterogeneous panel cointegration test developed by Pedroni 1999 2004 and then applies between group FMOLS Pedroni 2000 2001 to panel cointegration estimation secondly to overcome the limitation of Granger causal tests and forecast error variance decomposition this dissertation applies the new Directed Acyclic Graphs DAG Pearl 1995 2000 Spirtes et al 1993 Swanson and Granger 1997 technology to investigate the short and long term dynamic effects of policy tools on private investment thirdly this dissertation uses the FMOLS Phillips and Hansen 1990 and DOLS Stock and Watson 1993 to conventional cointegrated series besides the conventional VECM and then employs recursive cointegration analysis technique Hansen and Johansen 1999 to test the stability of cointegration relation In addition we also use other advanced econometrics methods such as recursive forecast error variance and non parametric correlation coefficient tests The dissertation consists of nine chapters that can be grouped into seven main parts The first part investigates the relationship between government and household consumption in China by analyzing intratemporal and intertemporal elasticity of substitution and then studies the structural change of Chinese consumption in economic transition the second part is an international investigation on whether government spending crowds out private consumption It employs the recent developed panel cointegration techniques to make the individual and panel analysis the third part applies non parametric correlation coefficient tests to investigates the factors affecting the relationship between fiscal spending and private consumption the fourth part based on extending overlapping generation model and China s actual economic condition theoretically and empirically investigates whether the government financing such money financing and debt financing crowds out or crowds in private investment especially studying the different effect of debt financing on private investment under different economy conditions the sixth part based on the recent developments of theory investigates the non linear effect of government debt on private consumption under the framework of monetary and fiscal policy applying the new Directed Acyclic Graphs DAG technology the sixth part investigates the short and long term dynamic effects of policy tools on private investment and analyzes whether policy tools crowd out private investment then examines whether monetary or fiscal policy is the more efficient instrument for influencing aggregate demand It analyzes from the monetary channel the credit channel and the direct transmission mechanism of fiscal policy The last part of this dissertation summarizes the main conclusions and then puts forward some suggestion to strengthen macro control effectiveness and to improve the co ordination among monetary fiscal and debt policy The conclusions of this dissertation are as follows 1 When we investigate whether government debt crowds out private investment the results indicate that government debt has different impact on private investment under different economic conditions During 1978 2003 debt financing decreases the supply of fund for private sector spending and then crowds out private investment however the results also reveal that when there are plenty of idle funds in society due to insufficient domestic demand debt financing could not crowd out private investment Instead it extends the channel of government financing to a certain extent and strengthens the macro control ability of fiscal policy We also finds that even when debt induces crowding out effect if we spend the funds financed by debt on economic construction such as public investments the net effect of debt financing is positive So we must keep an appropriate scale of debt based on different economic conditions what s more important we must make appropriate use of the funds financed by debt 2 When we investigate the macroeconomic effects of government debt the results indicate that the non linear effect of government debt on private consumption In low debt countries wealth effects induced by debt strengthen household s willingness to consume so government debt has a significant positive impact on private consumption however in high debt countries expectations about future taxes would result in crowding out by a fall in private consumption so government debt has a significant negative impact on private consumption This means that an expansionary fiscal policy financed by debt will be partly crowded out by private consumption and maybe less effective in stabilising business cycle fluctuations 3 When we investigate whether fiscal spending crowds out private investment the results indicate that Chinese government s public investment raises the marginal productivity of private investment and then crowds in private investment however government spending on social cultural and educational development has a significant negative impact on private consumption This means that when we analyze the effect of fiscal policy especially deficit fiscal policy on private investment we must distinguish carefully between current expenditure and capital expenditure If we decrease public investment on a large scale the healthy increase of private investment will be affected in long term 4 When we investigate the effect of monetary policy on private investment the results indicate that when an expansionary policy is implemented to stimulate domestic demand the demand for money will go up so a seemly increase of money supply could promote private investment In addition we also find that the monetary policy affects private investment through both the monetary channel and the credit channel but the latter plays a more important role in transmitting monetary policy however the credit channel has low effectiveness due to the obstructions of transmitting from credit to money 5 We also find that monetary policy has less influence over private investment because of no independence of monetary policy the limitation of credit channel and the control of interest rate system on the other hand since government spending on infrastructure construction improves the environment of private investment and is complements for private investment moreover fiscal spending is not the factor leading to the increasing of real interest and do not crowd out private investment on a whole so fiscal policy has more influence over private investment and is more effective than monetary policy 6 When we investigate whether fiscal policy crowds out household consumption in China the results indicate that since intertemporal elasticity of substitution is greater than the intratemporal elasticity of substitution government and household consumption are best described as complemental after reform implying there will be direct crowding in of household consumption by fiscal spending In addition we also find that there was a structural change of China s consumption after 1978 When we investigate whether government spending crowds out private consumption for ten Asian countries panel cointegrating regression uncovers that a significant degree of substitutability between government consumption and private consumption Country by country analysis however reveals diversity in the relations we studies so this can further provide the references for countries to choose and arrange their future fiscal polici