全球危机中财政规则的主权利差压缩效应（英）

PolicyResearchWorkingPaper10741 TheSovereignSpreadCompressingEffectofFiscalRulesduringGlobalCrises ErgysIslamajAgustinSamanoPenaloza ScottSommers PublicDisclosureAuthorized PublicDisclosureAuthorized DevelopmentEconomicsDevelopmentResearchGroupMarch2024 Averifiedreproducibilitypackageforthispaperisavailableathttp://reproducibility.worldbank.org,clickherefordirectaccess. PolicyResearchWorkingPaper10741 Abstract Dofiscalruleshelpsuppresssovereignspreadsduringperiodsofglobalfinancialstress?Yes!Thispaperexam-ineswhetherfiscalrulescontributetomitigatingsovereignspreadsinemergingmarketsanddevelopingeconomiesduringperiodsofheightenedfinancialandeconomicvol-atilityworldwide.Itfindsthatthepresenceoffiscalrulesisstatisticallysignificantlyassociatedwithlowersover-eignspreadsduringtheCOVID-19crisis—about350basispointsloweronaverage.Interestingly,thiscorrela-tionpersistsevenwhennationsdeviatefromtheserules, indicatinganexpectationofpost-crisiscompliance.Thestudyshowsthatdeviationsfromfiscalrulesaretypicallyshort-lived,withfiscalbalancerulesreinstatedwithin3.5years.Robustnesschecks,includingcontrolsforinstitu-tionalquality,fiscalrulestrength,andglobalandregionalfactorsconfirmtheseresults.Overall,thefindingssuggestthatfiscalrulescanhelpemergingmarketsanddevelopingeconomiessignalfiscalresponsibilityduringepisodesofglobalfinancialstress,reducingborrowingcostsrelativetocountrieswithoutfiscalrules. N I E K A R R O C W H P S R O L E I P C A Y P TRANSPARENT ANALYSIS G E S R ThispaperisaproductoftheDevelopmentResearchGroup,DevelopmentEconomics.ItispartofalargereffortbytheWorldBanktoprovideopenaccesstoitsresearchandmakeacontributiontodevelopmentpolicydiscussionsaroundtheworld.PolicyResearchWorkingPapersarealsopostedontheWebathttp://www.worldbank.org/prwp.Theauthorsmaybecontactedateislamaj@worldbank.org;asamanopenaloza@worldbank.org;andsomme450@umn.edu.Averifiedreproducibilitypackageforthispaperisavailableathttp://reproducibility.worldbank.org,clickherefordirectaccess. ThePolicyResearchWorkingPaperSeriesdisseminatesthefindingsofworkinprogresstoencouragetheexchangeofideasaboutdevelopmentissues.Anobjectiveoftheseriesistogetthefindingsoutquickly,evenifthepresentationsarelessthanfullypolished.Thepaperscarrythenamesoftheauthorsandshouldbecitedaccordingly.Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheInternationalBankforReconstructionandDevelopment/WorldBankanditsaffiliatedorganizations,orthoseoftheExecutiveDirectorsoftheWorldBankorthegovernmentstheyrepresent. ProducedbytheResearchSupportTeam TheSovereignSpreadCompressingEffectofFiscalRulesduringGlobalCrises ErgysIslamaj*AgustinSamanoPenaloza†ScottSommers‡ Keywords:fiscalrules,sovereignspreads,Covid-19crisis JELclassification:F34,F41 Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheWorldBankGroup,itsExecutiveDirectors,orthegovernmentstheyrepresent.WeareparticularlythankfultoAadityaMattooforallhissupport.Forhelpfulcomments,wethankRomanAcosta,FranciscoBullano,CarlosEsquivel,SergioL.Schmukler,KurtSee,aswellasconferenceparticipantsattheWorkshopoftheAustralasianMacroeconomicsSociety,KualaLumpur,Malaysiaforhelpfulcommentsanddiscussions.Anyremainingerrorsareourown. *TheWorldBankDevelopmentProspectsGroup,EastAsiaandPacificChiefEconomistOffice,Washington,D.C.;Email:eislamaj@worldbank.org †TheWorldBankResearchDepartment,EastAsiaandPacificChiefEconomistResearchCenter,KualaLumpur,Malaysia;Email:asamanopenaloza@worldbank.org;Web:http://www.agustinsamano.com/ ‡DepartmentofEconomics,UniversityofMinnesota.Email:somme450@umn.edu;Web:http://sites.google.com/view/scottsommers/ 1.Introduction Sovereignspreadsroserapidlyinemergingmarketsanddevelopingeconomies(EMDEs)attheonsetoftheCovid-19pandemic,aperiodduringwhichgovernmentsfacedrisingborrowingcostsandfiscalexpansionneeds,albeitatvaryingdegreeacrosscountries.WeempiricallyinvestigatewhethertheexistenceofafiscalrulewasassociatedwithlowerorhighersovereignspreadsinEMDEsduringtherecentCovid-19pandemicshock.1Intheory,therelationbetweentheexistenceofafiscalruleandsovereignspreadsduringeconomicdownturnsisambiguous.Ontheonehand,fiscalrulescouldsignalfiscalresponsibilityandserveasacommitmentdevicetoreassurefinancialmarkets’confidence,loweringsovereignspreads.Ontheotherhand,fiscalrulesmightexacerbatethenegativeshockbyconstrainingthegovernment’sflexibilitytoconductcountercyclicalfiscalpolicy,risingevenmoresovereignspreads.2 WefirstdocumenttrendsinfiscalruleadoptionpriortoandthroughouttherecentpandemicusingtheIMFFiscalRuleDataset(IMF,2022).Wethenempiricallyinvestigatewhetherfiscalrulesareassociatedwithlowerspreadsandwhetherthisrelationshipheldthroughthepandemic.Next,wedistinguishbetweenrulesthatwerecontinuallyenforcedthroughoutthepandemic,rulesthatweretemporarilyabandonedduetoescapeclauseusage,andrulesthatweresuspendedduetodiscretionaryfiscalpolicy.Ineachoftheempiricalanalysesdescribedabove,w