MODELARE ECONOMICO FINANCIAR

curs FINAL ME-F

subcapitol III
Conf. univ. dr. Gheorghe Svoiu -Universitatea din Pitesti
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Fenomenele bugetare i fiscale constituie aspecte financiare din ce n
ce mai importante iar modelarea lor economico-financiar devine o
ncercare dificil de a uniformiza o diversitate actual de bugete ale
rilor lumii care descriu o realitate multipl, cu impact major n politici
bugetare i fiscale, att prin prisma unor aspecte legate de trendurile i
sustenabilitatea dezvoltrii economice, tradiiile sociale i culturale, dar
i prin corelare direct cu elemente structurale i conjuncturale. O
detaliere a unora dintre modelele econometrice financiare obinute prin
valorificarea seriilor de date din perioada de preaderare a Romniei la
Uniunea European este util i exemplificatoare n domeniul
construciilor posibile.
Presiunea fiscal i indicatorii acesteia (gradul de fiscalitate, indicele
fiscalitii, gradul de colectare a veniturilor etc.) subliniaz existena
unor multiple modele poteniale i specifice totodat, ce valorific factori
desprini i din alte din corelaii ntre diferite categorii de venituri
bugetare i PIB ca reper i variabil de referin.

Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
0
50000
100000
150000
200000
250000
300000
350000
400000
1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006
0
5
10
15
20
25
Evoluia opus a presiunii fiscale i a PIB, n preaderarea Romniei la UE
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Dinamica veniturilor fiscale realizate dup aderarea Romniei
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Modele econometrice financiare ale impozitului pe profit-IP i venit-IV
Dependent Variable: IP Method: Least Squares 1992-2007 Dependent Variable: IP Method: Least Squares 1992-2007
ln IP = + PIB + , unde = coeficient de elasticitate ln IV = + PIB + , unde = coeficient de elasticitate
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C -8.20 0.53 -15.35 0.00 C -4.74 1.16 -4.08 0.00
LNPIB 1.36 0.05 25.75 0.00 LNPIB 0.91 0.11 7.92 0.00
R-squared 0.98 Mean dependent var 5.23 R-squared 0.84 Mean dependent var 4.25
Adjusted R-squared 0.98 S.D. dependent var 3.09 Adjusted Rsquared 0.83 S.D. dependent var 2.24
S.E. of regression 0.43 Akaike info criterion 1.28 S.E. of regression 0.94 Akaike info criterion 2.84
Sum squared resid 2.21 Schwarz criterion 1.37 Sum squared resid 10.50 Schwarz criterion 2.93
Log likelihood -6.95 F-statistic 662.89 Log likelihood -17.85 F-statistic 62.73
Durbin-Watson stat 1.82 Prob(F-statistic) 0.00 Durbin-Watson stat 1.10 Prob(F-statistic) 0.00
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Modele econometrice financiare ale impozitelor directe-ID i indirecte-II
Dependent Variable: IP Method: Least Squares 1992-2007 Dependent Variable: IP Method: Least Squares 1992-2007
ln ID = + PIB + , unde = coeficient de elasticitate ln II = + PIB + , unde = coeficient de elasticitate
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C -6.59 0.49 -13.50 0.00 C -8.09 0.58 -13.83 0.00
LNPIB 1.25 0.05 25.94 0.00 LNPIB 1.46 0.06 25.32 0.00
R-squared 0.98 Mean dependent var 5.78 R-squared 0.98 Mean dependent var 6.37
Adjusted R-squared 0.98 S.D. dependent var 2.85 Adjusted Rsquared 0.98 S.D. dependent var 3.33
S.E. of regression 0.39 Akaike info criterion 1.10 S.E. of regression 0.47 Akaike info criterion 1.46
Sum squared resid 1.85 Schwarz criterion 1.19 Sum squared resid 2.65 Schwarz criterion 1.55
Log likelihood -5.70 F-statistic 673.09 Log likelihood -8.22 F-statistic 641.23
Durbin-Watson stat 1.88 Prob(F-statistic) 0.00 Durbin-Watson stat 1.31 Prob(F-statistic) 0.00
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Modele econometrice financiare ale veniturilor bugetare n funcie de PIB
i veniturilor din impozite indirecte n funcie de impozitele directe
Dependent Variable: IP Method: Least Squares 1992-2007 Dependent Variable: IP Method: Least Squares 1992-2007
ln VB = + PIB + , unde = coeficient de elasticitate ln II = + ln ID + , unde = coeficient de elasticitate
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C -7.25 0.70 -10.39 0.00 C 1.17 0.02 46.96 0.00
LNPIB 1.44 0.07 21.33 0.00 LNID -0.37 0.16 -2.32 0.04
R-squared 0.97 Mean dependent var 7.27 R-squared 0.99 Mean dependent var 6.37
Adjusted R-squared 0.97 S.D. dependent var 3.36 Adjusted Rsquared 0.99 S.D. dependent var 3.33
S.E. of regression 0.58 Akaike info criterion 1.87 S.E. of regression 0.26 Akaike info criterion 0.24
Sum squared resid 4.38 Schwarz criterion 1.97 Sum squared resid 0.78 Schwarz criterion 0.33
Log likelihood -12.05 F-statistic 454.78 Log likelihood 0.34 F-statistic 2205.04
Durbin-Watson stat 1.41 Prob(F-statistic) 0.00 Durbin-Watson stat 1.17 Prob(F-statistic) 0.00
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
O sinteza a modelelor econometrice financiare legate de buget i axate pe elasticitate
Scurt descriere a modelului econometric financiar, construit din
seria de date 1992-2007
Model econometric financiar
(final)
Senzitivitate
(elasticitate)
Modelarea impozitelor indirecte n funcie de PIB lnII = + PIB + *=1,46
Modelarea veniturilor bugetare n funcie de PIB lnVB = + PIB + *=1,44
Modelarea impozitului pe profit n funcie de PIB lnIP = + PIB + *=1,36
Modelarea impozitelor directe n funcie de PIB lnID= + PIB + *=1,25
Modelarea impozitelor pe venit n funcie de PIB lnIV = + PIB + *=0,91
Modelarea veniturilor din II n funcie de ID lnII = + lnID + *=1,17
Modelarea efectului cotei unice n venituri bugetare lnVB =
0
+
1
d
i
+ **
Modelarea prin recuren a veniturilor bugetare lnVB =
0
+
1
lnVB
t-1
+
2
t
i
+ ***
Note: * este coeficientul de elasticitate ** Variabila dummy a fost definit n funcie de momentul introducerii cotei
unice n Romnia (2005):



Introducerea cotei unice de impozitare a avut efecte benefice asupra veniturilor la bugetul de stat, ducnd n final la
creterea ncasrilor bugetare. *** Concluzia ultimului model prezentat este c exist o recuren n ceea ce privete
nivelul veniturilor la bugetul de stat. Cu alte cuvinte, politica de colectare a veniturilor bugetare prezint o memorie
temporal, fiind puin probabil ca trendul s se inverseze brusc. Astfel, dac ntr-un an scade ritmul de colectare a
veniturilor bugetare este de ateptat ca la nceputul anului urmtor situaia s persiste.

altfel , 1
2005 i , 0
i
d

Modelarea veniturilor i cheltuielilor bugetului de stat un model

original situat la grania cu modelul econofizic
Ponderea impozitelor indirecte i directe n total venituri fiscale i evoluia coeficientului de
concentrare-diversificare, ntre 1992 i 2000
Impozite n buget 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001
Impozite indirecte 0,389 0,485 0,453 0,491 0,513 0,488 0,626 0,688 0,725 0,700
Impozite directe 0,611 0,515 0,547 0,509 0,487 0,512 0,374 0,312 0,275 0,300
Total 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000
E
Onicescu
= (gi)
2
0,5246 0,5005 0,5044 0,5002 0,5003 0,5003 0,5318 0,5707 0,6013 0,58
Gini Struck 0,222 0,030 0,094 0,018 0,026 0,024 0,252 0,376 0,450 0,40
Ponderea impozitelor indirecte i directe n total venituri fiscale i evoluia coeficientului de
concentrare-diversificare, ntre 2001 i 2011
Impozite n buget 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Impozite indirecte 0,751 0,787 0,749 0,740 0,696 0,6546 0,6417 0,6299 0,6735 0,6995
Impozite directe 0,249 0,213 0,251 0,260 0,304 0,3454 0,3583 0,3701 0,3265 0,3005
Total 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000 1,000
E
Onicescu
= (gi)
2
0,626 0,6647 0,6240 0,6152 0,5768 0,5478 0,5402 0,5338 0,5602 0,5796
Gini - Struck 0,502 0,574 0,498 0,48 0,392 0,3092 0,2834 0,2598 0,347 0,399
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Confruntarea coeficienilor veniturilor bugetelor de stat i locale
Venituri - Buget naional 2007 2008 2009 2010 2011
E
Onicescu
0,26324 0,28008 0,23968 0,25336 0,27947
GS (Gini Struck) 0,4137 0,4360 0,3803 0,400 0,4352
Venituri - Bugete locale 2007 2008 2009 2010 2011
E
Onicescu
0,36172 0.37926 0.30018 0.25456 0.22902
GS (Gini Struck) 0,5310 0,5492 0,4612 0,4017 0,3642
Confruntarea coeficienilor cheltuielilor bugetelor de stat i locale
Cheltuieli - Buget naional 2007 2008 2009 2010 2011
E
Onicescu
0,20608 0,21038 0,20180 0,21818 0,21189
GS (Gini Struck) 0,3044 0,3124 0,2963 0,3263 0,3151
Cheltuieli - Bugete locale 2007 2008 2009 2010 2011
E
Onicescu
0,22269 0,23394 0,24541 0,20240 0,18112
GS (Gini Struck) 0,3341 0,3528 0,3710 0,2974 0,2533
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Sinteza confruntrii statistice: buget de stat - bugete locale i serii finale

Anul
Venituri (V)
Anul
Cheltuieli (C)
E
Onicescu
GS (Gini-Struck) E
Onicescu
GS (Gini-Struck)
BSV* BLV** BSV* BLV** BSC* BLC** BSC* BLC**
SER01 SER02 SER03 SER04 SER05 SER06 SER07 SER08
2007 0,26324 0.36172 0,4137 0,5310 2007 0,20608 0,22269 0,3044 0,3341
2008 0,28008 0.37926 0,4360 0,5492 2008 0,21038 0,23394 0,3124 0,3528
2009 0,23968 0.30018 0,3803 0,4612 2009 0,20180 0,24541 0,2963 0,3710
2010 0,25336 0.25456 0,400 0,4017 2010 0,21818 0,20240 0,3263 0,2974
2011 0,27947 0.22902 0,4352 0,3642 2011 0,21189 0,18112 0,3151 0,2533
Matricea de corelaie a coeficienilor de concentrare diversificare
SER01 SER02 SER03 SER04 SER05 SER06 SER07 SER08
SER01 1.000000 0.139048 0.999811 0.089485 0.348910 -0.463103 0.363803 -0.463527
SER02 0.139048 1.000000 0.140731 0.998752 -0.440322 0.732644 -0.433700 0.749548
SER03 0.999811 0.140731 1.000000 0.091147 0.357148 -0.468694 0.372016 -0.468204
SER04 0.089485 0.998752 0.091147 1.000000 -0.460497 0.761051 -0.454589 0.778006
SER05 0.348910 -0.440322 0.357148 -0.460497 1.000000 -0.688269 0.999871 -0.662719
SER06 -0.463103 0.732644 -0.468694 0.761051 -0.688269 1.000000 -0.691136 0.998617
SER07 0.363803 -0.433700 0.372016 -0.454589 0.999871 -0.691136 1.000000 -0.665657
SER08 -0.463527 0.749548 -0.468204 0.778006 -0.662719 0.998617 -0.665657 1.000000
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Matricea de corelaie a coeficienilor de concentrare diversificare pentru perioada de recesiune a
Romniei, ntre 2009 i 2011
SER01 SER02 SER03 SER04 SER05 SER06 SER07 SER08
SER01 1.000000 -0.942775 0.999858 -0.952746 0.460276 -0.931906 0.470971 -0.948558
SER02 -0.942775 1.000000 -0.948262 0.999510 -0.729947 0.999513 -0.738154 0.999842
SER03 0.999858 -0.948262 1.000000 -0.957731 0.475175 -0.937888 0.485774 -0.953760
SER04 -0.952746 0.999510 -0.957731 1.000000 -0.708204 0.998046 -0.716684 0.999909
SER05 0.460276 -0.729947 0.475175 -0.708204 1.000000 -0.750929 0.999927 -0.717672
SER06 -0.931906 0.999513 -0.937888 0.998046 -0.750929 1.000000 -0.758855 0.998799
SER07 0.470971 -0.738154 0.485774 -0.716684 0.999927 -0.758855 1.000000 -0.726035
SER08 -0.948558 0.999842 -0.953760 0.999909 -0.717672 0.998799 -0.726035 1.000000
Modele econometrice financiare de concentrare-diversificare a veniturilor n bugetul de stat n funcie de bugetele locale
Dependent Variable: BSV Method: Least Squares 2007-2012 Dependent Variable: BSV Method: Least Squares 2007-2012
BSV = + BLV + , unde = coeficient de elasticitate BSV= + BLV + , unde = coeficient de elasticitate
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C 0.3956 0.049 8.048 0.079 C 0.628 0.067 9.341 0.068
BLV (E Onicescu) -0.5287 0.187 -2.828 0.216 BLV (Gini - Struck) -0.545 0.163 -3.329 0.186
R-squared 0.888 Mean dependent var 0.257 R-squared 0.628 Mean dependent var 0.405
Adjusted R-squared 0.777 S.D. dependent var 0.020 Adjusted Rsquared -0.545 S.D. dependent var 0.028
S.E. of regression 0.010 Akaike info criterion -6.233 S.E. of regression 0.628 Akaike info criterion -5.890
Sum squared resid
9.09E-05
Schwarz criterion
-6.834
Sum squared resid
-0.545
Schwarz criterion
-6.492
Log likelihood
11.350
F-statistic
7.994
Log likelihood
0.628
F-statistic
11.084
Durbin-Watson stat
2.948
Prob(F-statistic)
0.216
Durbin-Watson stat
-0.545
Prob(F-statistic)
0.1868
Modelarea veniturilor i cheltuielilor bugetului de stat un model
original situat la grania cu modelul econofizic
Modele econometrice financiare de concentrare-diversificare a cheltuielilor n bugetul de stat n funcie de bugetele locale
Dependent Variable: BSC Method: Least Squares 2007-2012 Dependent Variable: BSC Method: Least Squares 2007-2012
BSC = + BLC + , unde = coeficient de elasticitate BSC= + BLC + , unde = coeficient de elasticitate
Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob.
C
0.250 0.035 7.109 0.089
C
0.369 0.054 6.775 0.093
BLC (E Onicescu)
-0.189 0.167 -1.137 0.459
BLC (Gini - Struck)
-0.185 0.175 -1.056 0.483
R-squared
0.564
Mean dependent var
0.211
R-squared
0.527
Mean dependent var
0.312
Adjusted R-squared
0.128
S.D. dependent var
0.008
Adjusted Rsquared
0.054
S.D. dependent var
0.015
S.E. of regression
0.008
Akaike info criterion
-6.656
S.E. of regression
0.015
Akaike info criterion
-5.361
Sum squared resid
5.96E-05
Schwarz criterion
-7.257
Sum squared resid
0.000
Schwarz criterion
-5.962
Log likelihood
11.984
F-statistic
1.293
Log likelihood
10.042
F-statistic
1.115
Durbin-Watson stat
2.927
Prob(F-statistic)
0.459
Durbin-Watson stat
2.959
Prob(F-statistic)
0.483
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