金融稳定与财政政策逆周期效果——基于跨国面板数据系统GMM估计与门槛效应模型的实证分析

财经论丛 ›› 2019, Vol. 35 ›› Issue (9): 21-31.

金融稳定与财政政策逆周期效果——基于跨国面板数据系统GMM估计与门槛效应模型的实证分析

赵萌^1,2, 叶莉¹

1.河北工业大学经济管理学院,天津 300401;
2.唐山学院会计系,河北唐山 063000

收稿日期:2018-08-03 出版日期:2019-09-10 发布日期:2019-09-17
通讯作者: 叶莉(1963-),女,北京市人,河北工业大学经济管理学院教授。
作者简介:赵萌(1981-),女,天津市人,河北工业大学经济管理学院博士生,唐山学院会计系副教授。
基金资助:
河北省自然科学基金项目(G201820261);河北省教育厅人文社会科学研究重大课题攻关项目(ZD201913)

Financial Stability and the Counter-cyclical Effect of Fiscal Policy——Empirical Analysis Based on GMM Estimation and Threshold Effect Model

ZHAO Meng^1,2, YE Li¹

1.School of Economics and Management, Hebei University of Technology, Tianjin 300401, China;
2.Accounting Department, Tangshan University, Tangshan 063000, China

Received:2018-08-03 Online:2019-09-10 Published:2019-09-17

摘要/Abstract

摘要： 包括2008年全球金融危机的一系列金融风险事件表明,金融稳定对财政政策逆周期效果有重要影响。本文运用46个国家1985~2016年的年度数据,首先利用系统GMM模型估计金融衰退对财政政策逆周期效果的影响,发现金融衰退会降低政府执行逆周期财政政策刺激经济复苏的能力。随之采用面板门槛回归分析不同金融波动程度下财政政策逆周期政策效果,发现金融波动对财政政策逆周期效果具有显著非线性影响:金融波动越剧烈,财政政策逆周期效果越差。因此,财政政策在金融周期繁荣期应更加审慎,而在衰退期应更加积极;应充分发挥自动稳定器作用;财政监督体系应与货币政策、宏观审慎框架更好协调。

关键词: 财政政策, 逆周期效果, 金融稳定, 金融波动, 金融衰退

Abstract: A series of financial risk events, including the 2008 global financial crisis, have shown that financial stability has an important impact on the counter-cyclical effect of the fiscal policy. Based on the dynamic panel data of 46 major economies over the period of 1985 2016, this paper applies the system GMM model to estimate the impact of the financial recession on the counter-cyclical fiscal policy. It is found that the financial bust would inhibit the ability of the fiscal policy to stimulate the economic recovery. Further analysis of the effect of the counter-cyclical fiscal policy under different financial volatility with the use of panel threshold regression finds that financial volatility has significant nonlinear effects on the fiscal policy effect. Therefore, fiscal policy should be more prudent in the boom years of the financial cycle and more active in the downturn, the automatic stabilizer should be fully used, and the fiscal supervision system should be better coordinated with the monetary policy and macro-prudential framework.

Key words: Fiscal Policy, Counter-cyclical Effect, Financial Stability, Financial Volatility, Financial Bust

中图分类号:

F811.0

赵萌, 叶莉. 金融稳定与财政政策逆周期效果——基于跨国面板数据系统GMM估计与门槛效应模型的实证分析[J]. 财经论丛, 2019, 35(9): 21-31.

ZHAO Meng, YE Li. Financial Stability and the Counter-cyclical Effect of Fiscal Policy——Empirical Analysis Based on GMM Estimation and Threshold Effect Model[J]. , 2019, 35(9): 21-31.

参考文献

[1] Rodrigo G. Z. On Graduation from Fiscal Procyclicality: The Case of Bolivia[J]. LAJED, 2017, 27(5): 39-56.
[2] Strawczynski M. Procyclicality of Fiscal Policy in Emerging Countries: the Cycle is the Trend[J]. Working Papers Central Bank of Chile, 2011,1(1): 1-43.
[3] György M. Fiscal Policy and the Business Cycle[J]. Financial and Economic Review, 2017, 4(11): 58-85.
[4] Jordà, òscar , Schularick M., Taylor A. M. The Great Mortgaging: Housing Finance, Crises and Business cycles[J]. Economic Policy, 2016, 31(85): 107-152.
[5] 刘亚, 张家臻.中国银行业系统性风险水平测度与监管——基于综合指数法的实证研究[J].河南师范大学学报(哲学社会科学版), 2018, (5): 26-31.
[6] Borio C., Lombardi M. J., Zampolli F. Fiscal Sustainability and the Financial Cycle[J]. BIS Working Papers, 2016, 3(3): 1-37.
[7] 苗文龙.中国金融周期波动与财政政策效应[J]. 制度经济学研究, 2014, (1): 87-91.
[8] 金春雨,王伟强.新常态下我国持续扩大财政赤字是否合理？——基于时变协整模型的实证检验[J].经济问题探索, 2016, (11):7-15.
[9] Perotti G. R. Fiscal Policy in Latin America[J]. NBER Macroeconomics Annual, 1997, 12(12):11-61.
[10] Alcidi C. Fiscal Policy Stabilization and the Financial Cycle in the Euro Area[J]. European Economy Discussion Papers, 2017,1(1):1-39.
[11] Ilzetzki E., Carlos A. Procyclical Fiscal Policy in Developing Countries: Truth or Fiction?[J]. NBER Working Papers, 2008,103(481): 1-45.
[12] Roberto D. Institutional Quality, the Cyclicality of Monetary Policy and Macroeconomic Volatility[J]. Journal of Macroeconomics, 2014, 39(3): 113-165.
[13] Frankel J., Carlos A., Vuletin G. On Graduation from Fiscal Procyclicality[J]. Journal of Development Economics, 2013, 100(1): 32-47.
[14] Frankel J., Vegh C. A., Vuletin G. Fiscal Policy in Developing Countries:Escape from Procyclicality[J]. Journal of Development Economics, 2013, 89(2): 67-89.
[15] Brandt L., Zhu X. Redistribution in a Decentralized Economy: Growth and Inflation in China under Reform[J]. Journal of Political Economy, 2000, 108(2): 422-451.
[16] 马蔡琛.中国财政政策的顺周期性问题——基于预算平衡准则的实证考察[J]. 经济与管理研究, 2015, (4): 3-8.
[17] 曾晓安.我国财政政策效应顺周期的成因及治理对策[J]. 中国财政, 2014, (8): 10.
[18] 吴超,秦亚丽.后危机时期财政货币政策协调的理论与实践思考[J]. 金融理论与实践, 2011, (6): 35-38.
[19] Borio C., Erdem M., Filardo A., et al. The Costs of Deflations: a Historical Perspective[J]. Studies of International Finance, 2015, 8(8): 1-42.
[20] Laeven L., Valencia, Fabián. Systemic Banking Crises Database[J]. IMF Economic Review, 2013, 61(2): 225-270.
[21] Reinhart C. M., Rogoff K. S. Banking Crises: an Equal Opportunity Menace[J]. Journal of Banking and Finance, 2013, 37(11): 4557-4573.
[22] Fischer A., Yeşin P. Undoing CHF Mortgage Loans in Post-crisis Eastern Europe[J]. Swiss National Bank, 2016, 1(1): 1-45.
[23] Chudik A., Mohaddes K., Raissi M. Is There a Debt-Threshold Effect on Output Growth?[J]. IMF Working Papers, 2015, 197(197): 1-63.
[24] Baum A., Checherita-Westphal C., Rother P. Debt and Growth: New Evidence for the Euro Area[J]. Journal of International Money and Finance, 2013, 32(1): 809-821.
[25] 陈雨露,马勇,阮卓阳.金融周期和金融波动如何影响经济增长与金融稳定?[J]. 金融研究, 2016, (2): 1-22.
[26] Hauk W. R., Wacziarg R. A Monte Carlo Study of Growth Regressions[J]. Journal of Economic Growth, 2009, 14(2): 103-147.
[27] Alberola E., Sousa R. Assessing Fiscal Policy Through the Lens of the Financial and the Commodity Price Cycles[J]. BIS Working Paper, 2017, 638(638): 1-53.
[28] Amstad M., Packer F. Sovereign Ratings of Advanced and Emerging Economies after the Crisis[J]. BIS Quarterly Review, 2015, 1(1): 1-26.
[29] Gourinchas P. O., Obstfeld M. Stories of the Twentieth Century for the Twenty-First[J]. American Economic Journal: Macroeconomics, 2012, 3(4): 226-265.
[30] Bénétrix A., Lane P. Financial Cycles and Fiscal Cycles[J]. Trinity Economics Papers, 2015, 7(2): 1-38.
[31] Hansen, B. E.Threshold Effects in Non－dynamic Panels: Estimation,Testing,and Inference[J]. Journal of Econometrics, 1999, 93(2): 345-368.
[32] 孔群喜, 王晓颖, 彭丹.对外直接投资规模扩大是否提升了中国经济增长质量?——基于“生产率悖论”的经验检验[J].河南师范大学学报(哲学社会科学版), 2019, (1): 60-69.