高负债是否制约货币政策？来自通胀预期的证据（英）

IsHighDebtConstrainingMonetaryPolicy? EvidencefromInflationExpectations WP/23/143 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JUN ©2023InternationalMonetaryFundWP/23/143 IMFWorkingPaper MonetaryandCapitalMarketsandWesternHemisphereDepartments IsHighDebtConstrainingMonetaryPolicy?EvidencefromInflationExpectationsPreparedbyLuisBrandao-Marques,MarcoCasiraghi,GastonGelos,OlamideHarrison,andGunes Kamber* AuthorizedfordistributionbyDavidHofman June2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:Thispaperexamineswhetherhighgovernmentdebtlevelsposeachallengetocontaininginflation.Itdoessobyassessingtheimpactofgovernmentdebtsurprisesoninflationexpectationsinadvanced-andemergingmarketeconomies.Itfindsthatdebtsurprisesraiselong-terminflationexpectationsinemergingmarketeconomiesinapersistentway,butnotinadvancedeconomies.Theeffectsarestrongerwheninitialdebtlevelsarealreadyhigh,wheninflationlevelsareinitiallyhigh,andwhendebtdollarizationissignificant.Bycontrast,debtsurpriseshaveonlymodesteffectsineconomieswithinflationtargetingregimes.Increaseddebtlevelsmaycomplicatethefightagainstinflationinemergingmarketeconomieswithhighanddollarizeddebtlevels,andweakermonetarypolicyframeworks. RECOMMENDEDCITATION: JELClassificationNumbers: E31,E41,E52,E62 Keywords: Inflationexpectations;monetarypolicy;fiscaldominance;debt Author’sE-MailAddress: lmarques@imf.org,mcasiraghi@imf.org,ggelos@imf.org,oharrison@imf.org;gkamber@imf.org WORKINGPAPERS IsHighDebtConstrainingMonetaryPolicy?EvidencefromInflationExpectations PreparedbyLuisBrandao-Marques,MarcoCasiraghi,GastonGelos,OlamideHarrison,andGunesKamber1 1TheauthorswouldliketothankGustavoAdler,BergljotBarkbu,DavidHofman,andErlendNierfortheircomments.ZoeStraussprovidedexcellentresearchassistance. Contents INTRODUCTION5THEORETICALMECHANISMS6DATAANDEMPIRICALMETHODS7 EconometricApproach7Data10RESULTS12 MainResults–EmergingMarket-vs.AdvancedEconomies12StateDependence15GovernmentDebtLevel15InflationLevel17DebtDollarization19Inflation-Targeting20ROBUSTNESS22CONCLUSION24REFERENCES25 FIGURES 1.DataAvailability11 2.Debt-to-GDPSurprisesonImpact11 3.DebtSurprisesAcrossWEOVintages12 4.Responseof5-YearInflationExpectationstoGovernmentDebtShocks,Baseline14 5.Responseof5-YearInflationExpectationstoGovernmentDebtShocks,byInitialDebt16 6.Responseof5-YearInflationExpectationstoGovernmentDebtShocks,byInitialInflationLevelClassification18 7.Responseof5-YearInflationExpectationstoGovernmentDebtShocks,EmergingMarkets—InitialFXShareofGovernmentDebt20 8.ResponseofInflationExpectationstoGovernmentDebtShocks,byInflationTargetingRegimeClassification21 9.ResponseofInflationExpectationstoGovernmentDebtSurprises,EmergingMarkets—ConditionalontheFiscalStance22 10.ResponseofInflationExpectationstoGovernmentDebtSurprises,Emerging23 TABLES 1.SummaryStatistics10 2.Responseof5-YearInflationExpectations,Baseline(FullSample)14 3.Responseof5-YearInflationExpectations,Baseline(EmergingMarkets)14 4.Responseof5-YearInflationExpectations,Baseline(AdvancedEconomies)15 5.Responseof5-YearInflationExpectations,byInitialDebtLevelClassification16 7.Responseof5-YearInflationExpectations,byInitialInflationLevel18 8.Responseof5-YearInflationExpectations,byInitialFXDebtShareClassification20 9.RegressionResults,byICRGFinancialRiskRating,EmergingMarkets24 ANNEXES ANNEXI29 ANNEXII30 Introduction TheCOVID-19crisispropelledsovereigndebtlevelsaroundtheworldtonewheights.Between2019and2022,inadvancedeconomies,debtlevelsrosefrom103.9to112.5percentofGDP,andinemergingmarketeconomies,theygrewfrom55.1to64.6percentofGDP.Sovereigndebtlevelsareexpectedtoremainhighincomingyears(IMF,2022),anddemandsonfiscalpolicyremainsubstantial.Atthesametime,higherlevelsofinterestratescouldincreasedebtservicesconsiderablyinthecomingyears. Couldtheriseingovernmentdebtlevelsposeaproblemformonetarypolicy?Thisquestionisofparticularrelevanceascentralbanksarestrugglingwiththemajorchallengeposedbyinflationarypressures.Inprinciple,variousmechanismsbywhichhighsovereigndebtlevelscancomplicatemonetarypolicymakingareconceivable.Centralbanksmaybe(seenas)hesitanttoraiseinterestratesasmuchasneededtoachievetheirinflationobjective,outofconcernfordebtsustainability.Theymayalsobeconcernedabouttheimpactofrisingratesontheirownnetincomeiftheyremunerateexcessreserves,andontheirbalancesheetsastheyproceedtoactivelyshrinkthem.Inanextremeformoffiscaldominance,peoplemaybelievethatthecentralbankcouldtrytoinflateawaypartofthedebtorresorttooutrightmonetizationoffuturedeficits,whichinturnwouldleadinflationexpectationstoshootup.Thefiscaltheoryofthepricelevelhasreformulatedthesenotions,arguingtha