重新审视财政政策的反周期性（英）

RevisitingtheCountercyclicalityofFiscalPolicy JoãoTovarJalles,YoussoufKiendrebeogo,W.RaphaelLam,andRobertoPiazza WP/23/89 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 APR ©2023InternationalMonetaryFundWP/23/89 IMFWorkingPaper FiscalAffairsDepartment RevisitingtheCountercyclicalityofFiscalPolicy PreparedbyJoãoTovarJalles,YoussoufKiendrebeogo,RaphaelLam,andRobertoPiazza* AuthorizedfordistributionbyPauloMedas April2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ViewsexpressedherealsodonotrepresenttheviewsofUniversityofLisbon´sSchoolofEconomicsandManagement. Abstract:Thispaperprovidesanoveldatasetoftime-varyingmeasuresonthedegreeofcountercyclicalityoffiscalpoliciesforadvancedanddevelopingeconomiesbetween1980and2021.Theuseoftime-varyingmeasuresoffiscalstabilization,withspecialattentiontopotentialendogenityissues,overcomesthemajorlimitationofpreviousstudiesandalllowstheanalysistoaccountforbothcountry-specificaswellasglobalfactors.Thepaperalsoexaminesthekeydeterminantsofcountercyclicalityoffiscalpolicywithafocusonfactorsasseverecrises,informality,financialdevelopment,andgovernance.Empiricalresultsshowthat(i)fiscalpolicytendstobemorecounter-cyclicalduringseverecrisesthantypicalrecessions,especiallyforadvancedeconomies;(ii)fiscalcounter-cyclicalityhasincreasedovertimeformanyeconomiesoverthelasttwodecades;(iii)discretionaryandautomaticcountercyclicalityarebothstronginadvancedeconomiesbutacyclical(attimesprocyclical)inlow-incomecountries,(iv)fiscalcountercyclicalityoperatesprimarilythroughtheexpenditurechannel,particularlyforsocialbenefits,(vi)betterfinancialdevelopment,largergovernmentsizeandstrongerinstitutionalqualityareassociatedwithlargercountercyclicaleffectsoffiscalpolicy.Ourresultsarerobusttovariousspecificationsandendogeneitychecks. RECOMMENDEDCITATION:Jalles,J.,Y.Kiendrebeogo,W.R.Lam.,andR.Piazza.2023.“RevisitingFiscalCountercyclicality”,IMFWorkingPaperNo.23/89,Washington,D.C. JELClassificationNumbers: E32,E62,H50,H62 Keywords: Countercyclicalfiscalpolicy;automaticstabilizers;discretionaryficsalpolicy;fiscalmultipliers;stabilizationcoefficients;localprojection Authors’E-MailAddress: joaojalles@gmail.com;ykiendrebeogo@imf.org;wlam@imf.org *TheauthorsaregratefulforparticipantsoftheFADseminarattheFiscalAffairsDepartmentoftheInternationalMonetaryFund(IMF)forhelpfulcommentsandsuggestions.AndrewWomerprovidedexcellentresearchassistance.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. WORKINGPAPERS RevisitingtheCountercyclicalityofFiscalPolicy PreparedbyJoaoJalles,YoussoufKiendrebeogo,W.RaphaelLam,andRobertoPiazza Contents I.Introduction3 II.LiteratureReview4 III.MethodologicalFrameworkandData6 A.Methodologicalframework6 B.MeasuringtheCountercyclicalityofFiscalPolicy7 C.DeterminantsofFiscalCountercyclicality8 IV.EmpiricalResults12 A.Degreeoffiscalcountercyclicalityacrosscountriesandovertime12 B.Fiscalstabilization:gettinggranularonbudgetcomponents15 C.Determinantsoffiscalstabilization16 V.Conclusions22 References25 Figures 1.AddressingPotentialEndogeneityinEstimatingFiscalCountercyclicalityCoefficients12 2.ComponentsofFiscalCountercyclicality,1980-202113 3.DistributionFiscalCountercyclicalityCoefficientsbyIncomeGroups14 4.InterquartileRangeofTime-VaryingFiscalCountercyclicality14 5.FiscalCountercyclicalityinLargeCrises15 Tables 1.OverallFiscalCountercyclicality,1980-202112 2.CountercyclicalPropertiesofGovernmentRevenues15 3.CountercyclicalPropertiesofGovernmentExpenditures16 4.KeyDeterminantsoftheCountercyclicalityofFiscalPolicy,1990-202117 5.DeterminantsofFiscalStabilizationforAdvancedEconomies,1990-202118 6.DeterminantsofFiscalStabilizationforEmergingMarketsandDevelopingEconomies,1990-202119 7.DeterminantsofAutomaticStabilizers,1990-202120 8.DeterminantsofCountercyclicalityofFiscalPolicy,RobustnesscheckwithAlternativeSpecifications21 9.ASummaryontheDeterminantsofCountercyclicalityofFiscalPolicy:DistinguishingbetweenHighand Low-DebtCountries22 I.Introduction Viewsontheappropriatefiscalresponsetoadverseeventshavebeenreshapedbytheexperiencegainedduringseverecrises.Beforetheglobalfinancialcrises,discretionaryfiscalresponsesweredeemedtoosloworhardtounwind(Blanchard,Dell’Ariccia,andMauro2010;Blinder2016),andautomaticstabilizers—built-inmechanisminthebudgetthatraisesspendingorreducesrevenuecollectionduringadverseshocks—wereconsideredsufficient.Duringtheunprecedentedglobalshockofthepandemic,politicalconsensusmadeitpossibletodeployevenmorerapid,diverse,andnovelmeasures.Fiscalinterventionsduringtheglobalfinancialcrisisshoredupprivatesectorbal