2018年-IMF国际货币组织全球_Portugal_Selected_Issues_93页_1mb

Summary of the Selected Issues Paper on Portugal

Core Content

This document provides an in-depth analysis of financial conditions, private investment, public investment, deleveraging, profit margins, and the current account adjustment in Portugal, focusing on their implications for GDP growth and financial stability. It is based on data up to August 21, 2018, and is part of the International Monetary Fund (IMF) periodic consultation with Portugal.

Main Views

Financial Conditions and Growth at Risk

• Financial imbalances tend to build up in good times, creating downside risks to economic growth.
• The "Growth-at-Risk" (GaR) methodology, developed in the 2017 IMF Global Financial Stability Report, is applied to estimate downside risks to GDP growth in Portugal.
• The methodology involves three steps: partitioning financial indicators into subgroups, estimating quantile regressions to model future GDP growth, and fitting a skewed t-distribution to derive probability density functions for growth risks.

Macroeconomic and Financial Environment

• Portugal experienced a strong GDP growth in 2017, reaching 2.7%, the highest since 2000.
• Despite this, financial imbalances remain high, with private sector debt (households and non-financial corporations) at 74% and 138% of GDP respectively, and public debt at 126% of GDP.
• The banking sector still faces challenges with non-performing loans (NPLs) at 13.3% of total loans and modest profitability prospects.
• The housing market shows continued price increases, raising concerns about potential financial instability if credit conditions remain loose.

Financial Conditions Measurement

• Two approaches are used to measure financial conditions: the univariate approach and the partitioning approach.
• The partitioning approach, as developed in the 2017 GFSR, groups financial indicators into three categories: Price of Risk, Credit Aggregates, and External Conditions.
• The weights for each group are determined using Linear Discriminant Analysis (LDA), which maximizes the separability between periods of low GDP growth and the rest.

Key Financial Indicators

• Price of Risk: Includes interbank rates, sovereign spreads, term spreads, PSE-20 P/E ratio, and house price returns.
• Credit Aggregates: Reflects credit to GDP and credit growth, particularly for households and non-financial corporations.
• External Conditions: Involves the exchange rate, oil prices, and real GDP growth (euro area excluding Portugal).

Estimation of Downside Risks

• Quantile regressions are used to estimate the conditional quantiles of GDP growth at various horizons.
• A skewed t-distribution is fitted to the empirical conditional quantile function to derive probability density functions.
• Based on financial conditions in 2018:Q1, the model suggests that a 5% left tail risk would result in GDP growth below 1.3% in one year and below 0.9% in two to three years.
• These risks are relatively moderate, reflecting the supportive monetary policies and tight fiscal policies in Portugal.

Policy Implications

• The price of risk is a strong short-term indicator, while credit aggregates are more significant for medium-term risks.
• The analysis supports the need for macroprudential policies to monitor and mitigate excessive risk-taking, especially given the high leverage in the economy.
• Structural reforms are essential to improve investment and productivity, particularly in the context of demographic challenges.

Key Information

• GDP Growth: Reached 2.7% in 2017, the highest since 2000, but still faces downside risks.
• Debt Levels: Non-financial private sector debt is 138% of GDP, household debt is 74% of GDP, and public debt is 126% of GDP.
• Non-Performing Loans (NPLs): Remain high at 13.3% of total loans.
• Financial Conditions: Low price of risk and compressed risk premia are associated with supportive monetary policies and tight fiscal policies.
• Investment Trends: Corporate investment has driven the recovery, while household investment has remained flat.
• Structural Reforms: Needed to address issues like excessive regulation, labor market rigidities, and inadequate access to finance.
• Demographic Challenges: Ageing population and declining workforce will reduce labor contributions and increase pressure on social programs.
• Public Investment: Remains low compared to other countries, with a focus on infrastructure and public-private partnerships (PPPs).
• Deleveraging: Ongoing since 2012, but financial conditions may still incentivize excessive borrowing.

Structure of the Paper

1. Financial Conditions and Growth at Risk:

   • Introduction
   • Macro-financial environment
   • Measuring financial conditions
   • Estimating risks to GDP growth
   • Policy implications and conclusion

2. Private Investment:

   • Introduction
   • Investment and capital: From crisis to recovery
   • Business investment: Drivers of recovery
   • Investment and medium-term growth: Structural bottlenecks
   • Policy implications

3. Public Investment:

   • Trends in total public investment and capital stock
   • Data and figures on public investment

4. Deleveraging and Profit Margins:

   • Deleveraging in Portugal
   • Profit margins and unit labor costs
   • Concluding remarks

5. Current Account Adjustment:

   • Introduction
   • The current account adjustment
   • Portugal in event studies of large current account adjustments
   • Fundamental and policy drivers of the current account
   • Conclusions

6. External Adjustment:

   • Introduction
   • Stylized facts about the external balance sheet
   • External sustainability assessment
   • Deterministic and probabilistic analysis
   • Conclusions

7. Legal and Institutional Framework for Debt Enforcement and Insolvency:

   • Introduction
   • Recent reforms
   • Market perceptions and indicators
   • Conclusions

Figures and Tables

• Figure 1: Macro-financial developments (Credit to the Private Sector)
• Figure 2: Partitioned financial indicators 1999-2018
• Figure 3: Quantile regressions coefficients
• Figure 4: Probability densities of GDP growth four and eight quarters ahead
• Table 1: Partition groups for financial conditions
• Annex I: Data sources for financial indicators

References

• Adrian, Tobias, Nina Boyarchenko, and Domenico Giannone (2016)
• Azzalini, Adelchi, and Antonella Capitanio (2003)
• Claessens, Stijn, Ayhan Kose, and Marco Terrones (2011a, 2011b)
• Duda, Richard O., Peter E. Hart, and David G. Stork (2001)
• European Central Bank (2018)
• Giot, Pierre, and Sébastien Laurent (2003)
• IMF (2017)
• Izenman, Alan J. (2013)
• Koenker, Roger (2005)
• Koop, Gary, and Dimitris Korobilis (2014)
• Lambert, Philippe, and Sébastien Laurent (2002)