2014年-IMF国际货币组织全球_Deep_Roots_of_Fiscal_Behavior_40页_1mb

Summary of "Deep Roots of Fiscal Behavior"

Core Content

This paper, authored by Serhan Cevik and Katerina Teksoz and published by the IMF in March 2014, investigates the determinants of fiscal policy behavior and its time-varying volatility across advanced and emerging market economies from 1990 to 2012. It focuses on the cyclically adjusted primary budget balance (CAPB) as a measure of discretionary fiscal policy and employs a dynamic panel data approach using the Generalized Method of Moments (GMM) to address endogeneity and country-specific heterogeneity.

Main Views and Key Findings

A. Fiscal Policy Behavior

• Procyclical nature: Discretionary fiscal policy is generally procyclical in both advanced and emerging market economies, contrary to theoretical expectations of neutrality or countercyclical behavior.
• Policy inertia: Fiscal policy exhibits a high degree of inertia, as evidenced by the positive and statistically significant coefficients on the lagged CAPB in all specifications.
• Public debt and output gap: The level of public debt and the output gap significantly influence fiscal policy behavior. Higher public debt leads to more volatile fiscal policy, while the output gap has a negative coefficient, indicating a procyclical response.
• Differences between economies: The effect of public debt on fiscal policy is stronger in advanced economies compared to emerging markets. Similarly, the degree of procyclicity is higher in advanced economies.
• Macroeconomic and financial factors: Real exchange rate, financial development, interest rates, asset prices, and natural resource rents are found to have a significant effect on fiscal behavior.
• Demographic and institutional factors: The old-age dependency ratio, quality of institutions, and policy anchors such as fiscal rules and IMF-supported stabilization programs are also important determinants of fiscal behavior.

B. Fiscal Policy Volatility

• Volatility trends: Fiscal policy has become more volatile post-2008-09 crisis, with the standard deviation of the CAPB increasing significantly in both groups of countries.
• Determinants of volatility: The paper identifies several factors that influence fiscal volatility, including public debt, output gap, and a range of macroeconomic and financial variables.
• Role of fiscal rules: Fiscal rules and higher institutional quality are found to reduce fiscal volatility, suggesting their importance in stabilizing fiscal policy over time.
• Institutional quality: Countries with higher institutional quality exhibit lower fiscal volatility, reinforcing the role of good governance in fiscal stability.
• Cyclical adjustments: The cyclically adjusted primary balance is used to isolate the discretionary component of fiscal policy and better understand its behavior and volatility.

Methodology and Data

• Data source: The study uses a panel dataset of 49 advanced and emerging market economies for the period 1990–2012.
• Variables included:
  • Dependent variable: Cyclically adjusted primary budget balance (CAPB)
  • Independent variables:
    • Macroeconomic: real GDP per capita, output gap, inflation, interest rates, real exchange rate
    • Financial: domestic credit, stock market capitalization, residential property prices, natural resource rents, trade openness
    • Demographic and institutional: old-age dependency ratio, institutional quality, government fragmentation, corruption, fiscal rules, and IMF programs
• Volatility measure: Standard deviation of CAPB is used to quantify fiscal policy volatility.
• Estimation techniques: The paper employs the system GMM estimator to correct for endogeneity and unobserved heterogeneity, with robustness checks using both one-step and two-step approaches.

Key Contributions

• Comprehensive analysis: The paper provides a detailed analysis of fiscal policy behavior and volatility in both advanced and emerging market economies, including the post-2008-09 crisis period.
• Balanced panel: It uses a balanced panel dataset, which is more reliable than the unbalanced panels typically used in the literature.
• Institutional and policy anchors: It emphasizes the role of institutional quality and fiscal rules in reducing fiscal volatility.
• Procyclical behavior: The results show that fiscal policy is more procyclical in advanced economies, possibly due to stronger policy implementation and forecast accuracy.

Conclusion

The study concludes that discretionary fiscal policy is influenced by a variety of macro-financial and institutional factors, with higher public debt leading to increased volatility. Fiscal rules and strong institutions are found to be effective in reducing this volatility. The paper also highlights the increased procyclical nature of fiscal policy in the post-crisis period, suggesting a need for more stable and rule-based fiscal frameworks to ensure long-term fiscal sustainability.