纳入企业异质性与金融摩擦特征的政府支出乘数研究
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摘要
本文构建DSGE模型在考虑金融摩擦和企业异质性等特征基础上研究政府消费性支出和政府投资性支出对国有经济与非国有经济影响的差异性,并重新估算我国政府消费性支出乘数和政府投资性支出乘数。研究结果表明:政府消费性支出和政府投资性支出对国有经济及非国有经济的影响机制存在较大差异;政府投资性支出乘数大于政府消费性支出乘数;政府消费性支出和投资性支出对国有经济的乘数效应均大于对非国有经济的乘数效应;金融摩擦和企业异质性对政府支出乘数有显著影响,长期政府消费性支出乘数和政府投资性支出乘数关于金融摩擦呈单调递减态势。当不考虑企业异质性和金融摩擦时,政府投资性支出乘数与政府消费性支出乘数较大;纳入企业异质性和金融摩擦特征后,政府支出乘数明显变小。
Financial frictions and a"dual"economic structure are two important characteristics of China's economy. There are many state-owned enterprises,which differ from private enterprises in their credit constraints,industry distribution,capital intensity and productivity. Since the financial crisis in 2008,the fiscal policy of expanding government expenditure has been an important regulatory tool for steady growth and structural adjustment,resulting in total government expenditure reaching 18784. 1 billion RMB yuan in 2016. How does such a large increase in government expenditure change the economy? What is the difference between the effects of expansionary government expenditure on state-owned enterprises and on non-state-owned enterprises? How do financial frictions and enterprise heterogeneity influence the effect of fiscal policy?Is there any difference between the effects and long-term multipliers of government consumption expenditure and investment expenditure?To answer these questions,this paper incorporates financial frictions and enterprise heterogeneity into a two-sector DSGE model to study the differences between the effects of government consumption expenditure and investment expenditure on state-owned and non-state-owned enterprises. The multipliers of government investment expenditure and consumption expenditure are estimated in equilibrium. Using both numerical simulations and mathematical derivations,this paper analyzes how financial frictions and enterprise heterogeneity influence the government expenditure multipliers.The results show that the long-term multipliers of government investment expenditure are larger than that of consumption expenditures. For both types of government expenditures,the multiplier effects for the state-owned economy are larger than those for the non-state-owned economy. Government consumption expenditure influences the economy from the demand side because the demand resulting from government consumption expenditure is mainly for products produced by state-owned enterprises. This causes production factors to flow from the private to the state-owned sector,stimulating the state-owned economy and restraining the non-state-owned economy. Government investment expenditure affects the economy from the supply side and can promote both the state-owned and non-state-owned economies,though the impact on the stateowned economy is larger and more durable. Financial frictions and enterprise heterogeneity have negative effects on the long-term government expenditure multipliers. Financial frictions influence the multipliers through a private investment channel; the greater the financial frictions are,the stronger the crowding-out effect on private investment will be. Enterprise heterogeneity affects the multipliers by affecting the allocation of production factors between the two sectors.This paper contributes to the literature in the following ways. First,it analyzes the differences in the effects and longterm multipliers of government consumption and investment expenditures. Second,the paper incorporates financial frictions into a two-sector DSGE model and uses numerical simulations and mathematical derivations to analyze the influencing mechanism of financial frictions on long-term government expenditure multipliers. Third,to model China's dual economic structure,this paper constructs a two-sector DSGE model in which the production sectors are separated into a state-owned and a non-state-owned production sector. Using this model,this paper investigates the different effects of government consumption and investment expenditures on the state-owned and non-state-owned economy,studies the effect of enterprise heterogeneity on the long-term government expenditure multipliers by means of numerical simulations and estimates different multipliers. Finally,the results provide new empirical evidence for the effects of government expenditure on the structure of the economy.
Financial frictions and a"dual"economic structure are two important characteristics of China's economy. There are many state-owned enterprises,which differ from private enterprises in their credit constraints,industry distribution,capital intensity and productivity. Since the financial crisis in 2008,the fiscal policy of expanding government expenditure has been an important regulatory tool for steady growth and structural adjustment,resulting in total government expenditure reaching 18784. 1 billion RMB yuan in 2016. How does such a large increase in government expenditure change the economy? What is the difference between the effects of expansionary government expenditure on state-owned enterprises and on non-state-owned enterprises? How do financial frictions and enterprise heterogeneity influence the effect of fiscal policy?Is there any difference between the effects and long-term multipliers of government consumption expenditure and investment expenditure?To answer these questions,this paper incorporates financial frictions and enterprise heterogeneity into a two-sector DSGE model to study the differences between the effects of government consumption expenditure and investment expenditure on state-owned and non-state-owned enterprises. The multipliers of government investment expenditure and consumption expenditure are estimated in equilibrium. Using both numerical simulations and mathematical derivations,this paper analyzes how financial frictions and enterprise heterogeneity influence the government expenditure multipliers.The results show that the long-term multipliers of government investment expenditure are larger than that of consumption expenditures. For both types of government expenditures,the multiplier effects for the state-owned economy are larger than those for the non-state-owned economy. Government consumption expenditure influences the economy from the demand side because the demand resulting from government consumption expenditure is mainly for products produced by state-owned enterprises. This causes production factors to flow from the private to the state-owned sector,stimulating the state-owned economy and restraining the non-state-owned economy. Government investment expenditure affects the economy from the supply side and can promote both the state-owned and non-state-owned economies,though the impact on the stateowned economy is larger and more durable. Financial frictions and enterprise heterogeneity have negative effects on the long-term government expenditure multipliers. Financial frictions influence the multipliers through a private investment channel; the greater the financial frictions are,the stronger the crowding-out effect on private investment will be. Enterprise heterogeneity affects the multipliers by affecting the allocation of production factors between the two sectors.This paper contributes to the literature in the following ways. First,it analyzes the differences in the effects and longterm multipliers of government consumption and investment expenditures. Second,the paper incorporates financial frictions into a two-sector DSGE model and uses numerical simulations and mathematical derivations to analyze the influencing mechanism of financial frictions on long-term government expenditure multipliers. Third,to model China's dual economic structure,this paper constructs a two-sector DSGE model in which the production sectors are separated into a state-owned and a non-state-owned production sector. Using this model,this paper investigates the different effects of government consumption and investment expenditures on the state-owned and non-state-owned economy,studies the effect of enterprise heterogeneity on the long-term government expenditure multipliers by means of numerical simulations and estimates different multipliers. Finally,the results provide new empirical evidence for the effects of government expenditure on the structure of the economy.
引文
白仲林、尹金友、张珺,2014:《二元经济结构中金融加速器效应的模拟分析》,《21世纪数量经济学》第14卷。
陈晓光、张宇麟,2010:《信贷约束、政府消费与中国实际经济周期》,《经济研究》第12期。
郭长林,2016:《积极财政政策、金融市场扭曲与居民消费》,《世界经济》第10期。
郭杰、郭琦,2015:《信贷市场有限竞争环境中财政引发的国有部门投资的宏观影响---基于扩展RBC模型的研究》,《管理世界》第5期。
贾俊雪,2017:《公共基础设施投资与全要素生产率:基于异质企业家模型的理论分析》,《经济研究》第2期。
贾俊雪、郭庆旺,2010:《市场权力、财政支出结构与最优财政货币政策》,《经济研究》第4期。
雷文妮、赵晓军、胡涛,2017:《企业自由进入与经济周期行业间传导---基于两部门DSGE模型的分析》,《经济科学》第1期。
王国静、田国强,2014:《政府支出乘数》,《经济研究》第9期。
王文甫,2010:《价格粘性、流动性约束与中国财政政策的宏观效应---动态新凯恩斯主义视角》,《管理世界》第9期。
王曦、王茜、陈中飞,2016:《货币政策预期与通货膨胀管理---基于消息冲击的DSGE分析》,《经济研究》第2期。
王妍,2015:《金融摩擦会影响政府财政支出乘数吗》,《中国管理科学》第9期。
余雪飞、宋清华,2013:《“二元”信贷错配特征下的金融加速器效应研究---基于动态随机一般均衡模型的分析》,《当代财经》第4期。
张开、龚六堂,2017:《多部门模型中的财政支出乘数》,《华中科技大学学报(社会科学版)》第3期。
Aschauer,D.A.,1989,“Is Public Expenditure Productive?”,Journal of Monetary Economics,Vol.23,177-200.
Auerbach,A.J.,and Gorodnichenko,Y.,2012a,“Fiscal Multipliers in Recession and Expansion”,Fiscal Policy After the Financial Crisis,University of Chicago Press.
Auerbach,A.J.,and Gorodnichenko,Y.,2012b,“Measuring the Output Responses to Fiscal Policy”,American Economic Journal:Economic Policy,Vol.4,1-27.
Baxter,M.,and King,R.G.,1993,“Fiscal Policy in General Equilibrium”,American Economic Review,315-334.
Bernanke,B.S.,Gertler,M.,and Gilchrist,S.,1999,“The Financial Accelerator in a Quantitative Business Cycle Framework”,Handbook of Macroeconomics,Vol.1,1341-1393.
Bertrand,C.,and Lenard,L.,2011,“Fiscal Policy in Good and Bad Times”,Working Paper Series,No.001.
Calvo,G.A.,1983,“Staggered Prices in a Utility-Maximizing Framework”,Journal of monetary Economics,Vol.12,383-398.
Christiano,L.,Eichenbaum,M.,and Rebelo,S.,2011,“When is the Government Spending Multiplier Large?”,Journal of Political Economy,Vol.119,78-121.
Christiansen,Lone,2008,“Appendix II:Fiscal Multipliers-A Review of the Literature”in“Fiscal Policy for the Crisis”,International Monetary Fund(IMF)Staff Position Note,Vol.8,17-21.
Christensen,I.,and Dib,A.,2008,“The Financial Accelerator in an Estimated New Keynesian Model”,Review of Economic Dynamics,Vol.11,155-178.
Cogan,J.F.,Cwik,T.,Taylor,J.B.,and Wieland,V.,2010,“New Keynesian Versus Old Keynesian Government Spending Multipliers”,Journal of Economic Dynamics and Control,Vol.34,281-295.
Corsetti,G.,Meier,A.,and Müller,G.J.,2012,“Fiscal Stimulus with Spending Reversals”,Review of Economics and Statistics,Vol.94,878-895.
Fève,P.,Matheron,J.,and Sahuc,J.G.,2013,“A Pitfall with Estimated DSGE-Based Government Spending Multipliers”,American Economic Journal:Macroeconomics,Vol.5,141-178.
Galí,J.,López-Salido,J.D.,and Vallés,J.,2007,“Understanding the Effects of Government Spending on Consumption”,Journal of the European Economic Association,Vol.5,227-270.
Hall,R.E.,2009,“By How Much Does GDP Rise if the Government Buys More Output?”,National Bureau of Economic Research,No.15496.
Leeper,E.M.,Walker,T.B.,and Yang,S.C.S.,2010,“Government Investment and Fiscal Stimulus”,Journal of monetary Economics,Vol.57,1000-1012.
Leeper.E.M.,Plante,M.,and Traum,N.,2010,“Dynamics of Fiscal Financing in the United States”,Journal of Econometrics,Vol.156,304-321.
Leeper,E.M.,Walker,T.B.,and Yang,S.C.S.,2013,“Fiscal Foresight and Information Flows”,Econometrica,Vol.81,1115-1145.
Mountford,A.,and Uhlig,H.,2009,“What Are the Effects of Fiscal Policy Shocks?”,Journal of Applied Econometrics,Vol.24,960-992.
Schmitt-Grohé,S.,and Uribe,M.,2003,“Closing Small Open Economy Models”,Journal of International Economics,Vol.61,163-185.
Song,Z.,Storesletten,K.,and Zilibotti,F.,2011,“Growing Like China”,American Economic Review,Vol.101,196-233.
Uhlig,H.,and Drautzburg,T.,2011,“Fiscal Stimulus and Distortionary Taxation”,NBER Working Paper.
Woodford,M.,2011,“Simple Analytics of the Government Expenditure Multiplier”,American Economic Journal:Macroeconomics,Vol.3,1-35.
(1)政府债券调整成本在国有和非国有经济体中的分摊比例用ρ表示,取值范围为0—1,由于方程(26)和(27)的均衡稳态值和对数线性化形式与参数ρ无关,因此ρ的取值将不会影响模型模拟结果。
(1)表1中的M0表示上文构建的同时包含金融摩擦和企业异质性的基准模型,M1和M2分别为下文构建的两个单部门模型,这三个模型参数估计的后验均值和90%置信区间均与先验分布有显著差异,参数的真实信息已包含在本文所选用的数据中,MCMC收敛性检验均通过。限于篇幅,本文只列示了三个模型参数的后验估计均值,未列示参数估计值的后验置信区间以及MCMC收敛性检验图,若读者对相关内容感兴趣,可向作者索要。
(1)单部门模型中的资本产出弹性α的取值参考王国静和田国强(2014),校准为0. 5;外部融资溢价参数S和φ根据Christensen&Dib(2008)校准为1. 0075和0. 0420,总体资本净值比k/n和企业存活概率v的参数值由国企和非国企参数值加权取和计算得到。
(2)根据表1参数估计结果,三个模型的参数后验均值比较接近,表明上文所构建的基准DSGE模型比较稳健。
(1)三个模型施加αcg=0约束条件之后的贝叶斯参数估计结果,与表1(非施加参数约束)的估计结果非常接近,表明原有模型的参数估计值比较稳健。限于篇幅,本文未列出三个模型施加约束之后的参数后验估计均值、90%置信区间以及MCMC收敛性检验图。若读者对相关内容感兴趣,可向作者索取完整版。
(2)关于稳健性检验,除了对三个模型施加参数约束以检验上文关于金融摩擦和企业异质性对长期政府支出乘数的相关结论是否稳健之外,本文还模拟了金融摩擦和企业异质性对长期政府支出乘数的影响效应。数值模拟图表明,长期政府投资性支出乘数和长期政府消费性支出乘数均关于金融摩擦和企业异质性单调递减,有兴趣的读者可向作者索要。
陈晓光、张宇麟,2010:《信贷约束、政府消费与中国实际经济周期》,《经济研究》第12期。
郭长林,2016:《积极财政政策、金融市场扭曲与居民消费》,《世界经济》第10期。
郭杰、郭琦,2015:《信贷市场有限竞争环境中财政引发的国有部门投资的宏观影响---基于扩展RBC模型的研究》,《管理世界》第5期。
贾俊雪,2017:《公共基础设施投资与全要素生产率:基于异质企业家模型的理论分析》,《经济研究》第2期。
贾俊雪、郭庆旺,2010:《市场权力、财政支出结构与最优财政货币政策》,《经济研究》第4期。
雷文妮、赵晓军、胡涛,2017:《企业自由进入与经济周期行业间传导---基于两部门DSGE模型的分析》,《经济科学》第1期。
王国静、田国强,2014:《政府支出乘数》,《经济研究》第9期。
王文甫,2010:《价格粘性、流动性约束与中国财政政策的宏观效应---动态新凯恩斯主义视角》,《管理世界》第9期。
王曦、王茜、陈中飞,2016:《货币政策预期与通货膨胀管理---基于消息冲击的DSGE分析》,《经济研究》第2期。
王妍,2015:《金融摩擦会影响政府财政支出乘数吗》,《中国管理科学》第9期。
余雪飞、宋清华,2013:《“二元”信贷错配特征下的金融加速器效应研究---基于动态随机一般均衡模型的分析》,《当代财经》第4期。
张开、龚六堂,2017:《多部门模型中的财政支出乘数》,《华中科技大学学报(社会科学版)》第3期。
Aschauer,D.A.,1989,“Is Public Expenditure Productive?”,Journal of Monetary Economics,Vol.23,177-200.
Auerbach,A.J.,and Gorodnichenko,Y.,2012a,“Fiscal Multipliers in Recession and Expansion”,Fiscal Policy After the Financial Crisis,University of Chicago Press.
Auerbach,A.J.,and Gorodnichenko,Y.,2012b,“Measuring the Output Responses to Fiscal Policy”,American Economic Journal:Economic Policy,Vol.4,1-27.
Baxter,M.,and King,R.G.,1993,“Fiscal Policy in General Equilibrium”,American Economic Review,315-334.
Bernanke,B.S.,Gertler,M.,and Gilchrist,S.,1999,“The Financial Accelerator in a Quantitative Business Cycle Framework”,Handbook of Macroeconomics,Vol.1,1341-1393.
Bertrand,C.,and Lenard,L.,2011,“Fiscal Policy in Good and Bad Times”,Working Paper Series,No.001.
Calvo,G.A.,1983,“Staggered Prices in a Utility-Maximizing Framework”,Journal of monetary Economics,Vol.12,383-398.
Christiano,L.,Eichenbaum,M.,and Rebelo,S.,2011,“When is the Government Spending Multiplier Large?”,Journal of Political Economy,Vol.119,78-121.
Christiansen,Lone,2008,“Appendix II:Fiscal Multipliers-A Review of the Literature”in“Fiscal Policy for the Crisis”,International Monetary Fund(IMF)Staff Position Note,Vol.8,17-21.
Christensen,I.,and Dib,A.,2008,“The Financial Accelerator in an Estimated New Keynesian Model”,Review of Economic Dynamics,Vol.11,155-178.
Cogan,J.F.,Cwik,T.,Taylor,J.B.,and Wieland,V.,2010,“New Keynesian Versus Old Keynesian Government Spending Multipliers”,Journal of Economic Dynamics and Control,Vol.34,281-295.
Corsetti,G.,Meier,A.,and Müller,G.J.,2012,“Fiscal Stimulus with Spending Reversals”,Review of Economics and Statistics,Vol.94,878-895.
Fève,P.,Matheron,J.,and Sahuc,J.G.,2013,“A Pitfall with Estimated DSGE-Based Government Spending Multipliers”,American Economic Journal:Macroeconomics,Vol.5,141-178.
Galí,J.,López-Salido,J.D.,and Vallés,J.,2007,“Understanding the Effects of Government Spending on Consumption”,Journal of the European Economic Association,Vol.5,227-270.
Hall,R.E.,2009,“By How Much Does GDP Rise if the Government Buys More Output?”,National Bureau of Economic Research,No.15496.
Leeper,E.M.,Walker,T.B.,and Yang,S.C.S.,2010,“Government Investment and Fiscal Stimulus”,Journal of monetary Economics,Vol.57,1000-1012.
Leeper.E.M.,Plante,M.,and Traum,N.,2010,“Dynamics of Fiscal Financing in the United States”,Journal of Econometrics,Vol.156,304-321.
Leeper,E.M.,Walker,T.B.,and Yang,S.C.S.,2013,“Fiscal Foresight and Information Flows”,Econometrica,Vol.81,1115-1145.
Mountford,A.,and Uhlig,H.,2009,“What Are the Effects of Fiscal Policy Shocks?”,Journal of Applied Econometrics,Vol.24,960-992.
Schmitt-Grohé,S.,and Uribe,M.,2003,“Closing Small Open Economy Models”,Journal of International Economics,Vol.61,163-185.
Song,Z.,Storesletten,K.,and Zilibotti,F.,2011,“Growing Like China”,American Economic Review,Vol.101,196-233.
Uhlig,H.,and Drautzburg,T.,2011,“Fiscal Stimulus and Distortionary Taxation”,NBER Working Paper.
Woodford,M.,2011,“Simple Analytics of the Government Expenditure Multiplier”,American Economic Journal:Macroeconomics,Vol.3,1-35.
(1)政府债券调整成本在国有和非国有经济体中的分摊比例用ρ表示,取值范围为0—1,由于方程(26)和(27)的均衡稳态值和对数线性化形式与参数ρ无关,因此ρ的取值将不会影响模型模拟结果。
(1)表1中的M0表示上文构建的同时包含金融摩擦和企业异质性的基准模型,M1和M2分别为下文构建的两个单部门模型,这三个模型参数估计的后验均值和90%置信区间均与先验分布有显著差异,参数的真实信息已包含在本文所选用的数据中,MCMC收敛性检验均通过。限于篇幅,本文只列示了三个模型参数的后验估计均值,未列示参数估计值的后验置信区间以及MCMC收敛性检验图,若读者对相关内容感兴趣,可向作者索要。
(1)单部门模型中的资本产出弹性α的取值参考王国静和田国强(2014),校准为0. 5;外部融资溢价参数S和φ根据Christensen&Dib(2008)校准为1. 0075和0. 0420,总体资本净值比k/n和企业存活概率v的参数值由国企和非国企参数值加权取和计算得到。
(2)根据表1参数估计结果,三个模型的参数后验均值比较接近,表明上文所构建的基准DSGE模型比较稳健。
(1)三个模型施加αcg=0约束条件之后的贝叶斯参数估计结果,与表1(非施加参数约束)的估计结果非常接近,表明原有模型的参数估计值比较稳健。限于篇幅,本文未列出三个模型施加约束之后的参数后验估计均值、90%置信区间以及MCMC收敛性检验图。若读者对相关内容感兴趣,可向作者索取完整版。
(2)关于稳健性检验,除了对三个模型施加参数约束以检验上文关于金融摩擦和企业异质性对长期政府支出乘数的相关结论是否稳健之外,本文还模拟了金融摩擦和企业异质性对长期政府支出乘数的影响效应。数值模拟图表明,长期政府投资性支出乘数和长期政府消费性支出乘数均关于金融摩擦和企业异质性单调递减,有兴趣的读者可向作者索要。