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中文摘要：
开放经济条件下财政冲击会影响一国的国际竞争力和外部均衡。本文采用PVAR方法研究了OECD国家的各种财政支出对实际汇率的冲击效应。研究发现,财政支出对实际汇率的冲击效应,不但与财政支出的分类有关,而且与汇率制度有关。在固定汇率制度框架下,实际汇率倾向于升值;在浮动汇率制度框架下,实际汇率倾向于贬值。而对于冲击效应的大小和持久性而言,各种财政支出具有显著的差异,相对于财政消费支出,财政投资支出具有更大更持久的冲击效应;相对于财政非工资消费支出,财政工资消费支出具有更大更持久的冲击效应。就时间维度而言,实际汇率的财政支出冲击效应存在着与时弱化现象。
英文摘要：
This paper makes a contribution to the literature on fiscal shocks in open economies by estimating the effects of different government spending shocks on the real exchange rate of eighteen OECD countries.We find that not only the composition of the spending shock matters,but also the exchange rate regime matters.We note that the real appreciation tends to occur in a panel of countries characterized by fixed nominal exchange rates,while the real depreciation tends to occur in a panel of countries that are characterized by floating nominal exchange rates.We find that the real exchange rate gives different responses to different government spending shocks.Moreover,we identify the differences across the components of government spending,with shocks to public investment generating a larger and more persistent impact on the real exchange rate than shocks to government consumption.Within the latter category,we also find that the impact of shocks to the wage component of government consumption is larger and more persistent than that of shocks to the non-wage components.
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