IMF-两次危机的财政剖析及其启示

FiscalAnatomyofTwo

CrisesandanInterlude

XuehuiHan,PaoloMauro,andJohnRalyea

WP/23/117

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2023

JUN

*TheauthorsaregratefultoVitorGasparandotherparticipantsinseminarsintheIMF’sFiscalAffairsDepartment.

©2023InternationalMonetaryFund

WP/23/117

IMFWorkingPaper

FiscalAffairsDepartment

FiscalAnatomyofTwoCrisesandanInterlude

PreparedbyXuehuiHan,PaoloMauro,andJohnRalyea*

AuthorizedfordistributionbyPaoloMauro

June2023

IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.

ABSTRACT:TheGlobalFinancialCrisis(GFC)andtheCOVID-19pandemicareassociatedwiththelargestincreasesinpublicdebtratiossinceWorldWarII.Wedecomposeunexpectedchangesindebtratiosintotheroleofsurprisesineconomicgrowth,interestcosts,policymeasures,andotherfactors.Duringbothcrises,lower-than-expectedoutputcontributedthemosttohigher-than-expecteddebtratios.Fiscalpolicymeasuresrecordedinthepublicdeficitweresimilarinthetwoepisodes.Wealsoanalyzethedecade-longinterlude(2010-19).Ratherthandecliningasforeseeninanormativescenario,debtratiosremainedstableonaverage,asinterestrates,policyadjustmentand,insomecountries,economicgrowthturnedoutlowerthanexpected.

RECOMMENDEDCITATION:Han,Xuehui,PaoloMauro,andJohnRalyea.2023.“FiscalAnatomyofTwoCrisesandanInterude.”IMFWorkingPaper2023/117.InternationalMonetaryFund,Washington,DC.

JELClassificationNumbers:H12,H62,H63,H68

Keywords:CrisisManagement;Publicdebt;Deficit;Forecasts

Author’sE-MailAddress:

xhan@

;

pmauro@

;

jralyea@

;

WORKINGPAPERS

FiscalAnatomyofTwoCrisesandanInterlude

PreparedbyXuehuiHan,PaoloMauro,andJohnRalyea

IMFWORKINGPAPERSFiscalAnatomyofTwoCrisesandanInterlude

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Contents

Introduction

3

DebtDevelopmentsDuringtheGlobalFinancialCrisisandtheCOVID-19Pandemic

4

DriversBehindSurpriseChangesinDebt

6

DebtSurprisesDuringtheGFCandCOVID-19Pandemic

7

Driversofdebtsurprisesin2009and2020inindividualG20countries

8

TheRoleoffiscalmeasuresindebtdynamicsduringtheGFCandCOVID-19crises

10

TheInterlude(2010-19)

11

Decompositionofdebtsurprisesforadvancedeconomies

12

DebtdevelopmentsandPolicyMeasuresVersusNormativeRecommendations

14

PolicyDiscussions

15

References

22

FIGURES

1.GlobalGeneralGovernmentDebt

5

2.GrossDebtandInterestExpense

5

3.EconomicRecessionsinG20Countries

7

4.DriversofDebtSurprises:GFCandCOVID-19

8

5.G20:CompositionoftheUnexpectedChangeinDebtin2009

9

6.G20:CompositionoftheUnexpectedChangeinDebtin2020

9

7.DiscretionaryFiscalPolicy:GFC(2009)andCOVID-19Pandemic(2020)

10

8:EstimatesofDiscretionaryFiscalPolicyDuringtheGFCandCOVID-19Pandemic

11

9.AdvancedEconomies:DecompositionofCumulativeDebt‘surprise’for2010-2019

12

10.DecompositionofLower-than-expectedDebtRatiosfor2019

13

11.DecompositionofHigher-than-expectedDebtRatiosfor2019

14

12.AdvancedEconomies:RecommendedandActualFiscalAdjustment,2010-19

15

ANNEXES

I.AnalyticalFrameworkandSensitivitytoElasticityAssumptions

17

II.RobustnessCheckoftheMagnitudeoftheCrisisFiscalPolicyMeasures

19

III.EvolutionofAdvancedEconomies’MacroeconomicandFiscalAggregates

21

IMFWORKINGPAPERSFiscalAnatomyofTwoCrisesandanInterlude

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Introduction

TheGlobalFinancialCrisis(GFC)thatbeganin2008andtheCOVID-19pandemicthatbeganin2020havebeenassociatedwiththelargestincreasesinpublicdebtratiossinceWorldWarII.Duringtheinterveningperiod(the“interlude”),debtratioswerebroadlystableorrising,sothatthepandemicledtoanotherstepincreasebeyondthelevelsreachedbecauseoftheGFC.Thetwocrisesweredifferentinsource(financialversushealth-related),incidenceacrosscountries(theGFCbeingmoreconcentratedinadvancedeconomiesandthuslessglobal,despiteitsname),andthecausesanddurationoftheassociatedrecessions(thepandemicbeingfollowedbyafasterreboundofeconomicactivity).Evenso,analyzingthefactorsthataccountedfortheunexpectedriseinpublicdebtratiosduringthesetwocrisesandtheinterveningperiodmayshedlightonthepathssuchratiosmaytakeinthenextdecade,andtherolethatpoliciescanplayinthatevolution.

Inthispaper,wedecomposeunexpectedchangesindebtratiosintotheroleofsurprisesineconomicgrowth,interestcosts,policymeasures,andresidualfactorssuchasexchangeratedepreciationsandthefiscalcostofbailouts.

1

Weconsiderthefullimpactofeconomicgrowthnotonlythroughthedenominatorinthedebt/GDPratiobutalsoaskeydriveroffiscalrevenuesandthustheprimarysurplus.

Tocapturetheeffectsofthetwocrises,wecomparemacroeconomicandfiscaloutcomes(asmeasuredtoday)for2009(GFC)and2020(pandemic-relatedeconomiccrisis)withprojectionsmadejustbeforetheseverityoftheGFCandtheCOVID-19crisiswereunderstoodbymostanalysts(October2008andJanuary2020vintagesoftheIMF’sWorldEconomicOutlookprojections,respectively).Wealsoanalyzethedecade-longinterlude(2010-19),bycomparingoutcomesmeasuredtodaywith(a)projectionsmadein2010(AprilvintageoftheIMF’sWorldEconomicOutlook)and(b)anormativescenariothatIMFstaff(CottarelliandVinals2010)advisedinearly2010asdesirable,foragradualreturnofdebtratiostowardpre-GFClevels.

Ourkeyfindingsareasfollows:

•Duringbothcrises,lower-than-expectedoutputwasthelargestfactorunderlyinghigher-than-expecteddebtratios,withalmostequalcontributionsthroughthedenominatoreffectandlowerrevenues.Fiscalmeasuresalsoaccountedforasignificantportionoftheriseindebtratios,particularlyforadvancedcountrieswithampleaccesstomarketfinancing.Theso-calledstock-flow-adjustment,whichconsistsofchangesinpublicdebtthatdonotstemfromthefiscaldeficit,alsoplayedaroleduringboththeGFCandthepandemicwhensupportforbanks(GFC)andnonfinancialcorporations(GFCandpandemic)wasprovided.

•Theoverallsizeoffiscalpolicymeasures(recordedinthepublicdeficit)beyondthoseenvisagedpre-crisiswassimilarintheGFCandthepandemic.Althoughannouncedmeasureswerelargerduringthepandemic,implementedmeasureswereaboutthesameinthetwocrises.

•Thepost-GFCinterludeturnedoutdifferent—especiallyinadvancedeconomies—frombothprojectionsandnormativepolicyadvicepublishedinearly2010(afteraninitialrecoveryfromthebruntofthecrisis):

1Theanalysisisbasedonaccountingidentities.Theimpactofbehavioralresponsestoeconomicshocksordifferencesinfiscalmultipliersdependingonwhetherpolicyratesareatthelowerboundisreflectedinthedatabutnotexplicitlyanalyzed.

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Comparedwithprojections,countriesgenerallybenefitedfromsubstantiallylowerinterest

payments;economicgrowthturnedoutmuchworsethanexpectedinsomecountries(especiallythosesufferingthemostduringtheEuropeandebtcrisis);fiscalpolicymeasuresaddedtodebtburdensonaverage,butwithtighteninginsomecountriesthatsoughttostemtheadverseimpactofgrowthondebtdynamics,whereasthosewithmorefavorableeconomicgrowthusedtheresultingspaceforsomewhatmoreexpansionaryfiscalpolicies.

ComparedwiththeIMFstaff’snormativepolicyscenario,theproposedambitiousfiscalpolicy

tighteningnevermaterialized.Ratherthangraduallydeclining,debtratiosgenerallyremainedstable,thankstolowerinterestpayments.

Puttingtheseresultstogetherwithanearlyunderstandingoftheaftermathofthepandemic,policymakersmayconsiderthefollowing.Whereasthepost-GFCerawascharacterizedbylowinflation,thepost-lockdownstagesofthepandemichaveseenrapidrecoveryindemandoutstriptheeconomy’sabilitytosupplygoodsandservices,owinginparttodisruptionstosupplychains(initially)andenergyandfood(morerecently).Areductioninfiscaldeficitsisthusadvisablenotonlytoreversetheriseindebtratiosandcreatebuffersforfuturecrises,butalsotohelpthemonetaryauthoritiescurbinflation.Whereaspost-GFC,amuch-fearedincreaseininterestratesnevermaterialized,post-lockdownsrapidinflationhasreduceddebtratiossomewhat,especiallyincountrieswithnon-indexed,long-maturitydebtdenominatedindomesticcurrency.Althoughnominalinterestratesareraisingrapidly,atthetimeofwritingitisdifficulttojudgewhetherrealinterestrateswillriseaboverealeconomicgrowth—animportantdifferentialforfuturedebtdynamics.Basedonthedocumentedexperience,realeconomicgrowth—notoriouslyhardtopredict—willperhapsonceagainbeadecisivedeterminantoffuturedevelopmentsindebtratio.

Althoughsustainableinvestmentsinpeopleandinfrastructurearecrucialforgrowthanddevelopment,attemptstoboostgrowththroughfiscalexpansionalonemaywellbackfire,asassumedimpactsofhigherspendingortaxcutsoneconomicgrowthhaveoftendisappointed,particularlyifmonetarypolicyisnotaccommodative.Similarly,whenpreparingforecastsorstrivingtodesignandimplementpoliciesforsustainabledevelopment,oneshouldbemindfulthatthefuturepathofeconomicgrowthanddebtratioswillremainacombinationofvirtueandfortune.

DebtDevelopmentsDuringtheGlobalFinancial

CrisisandtheCOVID-19Pandemic

GlobalgeneralgovernmentdebtasaratioofGDPjumpedfrom61percentin2007to75percentin2009,

2

withtheGFC’sinitialblow.Itedgedupgraduallyinthefollowingyears,asthefullimpactoftheGFCwasfeltandextended,especiallyinEurope,reaching84percentin2019.Itthenjumpedagainto99percentfollowingtheonsetoftheCOVID-19pandemic(Figure1).

2Globaldebtistheweightedaverageacrosscountries,withweightsbasedonathree-yearmoving-averageGDPinUSDforeachyear,fromtheIMF’sWorldEconomicOutlook.Thesamemethodisusedtocomputeaveragesforadvancedeconomiesandemergingmarketeconomies.

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Debtroseinbothadvancedandemergingmarketeconomies,owingtosomewhatdifferentfactors.Advanced

economydebtaccumulatedrapidlyfrom2007to2012,asdebttroublesintensifiedinseveralEuropeaneconomies;itthenstabilizedfortheremainderofthedecadebeforespikingagainwiththepandemic(Figure2).Thesedevelopmentstookplaceagainstthebackdropofmonetarypolicyaccommodationandlowinterestrates.Inemergingmarkets,debtincreasedbyhalfasmuchasintheadvancedeconomiesduringtheGFC,butitsrisecontinuedthroughoutthe2010s,driveninpartbyChina’sdeficitfinancing.Inlow-incomeeconomies,debtlikewiseroseinthe2010s,thoughbyless.Inallgroupsofcountries,debtsin2022remainwellabovepre-pandemiclevels.Unexpectedinflationin2021-22madeabiggerdentintheadvanced

Figure1.GlobalGeneralGovernmentDebt

(PercentofGDP)

Source:WEOApril2022

economies,wherealargershareofthedebtisdenominatedindomesticcurrency.

Figure2.GrossDebtandInterestExpense

(PercentofGDP)

AdvancedEconomies

5.00

140

130

Debt-to-GDP

120

110

100

90

80

70

60

50

40

Interestsexpense

21

19

17

15

13

11

09

2007

4.00

3.00

2.00

1.00

0.00

EmergingMarketEconomies

70

65

60

55

50

45

40

35

30

25

20

21

19

17

15

13

11

09

2007

4.00

3.00

2.00

1.00

0.00

5.00

Debt-to-GDP

Interestsexpense

Low-IncomeEconomics

70

65

60

55

50

45

40

35

30

25

20

21

19

17

15

13

11

09

2007

Debt-to-GDP5.00

Interestsexpense

4.00

3.00

2.00

1.00

0.00

Source:IMF,WorldEconomicOutlookApril2023.

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DriversBehindSurpriseChangesinDebt

Inthisshortpaper,weanalyzesurprisechangesingovernmentdebt—calculatedasthedifferencebetweentheactualandprojectedchangesinthedebt-to-GDPratioforagivenyearorperiod—bydecomposingthemintothecontributionsofunexpectedoutcomesinrealgrowth,inflation,effectiveinterestrates,fiscalpolicymeasures,andresidualfactors.WeconsidersuchsurprisechangesfortheGFC,theCOVID-19pandemic,andtheperiodbetweenthesetwocrises.

Specifically,wefocuson2009fortheGFCand2020forthepandemic.Foreachepisode,thesearetheyearswhentheoutputlosswasmostpronounced.OurselectionofrelevantWEOvintagesfromwhichtopullprojectiondata(torepresentpre-crisisexpectations)wasbasedonhistoricalmarkersaswellasthedateswhenthepreponderanceofG20countries,whichaccountfor68percentofglobalGDP,enteredandexitedcrisis-relatedtechnicalrecessions(Figure3).

•FortheGFC,thesourceforprojectionsistheApril2008WEO.ThevintageprecededtheonsetoftheearlyphaseoftheGFC,markedbyunanticipatedeconomicdownturnsinmajorEuropeancountriesandJapaninsecondquarterof2008.WiththeLehmanbankruptcyinSeptember2008,outputinmostG20countriescontractedinthefourthquarterof2008.Bythesecondhalfof2009,allG20membershadexitedtheirGFC-relatedtechnicalrecessions.Theactualchangeindebtfor2009iscomputedbasedontheApril2010WEO,forconsistencywiththeCOVID-19episode(seebelow).

•FortheCOVID-19pandemic,theprojectionsaredrawnfromJanuary2020WEO.Whenthisvintagewasprepared,thepandemicanditsseverityhadnotbeenforeseen,norhadthelockdownsthatbecameprevalentinMarch2020.Althoughthepandemiclastedlonger,wefocusondebtchangesin

2020becauseoutrightrecessionsinmanycountries(includingmostG20economies)endedbymid-tolate-2020.TheApril2022WEOprovidestheactualchangeindebtfor2020.

Tocapturethefullimpactofeconomicgrowthnotonlythroughthedenominatorofthedebtratiobutalsothroughtheprimarysurplus(asashareofGDP),wecomparedevelopmentswitha“nopolicychange”scenariowhererevenuesriseinlinewithnominalGDPandprimaryexpendituresriseinlinewiththeGDPdeflator.Suchscenarioseekstocaptureapolicyapproachwherebytheauthoritiesdonotchangetaxpolicyandprovideaconstantflowofpublicgoodsandservicesinrealterms.(Theelasticitywithrespecttooutputis1forrevenuesand0forexpenditures.Wealsoextendedtheanalysistoallowforalternativeorvaryingelasticities.)

3

Conversely,“fiscalmeasures”arecomputedasthedifferencebetweentheprimarysurplusandthe“nopolicychange”scenario.AnnexIprovidesadetaileddescriptionoftheframework—seealsoMauroandZilinsky(2016).

3Forsimplicity,weassumethattheelasticitiesareconstantacrosscrisisandacrosscountries,andlatershowthattheresultswouldbesimilarusingdifferentelasticities.

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1

Figure3.EconomicRecessionsinG20Countries

Year

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Quarter

1234

1234

1234

1234

1234

1234

1234

1234

1234

1234

1234

234

1234

1234

Argentina

Australia

Brazil

Canada

China

France

Germany

India

Indonesia

Italy

Japan

Korea

Mexico

Russia

SouthAfrica

Turkey

UnitedKingdom

UnitedStates

Sources:IMFWEOApril2022,andIMFstaffestimates.

Note:Areassharedinredidentifyrecessionsconsistingofoutputdeclineforatleasttwoconsecutivequartersbetweenapeakandatrough(inclusive)inrealquarterlyGDP.Thepeakisdefinedasthequarterprecedingthefirstrecession,therecoveryisthequarterwithGDPequalorgreaterthanthepeak,andthetroughistheminimumpointbetweenthepeakandtherecovery.

DebtSurprisesDuringtheGFCandCOVID-19

Pandemic

Theanalysisfocusesonsurprisechangesindebtduringtheheightofeachcrisis.FortheGFC,thiswas2009.FortheCOVID-19pandemic,itwas2020.Atanaggregatedlevel,ingeneral,unexpectedgrowthoutcomesaccountedforamajorpartofthesurpriseincreaseindebt,particularlyfollowingtheCOVID-19lockdowns.TheunexpectedchangesindebtwerelargerinadvancedeconomiesandemergingmarketsatthepeakoftheCOVID-19crisiscomparedtothoseduringthepeakoftheGFC,whereastheoppositewastrueforlow-incomecountries(Figure4,blacksquares).

4

Lower-than-expectedoutputwastheleadingdriverofdebtsurprisesacrossincomegroupsforbothGFCandCOVID-19(greyplusyellowshadingofbars)exceptforlow-incomecountriesduringtheGFCwherestock-flowadjustmentsplayedthelargestroleindebtdevelopments.Optimismbiasingrowthforecastsmayhaveplayedsomeroleinthelower-than-expectedoutput(HoandMauro,2016;ChatterjeeandNowak,2016).Ingeneral,stock-flowadjustmentsincludedebtchangesduetoexchangeratedepreciations,materializationofcontingentliabilities,andanydifferencebetweentheactualandprojectedbenchmarkyeardebtlevel(2008forGFCand2019forCOVID-19).PolicymeasuresweremostsubstantialinAEs,reflectingmorefiscalspacetoprovidesupport.Stock-flowadjustmentsmadesignificantpositivecontributionstosurpriseincreasesindebtinAEsduringtheGFC,largelyreflectingrecoursetogovernmentloansandequityinjections,especiallytosupportfinancialinstitutions.Duringtheheightofthecrises,interestandinflationsurprisescontributedlittletochangesindebt.

4SeealsoAlonsoandPerrelli(2021)foracomprehensiveanalysisofdebtforecasterrorsusingasimilarapproach.

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Driversofdebtsurprisesin2009and2020inindividualG20countries

ThemagnitudesofthesurprisechangesindebtandtheprincipaldriversofthosechangesvariedacrossG-20membersfollowingtheonsetoftheGFC(Figure5).Theunexpectedincreaseindebtwasgreaterinthe

advancedeconomymembersoftheG-20thanforemergingmarketmembers(exceptArgentina).Lower-than-expectedgrowthwasthedominatingfactorbehindsurpriseincreasesindebtincountriessuchasJapan,Italy,Germany,Turkey,Brazil,andMexico.Inaddition,G20membersgenerallyundertooklargerpolicymeasuresthanexpected,withSaudiArabia’sfiscalmeasuresreaching20percentofGDP.

Stock-flowadjustments(residuals)generallycontributedtotheriseindebtratiosbutwithlargevariationacrosscountries.Forexample,stock-flowadjustmentsadded19percentagepointsofGDPtothesurpriseincreaseinArgentina’sdebt,reflectingasizableshareofforeign-currencydenominateddebtcoupledwithlocalcurrencydepreciation,butreducedthedebtratioby23percentagepointsofGDPinSaudiArabia,whichfinancedalargeportionofitspolicymeasuresbydrawingonitssovereignwealthfunds.Theroleofunexpecteddepreciationsoflocal

Figure4.DriversofDebtSurprises:GFCandCOVID-19

(PercentofGDP;Simpleaverage)

Sources:IMFWEOApril2008,WEOApril2010,WEOJanuary2020,WEOApril2022,andIMFstaffestimates.

Note:GFC(2009)projectionsfromWEOApril2008;actualvaluesfromWEOApril2010.COVID-19(2020)projectionsfromWEOJanuary2020;actualvaluesfromWEOApril2022.CountrycountforGFC:AE=33,EM=56,andLIC=24.CountrycountforCOVID-19:AE=35,EM=84,andLIC=54.SFAsarestockflowadjustments.

currenciesisoftenrelevantforemergingmarketanddevelopingeconomiesthatissueforeigncurrencydenominateddebt.Inaddition,stock-flowcontributionstodebtsurprises,includinganyerrorsinpredictingthebaseperioddebt-to-GDPratioagainstwhichunexpectedchangesintheratioarecalculated.

SimilartotheGFC,thesurpriseincreaseindebtinadvancedeconomymembersoftheG20wasgreaterthantheincreaseinemergingmarketswiththeexceptionofArgentinaandIndia(Figure6).However,theunexpectedincreasesindebtfromlower-than-expectedrealgrowthweremoreprominentandwidespreadfollowingthestartofthepandemicrelativetotheGFC.Unexpectedlyweakrealgrowthoutturnsboosteddebtby10percentagepointsormoreofGDPtoArgentina,France,India,Italy,Japan,andtheUnitedKingdom.

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HeterogeneityalsomarksthedriversofdebtsurprisesduringthepandemicacrossG20countries.Stock-flowadjustmentsinCanadaandtheUnitedStatescontributedsignificantlytothedebtsurpriseinthosecountries.InCanada’scasethestock-flowadjustmentincludesamaterialunderprojectionofthedebt-to-GDPratioin2019,whichistheyearfromwhichthesurprisechangeinthedebtratioiscalculated.

Figure5.G20:CompositionoftheUnexpectedChangeinDebtin2009

(PercentofGDP)

Sources:Projectionsfordebtattheendof2009arebasedontheApril2008WEOandactualvaluesfor2009arefromtheApril2010WEO.GovernmentdebtdataisnotavailableforChinaandKoreaintheApril2008WEO.

Figure6.G20:CompositionoftheUnexpectedChangeinDebtin2020

(PercentofGDP)

IMFWORKINGPAPERSFiscalAnatomyofTwoCrisesandanInterlude

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Sources:Projectionsfordebtattheendof2020arebasedontheJanuary2020WEOandactualvaluesfor2020arefromtheApril2022WEO.

TheRoleoffiscalmeasuresindebtdynamicsduringtheGFCandCOVID-19crises

ThedistributionofthemagnitudeofthecontributionoffiscalmeasurestodebtsurpriseswasbroadlysimilarwithinincomegroupsfollowingtheGFCandCOVID-19pandemic.Themediancontributiondifferedacrossincomegroups,however.Themediancontributionforadvancedandemergingmarketeconomieswassignificantlyhigherduringbothcrisesrelativetolow-incomecountries(Figure7).ThisfindinglikelyreflectsthemoremutedimpactoftheGFCinlow-incomecountriesaswellasthegeneralfinancingconstraintssuchcountriesfaced,particularlydu