2017年-PIIE彼得森国际经济研究所_Will_Rising_Interest_Rates_Lead_to_Fiscal_Crises__7页_251kb

报告摘要

POLICY BRIEF Summary: Will Rising Interest Rates Lead to Fiscal Crises?

Core Content

This policy brief by Olivier J. Blanchard and Jeromin Zettelmeyer examines whether rising interest rates in the context of high public debt and low growth could lead to fiscal crises in advanced economies. The authors analyze the risks and potential outcomes, focusing on Japan and Italy as key examples.

Main Risks and Dimensions

The authors identify four key dimensions that could contribute to fiscal crises:

High Public Debt: Many advanced countries, including five G-7 nations, have public debt at postwar highs. Only Germany has seen a reduction since the crisis.
Declining Productivity Growth: This has led to lower potential growth, creating uncertainty about future economic performance.
Uncertainty in Interest Rate Increases: The magnitude and pace of rate hikes are unclear, but they are expected to rise from current low levels.
Populist Movements: These movements often advocate for risky macroeconomic policies, which could undermine fiscal discipline.

Key Findings

Despite these risks, the authors argue that a fiscal crisis is not necessarily inevitable. They present two main reasons for this conclusion:

Maturity Structure of Debt: Many advanced countries have long-term public debt, which means that the immediate impact of rising interest rates on interest payments is limited. For example, in Japan, less than 30% of GDP comes due in 2017, and less than 50% by the end of 2018. This gives governments time to adjust.
Growth as a Counterbalance: Rising interest rates may be offset by higher economic growth. As nominal output increases, the debt-to-GDP ratio tends to fall, improving long-term debt sustainability.

Case Study: Japan

Debt Levels: Japan's gross debt exceeds 200% of GDP, and net debt is around 120% of GDP.
Current Interest Rates: Very low, driven by domestic demand and the Bank of Japan's (BoJ) bond-buying program.
Potential Risks: If investors lose confidence and demand higher risk premiums, the BoJ might intervene, leading to yen depreciation and inflation. This could reduce real debt and improve fiscal sustainability.
Fiscal Adjustment Needs: A 0.5% annual fiscal consolidation would suffice to reduce the debt-to-GDP ratio. However, if the BoJ stops buying bonds, the government would need to make more significant adjustments.

Case Study: Italy

Debt Levels: Italy's debt-to-GDP ratio is around 132%, with a primary fiscal deficit of about 1.4% of GDP in 2016.
Growth Outlook: Italy has a significant output gap and recent progress in banking sector cleanup suggests potential for growth.
Potential Risks: Unlike Japan, Italy cannot depreciate its currency, so a fiscal crisis could lead to a sovereign default. However, the required fiscal adjustment to stabilize debt is much smaller than in Greece.
European Response: The European Stability Mechanism (ESM), along with the ECB, could provide support in the form of Outright Monetary Transactions. A restructuring of Italian debt is unlikely due to the smaller adjustment needed compared to Greece.

Conclusion

The combination of high debt, rising interest rates, and low growth could create fiscal challenges, but not necessarily crises. The authors caution that populist movements could exacerbate these risks, but the current fiscal adjustment needs are manageable. The long maturity of public debt provides a buffer, and growth can offset the effects of higher interest rates. While the risks are real, they are not unmanageable, especially for Italy, where the required fiscal adjustment is significantly less than for Greece.

Figures and Data

Figure 1: General government debt in G-7 countries.
Figure 2: Maturity profile of public debt in Japan (2017-30).
Figure 3: Output gaps in selected euro area countries.
Figure 4: Required fiscal adjustment to stabilize the debt-to-GDP ratio for Japan, Italy, and Greece.

References

Blanchard, Olivier, and Adam S. Posen. 2015. Getting Serious about Wage Inflation in Japan. Nikkei Asian Review, December 15.
European Commission. 2017. Debt Sustainability Monitor 2016. Institutional Paper O47 (January).
IMF. 2016. Japan. IMF Country Report No. 16/267 (August).
Hoshi, Takeo, and Takatoshi Ito. 2014. Defying Gravity: Can Japanese Sovereign Debt Continue to Increase Without a Crisis? Economic Policy, no. 77 (January): 5-44.
Reis, Ricardo. 2017. QE in the Future: The Central Bank's Balance Sheet in a Fiscal Crisis. IMF Economic Review 65, no. 1 (April): 72-112.

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