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财政政策和货币政策作为主要的宏观调控手段，需要针对宏观经济的不同周期成分进行精准施策。与发达经济体以经济周期波动(business cycle fluctuation)为主不同，中国的宏观经济是相对低频的中长周期波动(medium-term and long-term cycle fluctuation)占主导。本文基于历史数据进行反事实分析和频谱方差分解，考察财政和货币政策对宏观经济不同周期成分的异质性影响。研究发现：对于产出而言，财政政策冲击和货币政策冲击均对经济周期成分变动具有一定的贡献度，除此之外，货币政策冲击对更为低频的中长周期成分和长期趋势成分变动具有较高贡献度；对于通胀而言，货币政策冲击对不同周期成分均具有高贡献度，而财政政策冲击的贡献度相对较弱。本文研究结论表明科学识别宏观经济波动不同周期成分的重要性，以及讨论财政和货币政策的协调配合必须考虑不同周期成分的差异。
Abstract：As the main tools of macroeconomic management, fiscal policy and monetary policy need to implement different policies according to different components of economic fluctuations. Unlike developed countries, whose macro-economies are dominated by business cycle fluctuations, China's macro-economy is dominated by relatively low-frequency medium-term and long-term cycle fluctuations. Based on counterfactual analysis and spectral variance decomposition using historical data, this paper examines the heterogeneous effects of fiscal and monetary policies on different components of macroeconomic volatility. The result of research shows that in terms of output, both fiscal policy and monetary policy shocks contribute to the changes of the business cycle fluctuations. In addition, fiscal policy can also explain the components of higher frequency fluctuations, while monetary policy shocks also contribute to the changes of the more low-frequency medium-long cycle fluctuations. Regarding inflation, monetary policy shocks have a high contribution to different cyclical components, while the contribution of fiscal policy shocks is relatively weak. The research findings of this article highlight the importance of scientifically identifying different cyclical components in macroeconomic fluctuations and emphasize the need to consider the differences in cyclical components when discussing the coordination and cooperation between fiscal and monetary policies.
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(1)需要明确的是,本文讨论的经济波动实际上指的是产出的一阶矩变化(fluctuation),而非产出的二阶矩波动(volatility)。
(2)陈彦斌等(2022)、刘元春(2022)均提及2021年和2020年“两年平均增速”的概念。
(3)对于小波分解层数的选择,Crowley(2007)说明了样本期长度N与可以使用的最大小波分解层数J之间的关系为N≥2J,即对于本文176个季度的样本期可以使用7层及7层以下的小波分解方法。
(4)感谢匿名审稿专家提出的方法建议及参考文献。
(5)其中,样本前期的拟合值和实际值之间的差异主要是由于在反事实分析的过程中所设定的初始值为0所造成的。
(6)振幅的计算方法为|(波动最高点对应数值-波动最低点对应数值)/波动最低点对应数值|×100%。
(7)中国政府网:http://www.gov.cn/xinwen/2018-07/26/content_5309516.htm。
(8)2018年各季度货币政策执行报告。
基本信息:
DOI：
中图分类号:F812.0;F822.0;F123.16
引用信息:
[1]林建浩,邱韵,陈良源.财政货币政策对不同周期成分的经济效应差异研究——频域分解和反事实分析视角[J].经济学报,2024,11(04):1-33.
基金信息:
国家社会科学基金重点项目“‘三重压力’下‘双支柱’调控的政策效应评估与优化研究”(22AZD121)的资助