【IMF】财政政策不确定性的经济影响：来自新跨国数据库的证据-2024.9_59页_2mb

IMF Working Paper Summary

Title: The Economic Impact of Fiscal Policy Uncertainty: Evidence from a New Cross-Country Database

Authors: Gee Hee Hong, Shikun (Barry) Ke, Anh D. M. Nguyen
Publication: IMF Working Paper WP/24/209, September 2024
Key Points:

1. Database Construction:

   • Created a novel news-based fiscal policy uncertainty (FPU) database for 189 countries using over 47 million news articles from Dow Jones Factiva (1977–2024).
   • Keywords capture fiscal policy (taxes, spending, debt), policy authorities (government, parliament, congress), and uncertainty (risk, ambiguity, unpredictability).
   • Validates index accuracy through human audits, comparison with alternative measures (e.g., stochastic volatility, LLM analysis), and correlation with existing indicators.

2. Main Findings:

   • Global Fiscal Policy Uncertainty (GFPU) has contractionary effects, reducing industrial production by ≈0.5% (1 SD shock) in both advanced and emerging economies.
   • GFPU increases sovereign borrowing costs and tightens financial conditions, with a stronger impact in emerging markets (EMBI spreads rise by 30 bps).
   • Cross-country spillovers are significant: GFPU shocks amplify domestic FPU effects via global financial channels, with EMs being more vulnerable.
   • GFPU influences the global financial cycle, even after controlling for US monetary policy shocks. Its effects on risky assets and risk aversion are linked to "agreed uncertainty" (widespread consensus on ambiguity).

3. Methodology:

   • Uses Bayesian VAR models with Cholesky decomposition and sign restrictions to isolate GFPU shocks.
   • Employs news-based and LLM methods for FPU measurement, complementing traditional economic data.

4. Policy Implications:

   • High public debt and political polarization amplify FPU effects.
   • Policymakers should address fiscal uncertainty to stabilize markets and reduce economic volatility.
   • Future research: Non-linear transmission of shocks, role of institutional quality, and interaction with global events (e.g., US fiscal policy).

Conclusion: Fiscal policy uncertainty (both domestic and global) significantly hampers economic activity and financial stability, with substantial cross-country spillovers. The new database and findings offer tools for policymakers and researchers to quantify and mitigate these effects.