我国财政货币政策作用关系实证研究--基于VAR模型的检验分析

文章通过构建一个真实GDP增长率、财政赤字占GDP比重、货币供给M2增长率、零售物价指数变化率等4个变量的VAR模型,对我国财政政策与货币政策相互作用的关系及其动态性进行了实证分析,通过模型设定、格兰杰因果关系检验、脉冲响应函数分析和预测方差分解,发现在我国不存在简单的财政货币政策的互补或替代关系,而是存在一种非对称性的关系,即扩张的货币政策伴随着收缩或稳健的财政政策,而扩张的财政政策导致被动扩张的货币政策,表现形式取决于具体宏观经济环境和经济冲击形式。同时,文章也得到其他一些结论,并认为,要增强政策的效率,必须强化央行的独立性,在现阶段需要严格控制赤字财政政策,以减少其对经济增长和经济波动的影响。

An Empirical Study on the Interactions of Monetary and Fiscal Policies of China: Based on the Unrestricted VAR Model

In this paper we made a VAR model including the four variables: the real GDP growth rate,the proportion of fiscal deficit divided GDP,M2 growth rate,and retail price index growth rate,and analyzed the interactions of monetary and fiscal policies of China and their dynamics.Also we performed a Granger Causality Test,Impulse Responses Functions,and Variance Decomposition Analysis,and detected that there wasn't a simple complement or substitution relation,this is to say,an expanding monetary policy was companied with a contractive or neutral fiscal policy,and an expanding fiscal policy resulted in an expanding monetary policy.The policy composition form depended on the real macroeconomic environment and the form of shock.In addition,we gained some other conclusions,and argued that the independence of the central bank should be strengthened in order to increase the efficiency of the policies,and at the present stage the amount of fiscal deficit should be decreased or kept down so as to reduce the negative effects on the economic growth and fluctuation.