IMF-高负债是否制约货币政策？来自通胀预期的证据（英）-2023-WN7.pdf

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1、Is High Debt Constraining Monetary Policy?Evidence from Inflation Expectations WP/23/WP/23/143IMF Working Papers describe research in progress by the author(s)and are published to elicit comments and to encourage debate.The views expressed in IMF Working Papers are those of the author(s)and do not n

2、ecessarily represent the views of the IMF,its Executive Board,or IMF management.2023 JUN 2023 International Monetary Fund WP/23/143IMF Working Paper Monetary and Capital Markets and Western Hemisphere Departments Is High Debt Constraining Monetary Policy?Evidence from Inflation Expectations Prepared

3、 by Luis Brandao-Marques,Marco Casiraghi,Gaston Gelos,Olamide Harrison,and Gunes Kamber*Authorized for distribution by David Hofman June 2023IMF Working Papers describe research in progress by the author(s)and are published to elicit comments and to encourage debate.The views expressed in IMF Workin

4、g Papers are those of the author(s)and do not necessarily represent the views of the IMF,its Executive Board,or IMF management.ABSTRACT:This paper examines whether high government debt levels pose a challenge to containing inflation.It does so by assessing the impact of government debt surprises on

5、inflation expectations in advanced-and emerging market economies.It finds that debt surprises raise long-term inflation expectations in emerging market economies in a persistent way,but not in advanced economies.The effects are stronger when initial debt levels are already high,when inflation levels

6、 are initially high,and when debt dollarization is significant.By contrast,debt surprises have only modest effects in economies with inflation targeting regimes.Increased debt levels may complicate the fight against inflation in emerging market economies with high and dollarized debt levels,and weak

7、er monetary policy frameworks.RECOMMENDED CITATION:JEL Classification Numbers:E31,E41,E52,E62 Keywords:Authors E-Mail Address:Inflation expectations;monetary policy;fiscal dominance;debt lmarquesimf.org,mcasiraghiimf.org,ggelosimf.org,oharrisonimf.org;gkamberimf.org IMF WORKING PAPERS Debt Surprises

8、 and Inflation Expectations INTERNATIONAL MONETARY FUND 3 WORKING PAPERS Is High Debt Constraining Monetary Policy?Evidence from Inflation Expectations Prepared by Luis Brandao-Marques,Marco Casiraghi,Gaston Gelos,Olamide Harrison,and Gunes Kamber1 1 The authors would like to thank Gustavo Adler,Ber

9、gljot Barkbu,David Hofman,and Erlend Nier for their comments.Zoe Strauss provided excellent research assistance.IMF WORKING PAPERS Debt Surprises and Inflation Expectations INTERNATIONAL MONETARY FUND 4 Contents INTRODUCTION _ 5 THEORETICAL MECHANISMS _ 6 DATA AND EMPIRICAL METHODS _ 7 Econometric A

10、pproach _ 7 Data _ 10 RESULTS _ 12 Main Results Emerging Market-vs.Advanced Economies _ 12 State Dependence _ 15 Government Debt Level _ 15 Inflation Level _ 17 Debt Dollarization _ 19 Inflation-Targeting _ 20 ROBUSTNESS _ 22 CONCLUSION _ 24 REFERENCES _ 25 FIGURES 1.Data Availability _ 112.Debt-to-

11、GDP Surprises on Impact _ 113.Debt Surprises Across WEO Vintages _ 124.Response of 5-Year Inflation Expectations to Government Debt Shocks,Baseline _ 145.Response of 5-Year Inflation Expectations to Government Debt Shocks,by Initial Debt _ 166.Response of 5-Year Inflation Expectations to Government

12、Debt Shocks,by Initial Inflation LevelClassification _ 187.Response of 5-Year Inflation Expectations to Government Debt Shocks,Emerging MarketsInitial FXShare of Government Debt _ 208.Response of Inflation Expectations to Government Debt Shocks,by Inflation Targeting RegimeClassification _ 219.Respo

13、nse of Inflation Expectations to Government Debt Surprises,Emerging MarketsConditional onthe Fiscal Stance _ 2210.Response of Inflation Expectations to Government Debt Surprises,Emerging _ 23TABLES 1.Summary Statistics _ 102.Response of 5-Year Inflation Expectations,Baseline(Full Sample)_ 143.Respon

14、se of 5-Year Inflation Expectations,Baseline(Emerging Markets)_ 144.Response of 5-Year Inflation Expectations,Baseline(Advanced Economies)_ 155.Response of 5-Year Inflation Expectations,by Initial Debt Level Classification _ 167.Response of 5-Year Inflation Expectations,by Initial Inflation Level _

15、188.Response of 5-Year Inflation Expectations,by Initial FX Debt Share Classification _ 209.Regression Results,by ICRG Financial Risk Rating,Emerging Markets _ 24ANNEXES ANNEX I _ 29 ANNEX II _ 30 IMF WORKING PAPERS Debt Surprises and Inflation Expectations INTERNATIONAL MONETARY FUND 5 Introduction

16、 The COVID-19 crisis propelled sovereign debt levels around the world to new heights.Between 2019 and 2022,in advanced economies,debt levels rose from 103.9 to 112.5 percent of GDP,and in emerging market economies,they grew from 55.1 to 64.6 percent of GDP.Sovereign debt levels are expected to remai

17、n high in coming years(IMF,2022),and demands on fiscal policy remain substantial.At the same time,higher levels of interest rates could increase debt services considerably in the coming years.Could the rise in government debt levels pose a problem for monetary policy?This question is of particular r

18、elevance as central banks are struggling with the major challenge posed by inflationary pressures.In principle,various mechanisms by which high sovereign debt levels can complicate monetary policymaking are conceivable.Central banks may be(seen as)hesitant to raise interest rates as much as needed t

19、o achieve their inflation objective,out of concern for debt sustainability.They may also be concerned about the impact of rising rates on their own net income if they remunerate excess reserves,and on their balance sheets as they proceed to actively shrink them.In an extreme form of fiscal dominance

20、,people may believe that the central bank could try to inflate away part of the debt or resort to outright monetization of future deficits,which in turn would lead inflation expectations to shoot up.The fiscal theory of the price level has reformulated these notions,arguing that price levels adjust

21、so that the real value of government debt equals the present value of taxes less spending(Cochrane 2023).Such concerns are,in principle,relevant for both advanced-and emerging market economies.In many emerging market economies,these issues used to be very much at the forefront until the early 2000s.

22、For example,Celasun,Gelos,and Prati(2004)found that fiscal variables were an important determinant of inflation expectations in major emerging market economies.Fiscal consolidation,the adoption of more credible macroeconomic and monetary frameworks,and the granting of autonomy to central banks lesse

23、ned these concerns in these economies over the following years.However,central bank credibility remains less established in some emerging market economies,which as a group are generally still more vulnerable to external shocks.Although sovereign foreign currency exposures have fallen,currency mismat

24、ches in the private sector remain widespread(BIS,2019),posing vulnerabilities that ultimately can threaten the fiscal position of these economies.Because of this historical background and the structural specificities of emerging market economies,in this study we differentiate between advanced-and em

25、erging market economies.Several other studies have empirically investigated the relationship between fiscal variables and inflation expectations in s with inflation-targeting central banks(Cato&Terrones,2003;de Mendona&Machado,2013;Celasun,Gelos,and Prati,2004;Coibion,Gorodnichenko,and Weber,2021).T

26、hese papers find generally that tightening fiscal balances are helpful in reducing inflation expectations and observed inflation,with stronger effects in economies with high and persistent inflation.This paper takes a somewhat different approach and covers a much longer and recent period.IMF WORKING

27、 PAPERS Debt Surprises and Inflation Expectations INTERNATIONAL MONETARY FUND 6 Specifically,we investigate how sovereign debt may affect inflation dynamics by examining its impact on inflation expectations.For identification purposes,we focus on debt surprises.We trace out the response of inflation

28、 expectations to an unexpected increase in sovereign debt using local projections.Since we are interested in the effects of debt and debt sustainability,to avoid capturing demand-side effects related to unexpected fiscal expansions,we focus on long-run expectations(5 years ahead),under the assumptio

29、n that any inflationary effects of such demand pressures are shorter-lived.To further minimize demand effects(such as initial price pressures leading to a de-anchoring of inflation expectations unrelated to longer-term debt concerns),we also condition on existing debt levels.We find that in response

30、 to debt surprises,inflation expectations in emerging market economies rise significantly,whereas they do not in advanced economies.Specifically,for emerging market economies,a 10-percentage-point increase in the government-debt-to-GDP ratio triggers a statistically significant 20-basis point increa

31、se in long-term inflation expectations within the first year after the shock and reaching a peak of 70-basis point within the second year.The effect is much larger in emerging market economies that do not feature inflation targeting regimes compared to those that do,because these regimes are typical

32、ly associated with sound monetary frameworks and autonomous central banks that help contain expectations of fiscal dominance.These results are broadly consistent with earlier ones of Cato and Terrones(2005)who find a strong positive association between deficits and inflation among high-inflation and

33、 developing countries,but not among low-inflation advanced economies.However,in line with the notion that debt sustainability concerns are behind our results,the effect on inflation expectations is not present for emerging market economies with low sovereign debt levels.These findings are in line wi

34、th those by Kwon,McFarlane,and Robinson(2009),who report evidence consistent with the notion that the risk of a debt-inflation trap is significant in highly indebted economies.Theoretical Mechanisms We are primarily interested in the extent to which government debt and concerns regarding solvency of

35、 the sovereign might affect monetary policy and the ability of a central bank to achieve its price stability objective.A large theoretical literature establishes direct links between government debt and the price level.The starting point is fiscal dominance:that a central bank tightens its monetary

36、policy stance in response to a rise in inflation by less than it would otherwise because of the level of government debt.To the extent that the government debt is in local currency,high government debt may lead central banks to limit increases in the policy rate out of concern for the governments so

37、lvency.Economic agents,in turn,anticipate this reaction,raising their inflation expectations.In the extreme,firms and households may fear that the central bank may resort to outright debt monetization.Implicit in these mechanisms is that some portion of government debt is not backed by the governmen

38、ts current and IMF WORKING PAPERS Debt Surprises and Inflation Expectations INTERNATIONAL MONETARY FUND 7 future primary surpluses.These arguments are well established by Sargent and Wallace(1981)and in subsequent forward-looking models of inflation(Aiyagari and Gertler,1985;Calvo,1988;Bohn,1988,amo

39、ng others).Although Sargent and Wallace(1981)never discuss the fiscal stance or debt sustainability,the key point is that the fiscal path is predetermined and needs to generate seigniorage.A corollary of these arguments is that a tighter monetary policy may deliver lower inflation now(and in extreme

40、 cases not even that)but surely higher inflation in the future if fiscal policy dominates monetary policy.This is because(sufficiently)forward-looking agents anticipate the need for looser monetary policy later to inflate away the public debt.A similar mechanism albeit with important theoretical dep

41、artures is developed in the fiscal theory of the price level or FTPL(Leeper 1991,Sims 1994,Woodford 1994,Cochrane 2005,and Benigno 2020).The central mechanism in the FTPL is that prices adjust so that the real value of government debt equals the present value of taxes less spending(Cochrane,2023).Mo

42、re recently,Bianchi and Melosi(2022)developed a theoretical framework where monetary-policy fiscal interaction is more acute when fiscal imbalances are large and fiscal credibility wanes,making it harder for the monetary authority to stabilize inflation around its desired target.In their framework,a

43、 fiscally-driven rise in trend inflation does not necessarily stem from a lack of credibility of the central bank,but rather from the incompatibility between the objectives of the central bank and the expected behavior of the fiscal authority in credibly stabilizing its debt.A different,but related

44、mechanism developed more recently in Arellano and others(2020)argues that sovereign default risk on external defaultable government debt affects inflation expectations.In their model,by assumption,inflation is high(and consumption low)whenever the sovereign default because productivity is low.Specif

45、ically,they assume that total factor productivity depends on the governments credit standing.Taking expectations,when default risk is high,expected inflation is high.Thus,any shock that increases the sovereigns default riskfor instance,a productivity or a terms of trade shockraises(near-term)inflati

46、on expectations.In this paper,we identify shocks to debt that are plausibly orthogonal to shocks that move inflation and output and find that these shocks are relevant for the conduct of monetary policy as summarized by dislocations of long-term expectations in emerging market economies.Furthermore,

47、we establish the presence of nonlinearities by demonstrating higher sensitivity of inflation expectations to debt surprises in high-debt and high-inflation emerging market economies.Data and Empirical Methods Econometric Approach Our goal of assessing how debt sustainability concerns might impinge o

48、n monetary policy and its ability to anchor inflation expectations faces various empirical challenges,mostly related to endogeneity.First,in the relationship between debt levels and inflation,causality probably flows both ways.For example,policymakers may tighten fiscal policy in response to a rise

49、in inflation expectations,which could result in a negative correlation of changes in debt and inflation expectations(Celasun,Gelos,and Prati,2004).On the other hand,fiscal policy actions which affect IMF WORKING PAPERS Debt Surprises and Inflation Expectations INTERNATIONAL MONETARY FUND 8 debt may

50、also directly influence inflation expectations through aggregate demand effects,which we would like to exclude.Second,the co-movement between debt levels and inflation could be spurious and driven instead by an omitted variable.Particularly in emerging market economies,adverse GDP shocks stemming,sa