世界发展银行-One-Rule-Fits-All--Heterogeneous-Fiscal-Rules-for-Commodity-Exporters-When-Price-Shocks-Can------------Be-Persistent---Theory-and-Evidence_51页_1mb

Summary of "One Rule Fits All? Heterogeneous Fiscal Rules for Commodity Exporters When Price Shocks Can Be Persistent"

Core Content

This paper challenges the conventional wisdom that commodity-exporting developing economies should adopt acyclical fiscal rules to smooth consumption and stabilize the economy. Instead, it argues that the optimal fiscal policy depends on the persistence of commodity price shocks and the exchange rate (ER) regime. The authors use a New Keynesian (NK) model to analyze how fiscal policy should respond to commodity price shocks and present empirical evidence to support their theoretical findings.

Main Viewpoints

• Fiscal Policy Heterogeneity: The optimal fiscal rule is not one-size-fits-all. It varies based on the persistence of commodity price shocks and the ER regime.
• Floating vs. Fixed ER Regimes:
  • In countries with floating ERs, fiscal policy is often procyclical because persistent commodity price shocks are better smoothed by spending during booms, consistent with the permanent income hypothesis (PIH).
  • In countries with fixed ERs, fiscal policy should be countercyclical to stabilize the economy since monetary policy is less effective, and persistent shocks lead to large output gaps.
• Theoretical Model Insights:
  • The model incorporates financially constrained households, hand-to-mouth households, and Ricardian households.
  • The marginal propensity to spend (MPS) is defined as the fraction of extra commodity revenue spent, depending on the time horizon and the type of shock.
  • For floating ERs, the optimal MPS is higher (e.g., 0.5) than for fixed ERs (e.g., -0.2), and it increases with the persistence of price shocks.
• Empirical Findings:
  • The average MPS across emerging market developing economies (EMDEs) is 0.25, indicating moderate procyclicality.
  • In Sub-Saharan Africa (SSA), the average MPS is 0.3, which is higher than in other developing countries, suggesting more procyclical fiscal policy.
  • For a typical SSA country with a floating ER, the optimal MPS is 0.5, while for a fixed ER country, it is -0.2.
  • The divergence in MPS by ER regime increases with the persistence of commodity price shocks, which is more pronounced in SSA.
• Local Content Restrictions:
  • These can reduce the procyclicality of fiscal policy by shifting some revenues directly to households.
  • For example, with $\gamma = 20%$, the optimal MPS for floating ER countries drops from 0.5 to 0.375, and for fixed ER countries, from -0.2 to -0.3.

Key Information

• Model Structure: Based on a canonical NK small open economy model with incomplete markets, hand-to-mouth households, and Ricardian households.
• Calibration: The model is calibrated to a typical SSA commodity exporter, using data from 2000–2018.
• Commodity Price Persistence: The median half-life of commodity price shocks is 5.4 years, with some shocks lasting up to 24 years.
• Methodology: The authors introduce a new empirical measure of fiscal cyclicality, the MPS, and estimate it using a panel of 54 EMDEs over 1980–2016.
• Instrumentation: To address potential endogeneity in commodity revenues, the authors use a country-specific commodity price index scaled by GDP.
• Empirical vs. Theoretical Discrepancy:
  • Overall, fiscal policy in EMDEs is too acyclical compared to the model's predictions.
  • In SSA, it is too procyclical for both ER regimes.
  • The divergence in MPS by ER regimes is more extreme in SSA than in other regions.

Conclusion

The paper highlights the importance of considering the persistence of commodity price shocks and ER regimes when designing fiscal rules. It suggests that procyclical fiscal policy may be optimal for countries with floating ERs and persistent price shocks, while countercyclical policy is more appropriate for those with fixed ERs. Empirically, the authors find that fiscal policy is moderately procyclical overall but highly heterogeneous across countries, especially in SSA. They also emphasize the limitations of atheoretical measures of fiscal cyclicality, which can lead to misleading conclusions about procyclicality across countries.

Structure of the Paper

• Section I: Introduction
• Section II: Related Literature
• Section III: Optimal Fiscal Rules in a New Keynesian Model
  • Subsection A: Model Overview
  • Subsection B: Calibration to Sub-Saharan African Countries
  • Subsection C: Optimal MPS for Commodity Revenues
  • Subsection D: Dynamic Response to Price Shocks
  • Subsection E: Optimal Rules for Different Persistence Levels
  • Subsection G: Robustness Test with Local Content
• Section IV: Existing Measures of Cyclicality and Methodology
• Section V: Empirical Estimation of MPS
• Section VI: Conclusion

Key Terms

• Fiscal Rules: Policy instruments that guide government spending based on revenue fluctuations.
• Marginal Propensity to Spend (MPS): The fraction of extra commodity revenue spent, depending on the time horizon and shock persistence.
• New Keynesian Model: A macroeconomic model that incorporates sticky prices and imperfect competition.
• Exchange Rate Regime: Determines the effectiveness of monetary and fiscal policy in stabilizing the economy.
• Local Content Restrictions: Policies that direct a portion of commodity revenues to domestic households, affecting the optimal fiscal rule.