控制政策与经济体制的非线性财政乘数

中文摘要 AI 辅助

本文提出了一种适用于以总增长率形式表示的数据的新型财政乘数形式，并配套构建了一个结构向量自回归模型，该模型能够将自由裁量的财政政策与体制成分和基于规则的政策成分分离开来。由于在某一时间跨度上对增长率响应进行累积涉及乘积而非求和，因此所提出的乘数是乘法形式的：分子和分母都是财政冲击规模的函数多项式，所以乘数随支出计划的规模呈非线性变化——这种依赖性是以往的加法乘数无法捕捉的。该乘数无需折现，无需临时设定的转换因子，也无需对产出的平均支出份额进行辅助估计，并且可以直接根据名义的、未经季节性调整的数据计算得出，与政府预算实际表达的方式相匹配。本文引入了一种叙事方法识别策略的变体。该方法能够将财政政策的影响分解为体制成分、嵌入在自回归结构中的标准政策规则以及自由裁量冲击三个部分。从残差中剔除体制成分后，所识别出的冲击规模更小，相应的乘数也小于未控制体制变化的结构向量自回归模型所估计的结果——从而缩小了结构向量自回归模型与动态随机一般均衡模型估计之间的差距。研究发现，乘数在不同国家和不同类型的政府支出之间存在显著差异，体制波动性本身也因国家而异，并且多个经济体的支出和乘数路径表现出周期性，这种周期性只有在乘数累积采用乘法方式时才会显现。由此得到的乘数是名义的，源自未经调整的数据，被证明对冲击规模敏感，并剔除了体制效应，为预算规划和财政政策评估提供了直接相关的工具。

英文摘要

A new form of the fiscal multiplier suited to data expressed as gross growth rates is proposed, together with a structural vector autoregression that isolates discretionary fiscal policy from regime and rule-based components. Because cumulating growth-rate responses over a horizon involves a product rather than a sum, the proposed multiplier is multiplicative: both numerator and denominator are polynomials in the size of the fiscal impulse, so the multiplier varies nonlinearly with the scale of the expenditure programme -- a dependence that conventional additive multipliers cannot capture. The multiplier requires no discounting, no ad hoc conversion factor, and no auxiliary estimate of an average expenditure share of output, and it is computed directly from nominal, non-seasonally-adjusted data, matching the terms in which government budgets are actually expressed. A version of the narrative approach to identification is introduced. It allows to decompose the influence of fiscal policy into a regime component, a standard policy rule embedded in the autoregressive structure, and discretionary shocks. Removing the regime component from the residuals yields smaller identified shocks, and correspondingly smaller multipliers, than found in SVARs not controlling for regime changes -- closing much of the gap between SVAR- and DSGE-based estimates. It is found that multipliers vary substantially across countries and across types of government expenditure, that regime volatility itself differs markedly by country, and that several economies display cyclicality in spending and multiplier paths that only becomes visible once responses are cumulated multiplicatively. The resulting multipliers are nominal, derived from unadjusted data, proven to be sensitive to shock size, and purged of regime effects, offering a tool with direct relevance for budget planning and fiscal policy evaluation.

发表机构

• Polish Economic Institute（波兰经济研究所）
• Collegium of Economic Analysis, SGH Warsaw School of Economics（华沙SGH经济学院经济分析学院）

机构由 AI 辅助整理，请以论文原文为准。