A quantitative study of Hong Kong's fiscal policy.

香港自1983年10月實施聯繫匯率制度開始，財政政策便成為香港政府唯一穩定經濟的措施。為了善用有限的財政儲備，本文嘗試建立一個計量模型，以作評估財政政策對香港經濟的影響。Jha et al. (2010)曾指出香港政府增加財政支出會對經濟有顯著的負面影響，而利用Ravn et al. (2007)的結構向量自回歸（SVAR）模型亦得出相類似的結果。以上的研究結果與一般學者對財政政策的觀點有所出入，而其中一個可能性是它們所使用的計量模型中遺漏了控制變數。當加入摩根士丹利亞太區指數－MSCI AC (All countries) Pacific Index作為對外貿易環境的控制變數後，擴張性財政政策的預測結果則與之前的研究相同。在更換經修改後模型中的投資變數後，模型則預測增加財政支出並不會對投資產生擠擁效應。而經分解後的財政支出分析更顯示政策支出類型是影響財政政策效應乘數的關鍵因素。模型亦估算政府增加經常性開支會對經濟有着顯著的正面作用。若香港政府需於在短期內推行擴張性財政政策，本文建議政府應集中資源於基礎建設上，以達至財政政策效用最大化的經濟效果。Given the adoption of the linked exchange rate since October 1983, fiscal policy becomes the only measurement for stabilizing the Hong Kong economy. This paper attempts to establish a framework for evaluating the fiscal effect to prevent the abuse of fiscal measures. The empirical study of Jha et al. (2010) revealed the significant negative impact of fiscal effect in Hong Kong, which violates the classical view of fiscal policy. A similar result has been found by adopting another structural vector autoregression (SVAR) model proposed by Ravn et al. (2007). An omission of control variables in the quantitative model is possible. The MSCI AC (All countries) Pacific Index has been introduced as an international block in the SVAR model proposed by Ravn et al. (2007). The fiscal effect becomes positive and standardizes with the previous fiscal studies. The replacement of investment variable in the modified model suggests that positive fiscal innovation does not encounter with the crowding out effect on investment. The estimations for the decomposition policy expenditures indicate that compositional effect exists, and it undermines the fiscal multiplier. The estimations also reveal that the innovation in recurrent expenditure contributes mainly to the fiscal effect. With the persistence and significant impact on output, concentrating on infrastructure expenditure is the recommendation on Hong Kong fiscal policy to maximize the expansionary effect in the short run.Detailed summary in vernacular field only.Wong, Chi Shing.Thesis (M.Phil.)--Chinese University of Hong Kong, 2012.Includes bibliographical references (leaves 32-33).Abstracts also in Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- Literature Review --- p.4Chapter 2.1 --- Literature Review on Hong Kong Fiscal Policy --- p.5Chapter 2.2 --- Literature Review on the SVAR Model of Fiscal Policy --- p.5Chapter 3 --- Identification of the Structural VAR ModelChapter 3.1 --- Original ModelChapter 3.1.1 --- Identification --- p.8Chapter 3.1.2 --- Data --- p.10Chapter 3.1.3 --- Estimation --- p.10Chapter 3.2 --- Modified ModelChapter 3.2.1 --- Introduction of International Block --- p.11Chapter 3.2.2 --- Estimation --- p.13Chapter 3.2.3 --- Robustness Testing --- p.16Chapter 3.2.4 --- Crowding Out Effect --- p.17Chapter 4 --- Fiscal Effects by Policy CategoryChapter 4.1 --- Decomposition of Government Expenditure --- p.19Chapter 4.2 --- Estimation of Fiscal Impulse by Policy CategoryChapter 4.2.1 --- Total Expenditure by Policy --- p.21Chapter 4.2.2 --- Recurrent Expenditure by Policy --- p.22Chapter 4.2.3 --- Non-Recurrent Expenditure by Policy --- p.25Chapter 5 --- Comparison of the Fiscal Effects between “Asian Dragons“ --- p.26Chapter 6 --- Concluding Remarks --- p.29References --- p.32AppendixesChapter Appendix A: --- Classification of Expenditure by Policy Area Group --- p.34Chapter Appendix B: --- Estimations and Figures --- p.3