中国宏观经济政策效应的实证分析

【作者】 何光剑；

【导师】 高铁梅；

【作者基本信息】 东北财经大学 ， 数量经济学， 2006， 硕士

【摘要】 近年来，我国宏观经济运行的稳定性良好，经济发展的协调性得到改善，我国政府在宏观调控中扮演了重要角色，财政政策、货币政策在反周期的实际操作中发挥了巨大作用。2006年是我国第十一个五年规划的第一年，也是新一轮宏观调控后的第一个年份，面对世界经济形势的不确定因素和我国国内经济领域的各类矛盾，我国的宏观调控面临着新的挑战，这对我国政府的宏观调控手段提出了更新的要求。本文根据我国当前经济体制转轨期的特征，以新凯恩斯需求决定理论为基础，建立了一个以需求导向为主的小型宏观经济季度联立方程模型。并利用模型进行情景政策的模拟，分析了货币政策、汇率变动和财政政策的效应，针对实际分析情况提出相应的政策建议。本文第一部分首先介绍了宏观经济政策的理论发展和我国近年来宏观经济政策的演变情况，随后介绍了国内外机构开发利用宏观经济联立方程模型进行经济分析的情况。第二部分介绍了实证分析所依赖的经济计量学方法——传统的联立方程理论、协整理论及季节调整的虚拟变量方法。本文在构造模型时采用Hendery建模理论，即从一般到特殊的建模思想，在建立模型时，先建立最一般的模型(包括所有可能的变量)，然后逐步剔除明显不显著的变量，将模型约化为一个变量和参数都很节俭的模型，最后对模型进行协整检验。本文构造的联立方程模型有四处比较新颖的地方：第一，本文在建立模型时，考虑模型的平稳性即协整性；第二，误差修正模型的应用使模型既包含变量之间的长期关系，又反映变量短期波动之间的关系，较传统的结构式方程能更准确的反映经济的状态，提高了模型预测和政策评价的准确性；第三，对于季度数据存在的季节因素，本文没有使用较常用的X11、X12等方法对数据进行处理，而是在构建方程中加入季节虚拟变量消除季节因素的影响，这为以后模型的应用、维护创造了便利条件；第四，本文运用了三阶段最小二乘方法对联立方程进行了系统估计，考虑到了各方程残差之间的协方差影响。第三部分主要介绍本文所建立的联立方程模型的核心方程和模型结构。本文采用统计口径调整后进一步处理的新数据，如国内生产总值及第一、二、三产业增加值是利用国家统计局公布的回调的年度数据经过计算而来，固定资产投资数据是根据新统计口径数据与旧统计口径数据交叉时段的比例进行回调所得。模型中其他的有统计口径变化的变量则采用了在方程中加入虚拟变量的方法进行建模。本文模型延续“IS-LM模型+菲利浦斯曲线”为核心的思路，拟合附加预期的菲利浦斯曲线而建立卢卡斯函数形式的中国AS函数，利用此函数将总供给和总需求有效的联系起来，所以本文的模型是短期内以需求为导向，长期受供给制约的一个小型季度联立方程模型。第四部分内容是对我国宏观经济政策模拟的实证分析，模拟出不同货币政策、汇率变动和财政政策的结果，并作了详细的分析。货币政策主要通过对存贷款利率调整的不同情景进行了模拟，汇率变动通过对汇率不同形式的变动情况进行了模拟。财政政策通过改变不同程度的财政支出状况进行的模拟。模拟结果表明：一、上调利率的货币政策会有效的抑制投资的过快增长，而对宏观经济的不利影响有限；二、渐进式的人民币汇率调整优于大幅度的调整；三、财政政策的逐步调整有利于我国的宏观经济稳定持续发展，稳健的财政政策适合我国宏观经济发展的需要。文章的结语部分就宏观经济政策的效应提出相应的政策建议，并归纳了本文的特点和所开发模型的创新点及需要进一步改进的方面。更多还原

【Abstract】 The China’s macroeconomic movements keep a steady and relatively fast pace in recent years. The fiscal policy and monetary policy of China’s government play an important role in alleviating the fluctuation of economic cycle, macroeconomic management has achieved expected results. 2006 is the first year of China’s eleventh five years plan, as well as the first year of new round macroeconomic management, the uncertain factors of world economic situation and the economic problems of our country challenge the policy of China’s government, whom have to strengthen and improve macroeconomic management method.This paper according to the given features of the transition period, and on the basis of new Keynesian and other economic theories establishes a miniature of quarterly simultaneous equation system, simulates the effects of the sound monetary policy, sound fiscal policy and exchange rate policy to the macro economy separately, finally, given the policy advices by analyzing the stimulant result. This paper consists of five chapters, the main contents of which are introduced as below.First, the paper introduces the developing of the macroeconomic policies, and the macroeconomic policies that were carried out in recent years. Then, introduces the situation that home and abroad make use of simultaneous equation system to analyze the macro economy.The second part is the theory of the econometric model on which the positive analysis is based. The quarterly simultaneous equation system includes traditional structural equations, error correction model and seasonal adjustment method.The paper sets up the model according to the theory of Hendery: from general to special. When setting up a model, we first builds up a general model which includes all possible variables, then eliminate the unremarkable variables step by step. At last we have set up the model with the simplest variables and parameters, and test the co-integration of the model. There are some novel points in this quarterly simultaneous equation system: the first one is the model considerate the co-integration of the equations, the second one is ECM gives expression to the long-run equilibrium relationship and the short-run fluctuating relationship among the variables so that it can exactly reflect the state of economic and improve the accuracy of forecasting and policy evaluation. Third, for the seasonal factor in quarterly data, we not use usually method such as X11 or X12 but use the dummy variables to deal with the seasonal problem, since this method can create the convenience for the model maintenance and update. Forth, we use the systematic three stages least square method to estimate the simultaneous equation model, considered the covariance impact among the residuals of every equation.The third part of the paper introduces some core equations and the structure of the quarterly macroeconomic model. We use the new data which is further transacted after the statistic caliber has been adjusted. Gross domestic product quarterly data is computed by the annual data which is back adjusted by State Statistic Bureau. Fixed-asset investment data is adjusted by the ratio which is the proportion that old statistic caliber data and new statistic caliber data in the same year. For others variables which statistic caliber has been adjusted in the model, we added the dummy variable to solve this problem. On the basis of the other macroeconomic models, we set up a demand-orient model, which combines the Keynesian economic theory with the distinguishing feature in the course of reforming and open-outside policy. The model inherits the "IS-LM- Philips curve" theory. Combine the Philips curve that has been added anticipation to set up the China’s AS curve, so this equation effectively connected gross demand and gross supply.The fourth part introduces the positive analysis of the macroeconomic policies simulations, including the different results of the monetary policy, exchange rate fluctuation and the financial policy in detail. Monetary policy Simulation mostly by adjusting different loan interest rate and save interest rate, exchange rate fluctuation mostly via simulating the different scene of exchange rate, fiscal policy simulation mostly by adjusting different extension of fiscal expenditure. From the simulative result we conclude that: first, upwards adjust interest rate can restrain fixed-asset investment effectively and disadvantage macro economy very little; second, exchange appreciation bit by bit better than abruptly great change; third, fiscal policy reform should carry on stage by stage, sound fiscal policy adapt to our country’s macro economy development.In the last chapter, according to the above conclusions we put forwards policy advices, and sum up characteristic of the model and some aspects that needed further improve.更多还原