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高负债是否制约货币政策？来自通胀预期的证据（英）

金融2023-06-01IMF后***

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This paper examines the impact of high government debt on monetary policy in advanced and emerging market economies. It finds that government debt surprises lead to persistent increases in inflation expectations in emerging market economies, but not in advanced economies. The effects are stronger when initial debt levels are high, when inflation levels are initially high, and when debt dollarization is significant. However, debt surprises have only modest effects in economies with inflation targeting regimes. The findings suggest that high government debt levels may pose a challenge to containing inflation in emerging market economies, but not in advanced economies.

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

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