【摘要】 财政赤字可持续性检验往往采用线性协整技术来验证跨期预算约束是否成立,但这一检验方法是基于财政政策效应是线性效应理论之上的。在现实中,财政政策既具有凯恩斯效应也具有非凯恩斯效应,财政政策效应是非线性的,财政收支的调整过程也是非线性非对称的。用传统的线性协整技术难以描述财政赤字可持续性过程,本文分析探讨一种用于揭示非平稳时间序列非线性调整过程的模型———两机制门限协整模型,深入研究了该模型的参数估计、检验统计量,并通过自助法(bootstrap)模拟计算其检验统计量临界值及P值。最后利用该模型,揭示了我国财政收支调整是非线性调整过程,并证实了我国财政赤字具有可持续性,但财政赤字规模不应进一步扩大。更多还原

【Abstract】 The research of the sustainability of fiscal deficit usually tests whether the intermporal budgetary constraint holds based on linear cointergration model.However,fiscal policy has not only possible Keynesian effects,but also possible Non-Keynesian effects.The effects of fiscal policy are nonlinear,and the adjustment between fiscal revenue and fiscal expenditure is asymmetric.So tradition linear cointegration model cannot explain the process of the sustainability of fiscal deficit.The paper introduces a two-regime threshold cointegration model,which can explain the nonlinear adjustment to long-run equilibrium.The paper also gives the parameter estimation,tests statistics of the model,and compute the critical threshold value and p-value.Finally,it applies the model to analyze the sustainability of fiscal deficit.The authors find that in our country the fiscal deficit has a threshold cointegration and keep up the sustainability from 1952 to 2004,making use of the nonlinear adjustment between fiscal revenue and fiscal expenditure.更多还原