政府支出与经济波动——基于省级面板数据的实证分析

政府支出能否起到稳定经济增长的作用是一个值得研究的重要问题。使用1987-2013年30个省市自治区的面板数据,文章考察了政府支出对我国经济波动的影响。在考虑政府支出规模的内生性后,2SLS估计结果发现政府支出对经济波动的影响具有两面性。一方面政府支出规模主要发挥了财政自动稳定器作用,因而减少了经济波动;另一方面,政府支出变动对总量产出冲击较大,从而增加了经济波动。进一步控制了贸易开放、通货膨胀、货币政策冲击、金融发展和产业结构等因素,估计结果表现出较好的稳健性。研究结论意味着,在保持经济稳定增长方面,需要权衡政府支出规模与政府支出变动对经济波动的影响。     

The Effects of Fiscal Policy in a Small Open Economy with a Fixed Exchange Rate

We study the empirical effects of fiscal policy in Denmark since the adoption of a fixed exchange rate policy in 1982. Denmark’s fixed exchange rate implies that the nominal interest rate remains fixed after a fiscal expansion, facilitating a substantial impact of the fiscal stimulus on the real economy. On the other hand, the large degree of openness of the Danish economy means that a sizeable share of the fiscal stimulus will be directed towards imported goods. Our results suggest that the ‘monetary accomodation channel’ dominates the ‘leakage effect’ in the short run. We demonstrate that fiscal stimulus has a rather large impact on economic activity in the very short run, with a government spending multiplier of 1.1 on impact in our preferred specification. We also find that the effects of fiscal stimulus are rather short-lived in Denmark, with the effect on output becoming insignificant after around two years. The fiscal multiplier is above 1 only in the first quarter, and drops to 0.6 one year after the shock. We also find that in the short run, the government spending multiplier is larger than the tax multiplier. Finally, we demonstrate that exogenous shocks to government spending account for less than 10 % of the movements in output over the business cycle in Denmark.     

政府支出的构成与中国经济波动——基于动态随机一般均衡模型的分析

政府支出对于一国经济波动具有显著性影响。基于我国的现实数据,向量自回归模型的脉冲响应函数证实：（1）生产性政府支出与消费性政府支出对于总产出具有不同的冲击效应,并且生产性政府支出对于产出具有相对较大的影响;（2）无论是政府生产性支出还是消费性支出,其对于不同部门的产出均具有不同的冲击效应,即政府支出的冲击效应具有部门依存性特征。在此基础上,文章建立了一个包含不同部门与政府支出不同构成成分的多部门经济NK-DSGE模型,考察了政府支出冲击的不同构成成分对于我国经济波动的影响。贝叶斯脉冲响应分析的结果支持了经验证据,并且模型主要变量的周期性特征与现实数据较为接近。在此基础上,贝叶斯冲击分解的结果指出,相对于消费性政府支出而言,生产性政府支出冲击对于各宏观经济变量的波动具有更大的推动作用。因此,在使用支出政策熨平经济波动时,政府需依据现实经济情况及时调整政府支出的构成。     

Fiscal stimulus and labor market dynamics in Japan

The paper studies the effects of fiscal expansion on the Japanese labor market. First, using a structural VAR model, we find that the unemployment rate falls and employment rises following an increase in government spending. We also find that fiscal expansion affects flows in and out of unemployment. While an increase in government spending increases the job-finding rate, it reduces the separation rate. We then incorporate search and matching frictions into a standard dynamic general equilibrium model, and study whether the model can explain what we observed in data. While the model fails to predict the exact size of the impact of government spending shocks on the Japanese labor market variables, it can consistently capture the empirical pattern of responses of labor market variables to shocks.     

财政支出、居民消费与经济波动——基于动态随机一般均衡模型(DSGE)的分析

在动态随机一般均衡(DSGE)模型中引入财政支出冲击和居民消费习惯,将财政支出分为生产性支出和消费性支出,分别纳入生产函数和总消费函数,通过DSGE模型模拟了财政支出对居民消费、产出、就业、投资等经济变量的动态影响。模拟结果显示财政支出增加对居民消费产生了挤出效应,而对产出、就业等经济变量产生挤入效应。考虑消费习惯后,经济变量对外生冲击的响应呈驼峰状,并且影响程度加大。因此,合理划分政府支出的类型并恰当评估居民的消费习惯对把握财政政策的操作力度甚为重要。     

Is Belgium ready for EMU? A look at national, sectoral and regional developments

In EMU the question arises how countries will respond to adverse economic shocks. A statistical decomposition of output shocks in Belgium identifies the sectoral level as the main source of turbulence. This sectoral focus reduces the need for monetary, exchange rate and budgetary policies as macro-economic adjustment mechanisms but raises the issue of labour market flexibility. We show that wages fail to respond to sectoral and regional shocks. Similarly to the other EU countries, this absence of wage adjustments tends to amplify the regional divergence in production and employment performance, and can thus threaten political cohesion.     

EXPLAINING THE GROWTH OF GOVERNMENT SPENDING IN SOUTH AFRICA

What determines government spending in South Africa? The paper estimates the determinants of real per capita government spending in the Republic of South Africa using annual data for the period 1960‐2007, a tumultuous period during which South Africa experienced a variety of internally imposed changes (e.g. the abolition of apartheid, changes in political institutions) and externally generated shocks (e.g. war, oil shocks). Using multivariate cointegration techniques, we find that per capita government spending, per capita income, the tax share and the wage rate are cointegrated, a result that supports the notion that government spending is associated not only with per capita income and the true cost of government service provision as given by the wage rate but also with the fiscal illusion caused by budget deficits. We also find evidence that per capita government spending was positively affected by external shocks. These external shocks seem to play a significant role in explaining the dynamics of government spending growth.     

Decomposing local fiscal multipliers: Evidence from Japan

Recent studies on fiscal policy use cross-sectional data and estimate local fiscal multipliers along with spillovers. This paper estimates local fiscal multipliers with spillovers using Japanese prefectural data comparable with the national accounts. We estimate the local fiscal multiplier on output to be 1.7 at the regional level. We decompose the regional fiscal multiplier into the prefectural fiscal multiplier and the region-wide effect. Converting the latter component into the spillover, we find that the spillover is positive and small in size. We also decompose the regional fiscal multiplier on output into multipliers on the expenditure components. Our estimates suggest that there are crowding-in effects of government spending on consumption and investment. Moreover, we find that the regional fiscal multiplier on absorption exceeds 2.0 and that the spillover to absorption is considerable in contrast to the spillover to output.     

中国经济周期波动中冲击构成的实证分析

利用SVAR模型对中国经济周期波动中冲击构成进行分析,同时运用ADF单位根检验、Granger因果关系检验、脉冲响应和方差分解等计量经济方法研究了产出、利率和财政支出与我国宏观经济波动的关系。研究结果表明：利率外生于系统,但产出和财政支出互为格兰杰因果关系;我国的货币政策在长期非中性,它可以直接影响到产出和其他实际变量;产出对源于产品市场的需求冲击和产品的供给冲击的响应均是正向的;经济周期波动中供给冲击所占比重小于需求冲击所占的比重。     

Fiscal Episodes and Market Power

We assess the effect of fiscal episodes, as determined via alternative approaches, on GDP and on markups in a panel of 14 OECD countries. Our results with narrative action-based data show counter-cyclicality since negative fiscal shocks increase markups. Additional empirical exercises reveal that spending-based consolidation programs have a more counter-cyclical effect on the behaviour of markups over the short and medium term than tax-based ones. Moreover, in times of economic contraction the degree of counter-cyclicality of negative (positive) government spending (tax) shocks is larger than during economic expansions.     

What explains the recent fluctuations in Japan’s output? A structural factor analysis of Japan’s industrial production

By applying the structural factor analysis developed by Foerster et al. (2011), we decompose the fluctuations of Japan’s industrial production (IP) into sectoral shocks and aggregate shocks, taking input–output relationships between sectors into account. Our results show that, except for the global financial crisis period, sectoral shocks explain, on an average, nearly half of the quarterly variations in Japan’s IP. Although the relative importance of sectoral shocks declined during the global financial crisis period, it increased again in the recent post-crisis period and, at this time, it contributes to the increased volatility of Japan’s IP. Specifically, our analysis suggests that the intersectoral spillovers brought about by disruptions of supply chain networks in the wake of the Great East Japan Earthquake, the declines in domestic production (or production capacity) in some sectors, as a result of a deterioration in global competitiveness, and a shift to overseas production have contributed to the recent increase in fluctuations of Japan’s IP.     

Openness and the Effects of Fiscal and Monetary Policy Shocks on Real Output in Nigeria (1960–2003)*

Abstract: This study investigates the effects of monetary and fiscal policies on the real output growth in a small open economy. It is a country‐specific, time series study that verifies the implication of increasing economic openness on the efficacy of monetary and fiscal policy. A modified GARCH model was used to estimate the anticipated and unanticipated shocks. Two measures of fiscal and monetary shocks were combined with openness and real oil price shocks in a VECM model to assess the effects of anticipated and unanticipated policy shocks on the output equations. The empirical results showed that anticipated and unanticipated fiscal and monetary shocks had no significant positive effects on real output. This suggests that the open macroeconomic version of the policy ineffectiveness proposition was valid for both monetary and fiscal policy shocks in Nigeria. This is in consonance with earlier works in this area. Furthermore, the degree of openness and oil price shocks had a negative implication on the efficacy of macroeconomic policy in Nigeria; also in agreement with the Dutch Disease Syndrome. Finally, the policy implication of this study therefore is that trade liberalization policy should be implemented cautiously. The Nigerian economy is weak to withstand the unwholesome consequences of full economic integration.     

Spillovers from foreign direct investment in services: Evidence at sub-sectoral level for the Asia-Pacific

We take a sectoral level approach to analyzing the effects of foreign direct investment (FDI) inflows. We disaggregate FDI first by manufacturing versus services, then within services by financial services, trade services, and business services. We consider the effects of FDI inflows on growth of GDP per capita, then distinguish between growth in manufacturing and services value added per capita. Our data sample comprises 14 Asia Pacific economies for the period 1985–2012 to which we apply a dynamic panel generalized method of moments estimation technique. Services FDI as a whole is found to have a significantly positive impact on GDP growth while manufacturing FDI is found to have no effect. The impetus for growth from services FDI traces to financial services in particular, acting not only directly on service sector output but through manufacturing sector output as well. By contrast, trade services FDI is found to have a significantly negative effect on manufacturing output with no significant effect on services output. Foreign participation in trade services may act to expose domestic manufacturers to international competition and may also lead to domestic consolidation to take advantage of economies of scale.     

Global warming and technical change: Multiple steady-states and policy options

We develop an economic growth model that incorporates anthropogenic climate change and a publicly funded research sector that creates new technologies and simultaneously expands the productivities of existing technologies. Greenhouse gas emissions are affected by R&D activities both negatively, through the increase of output from productivity growth, and positively as new technologies are less polluting. We find that there may exist two different steady-states of the economy, depending on the amount of research spending: one with less new technologies being developed and the other with more technologies. Thus, a lock-in effect can arise that, however, can be overcome by raising R&D spending sufficiently such that the steady-state becomes unique. We derive the combinations of fiscal policy instruments for which that can be achieved and we study the implications for the economy and with respect to emissions. In particular, the double dividend hypothesis may hold under some specific conditions.     

Study of the multiplier effect of increasing public spending on Russia’s economy

This paper examines the impact of increase in public spending in Russia on the dynamics of macroeconomic and sectoral indicators using econometric methods and a dynamic input–output model.     

Banking and the Macroeconomy in China: A Banking Crisis Deferred?

The downturn in the world economy following the global banking crisis has left the Chinese economy relatively unscathed. This paper develops a model of the Chinese economy using a DSGE framework with a banking sector to shed light on this episode. It differs from other applications in the use of indirect inference procedure to test the fitted model. The model finds that the main shocks hitting China in the crisis were international and that domestic banking shocks were unimportant. However, directed bank lending and direct government spending was used to supplement monetary policy to aggressively offset shocks to demand. The model finds that government expenditure feedback reduces the frequency of a business cycle crisis but that any feedback effect on investment creates excess capacity and instability in output.     

杠杆率的持续性与溢出效应:基于四部门的实证研究

文章采用TVP-VAR模型系统考察了我国非金融企业部门、金融部门、居民部门、政府部门四部门杠杆分别对总产出和资产价格波动的时变影响，从产出效应和潜在风险两方面实证检验了各部门杠杆率的可持续性。研究发现：杠杆率过快增长会加重资产价格波动，使金融不稳定性上升，削弱杠杆率对产出增长的促进作用。当前，非金融企业部门、政府部门、居民部门杠杆对产出仍有较显著的正向影响，而金融部门杠杆上升对产出的正向影响最小，对资产价格波动的正向影响最大。进一步，文章实证研究了杠杆率变动在部门间的信息溢出，发现政府部门加杠杆将显著推升全社会杠杆率，金融部门杠杆率上升对非金融企业部门杠杆有挤出作用，居民部门杠杆则可以分担部分非金融企业和政府部门的过剩杠杆。因此，当前应优先调控金融部门杠杆，减少资金在金融体系内空转套利，其他三个部门则应保持杠杆率总量的平稳。研究结论对于宏观金融稳定和结构性去杠杆政策的实施有重要的实践意义。     

Strategies for fiscal consolidation in Japan

Japan's key fiscal challenge is to put public finances on a more sustainable footing. This paper investigates the macroeconomic implications of alternative fiscal strategies for Japan using the IMF's Global Fiscal Model. The results suggest that (i) an adjustment package that achieves primary balance through lower social transfers and government spending and a higher VAT is the most viable option and has a smaller negative impact on growth than other fiscal measures; (ii) achieving primary balance is not sufficient to stabilize the net debt ratio; (iii) prefunding future aging costs provides greater long-term benefits compared with less front-loaded strategies; (iv) tax reform involving shifting from corporate taxation to consumption taxation could mitigate the short-term output losses associated with fiscal consolidation; (v) the spillovers to the rest of the world from consolidation in Japan are positive in the medium term, but modest.     

Sectoral Wage Rigidities and Labour and Product Market Institutions in the Euro Area

We estimate wage Phillips curve relationships between sectoral wage growth, unemployment and productivity in a country-industry panel of euro area countries. We find that institutional rigidities – such as labour and product market institutions and regulations – limit the adjustment of euro area wages to unemployment, in both upturns and downturns, particularly in manufacturing and, to a lesser extent, in the construction and service sectors. In addition, there are further limitations in the response of wages to changes in unemployment during economic downturns which suggests that euro area wages are also characterised by significant downward wage rigidities, especially in the manufacturing sector. These results are robust to specifications that account for factors that may affect structural unemployment (such as duration-dependent unemployment effects), as well as changes in the skill composition of employment that may affect the evolution of aggregate wages. The results also hold for panels including or excluding the public sector (where wages may be determined differently to the private sector also due to the effects of fiscal consolidation on public sector wages during the crisis). From a policy perspective, reforms in product and labour markets which reduce wage rigidities can facilitate employment growth and enhance the rebalancing process in the euro area.     

US vs. euro area: Who drives cross-border bank lending to EMs?

This paper analyzes the drivers of cross-border bank lending to 49 Emerging Markets (EMs) during the period 1990Q1–2014Q4, by assessing the impact of monetary, financial and real sector shocks in both the US and the euro area. The literature has traditionally highlighted the influence of US monetary policy on driving cross-border bank flows, and more recently the importance of both US and Euro Area (EA) financial/banking sectors’ related variables. Our contribution is the simultaneous analysis of the role of these US and EA drivers, as well as their interactions with real sector shocks. We corroborate the negative impact of US monetary policy tightening on cross-border lending to EMs, but we find that EA monetary policy seems to have an impact mostly on Emerging Europe, reflecting the fact that cross-border lending to most other EM regions is dollar denominated. We also find that real sector shocks in both the US and EA trigger an increase in cross-border lending, but less in EA when modeling the financial sector. Finally, for financial sector shocks, such as those associated with a decrease in bank leverage, our results indicate a broad-based overall contraction of cross-border lending if the shock originates in the US, and heterogenous effects across borrowing regions if the shock originates in the EA.