欧洲央行-主权债务的宏观经济学（英）

Macroeconomicsof

sovereigndebt

BankofGreeceConferenceon

“PublicDebt:PastLessons,FutureChallenges”

•7November2024

PhilipR.Lane

MemberoftheExecutiveBoard

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Globalfiscalpatterns

Generalgovernmentnetlending/borrowing

(percentageofGDP)

Source:InternationalMonetaryFund(2024),WorldEconomicOutlookDatabase,October.

Generalgovernmentgrossdebt

(percentageofGDP)

Source:InternationalMonetaryFund(2024),WorldEconomicOutlookDatabase,2024.

.

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ECBMonetaryPolicyStatement,October2024

o“Fiscalandstructuralpoliciesshouldbeaimedatmakingtheeconomymore

productive,competitiveandresilient.Thatwouldhelptoraisepotentialgrowthandreducepricepressuresinthemediumterm.Tothisend,itiscrucialtoswiftlyfollowup,withconcreteandambitiousstructuralpolicies,onMarioDraghi'sproposalsforenhancingEuropeancompetitivenessandEnricoLetta’sproposalsforempoweringtheSingleMarket.ImplementingtheEU’srevisedeconomicgovernanceframeworkfully,transparentlyandwithoutdelaywillhelpgovernmentsbringdownbudgetdeficitsanddebtratiosonasustainedbasis.Governmentsshouldnowmakeastrongstartinthisdirectionintheirmedium-termplansforfiscalandstructuralpolicies.”

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Stablepublicfinances:smoothtransmissionofmonetarypolicy

oSovereignspreadchangeshaveasignificantimpactondomesticmarket

fundingandlendingconditions.

oIntimesofheightenedsovereignmarketstress,lendingspreadsincreasesubstantially,andloandynamicsweakenstrongly.

oTheimpactonlendingconditionsisstrongerforcountrieswithmultipleimbalances.

oMonetaryUnion:singlemonetarypolicy;stabilisationroleofnationalfiscalpoliciesandnationalmacroprudentialpolicies(Martin,P.andPhilippon,T.

(2017),“InspectingtheMechanism:LeverageandtheGreatRecessionintheEurozone”,AmericanEconomicReview).

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Riskmanagement:scalebackexcessivelyhighpublicdebtratios

oLowervulnerabilitytofinancial,macroeconomicandexternalshocks

oIncreasedcapacitytorespondtomajorshocks(pandemicexample)

oGradualbutfrontloadedadjustment(AuclertA.,T.PhilipponandX.Ragot:"PuttingFrenchpublicfinancesonasustainablefooting",FrenchCouncilofEconomicAnalysis,September2024)

oGrowth-maximisingfiscalpackages(low-multipliertaxoptions;prioritisehigh-multiplierspendingoptions)

oPro-growthstructuralreforms(eveniflimitto[r-g]mechanism)

oGreen,digital,defence

oAgeing

oRoleofnationalfiscalcouncils,nationalproductivitycouncils

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Pass-throughofasovereignspreadshock

Pass-throughtolendingratespreads

(horizontalaxis:months;verticalaxis:pass-through,percentage)

Pass-throughtobondspreads

(horizontalaxis:months;verticalaxis:pass-through,percentage)

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesofthepass-throughofafive-yearsovereignspreadshockusingcountrypanellocalprojections.Foreachmonthh,thecoefficientontheregressorsovspreadt+h—sovspreadtisplotted.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,AT,andFI.

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesofthepass-throughofafive-yearsovereignspreadshockusingcountrypanellocalprojections.Foreachmonthh,thecoefficientontheregressorsovspreadt+h—sovspreadtisplotted.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,AT,andFI.

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Increasinglendingratesduetosovereignstressalsohavemacroeconomiceffects

Impactofincreaseinsovereignspreads

(percentagepoints)

0.4

0.2

0.0

-0.2

-0.4

-0.6

-0.8

Impactof100basispointincreaseinsovereignspreads

ImpactonlendingratestofirmsImpactoninflationImpactonrealGDPgrowth

Sources:ECBandECBcalculations.

Notes:Impactonlendingratesisbasedonlocalprojectionestimationsofchangesinsovereignspreadsonlendingratespreadsforloanstofirms.Thepeakimpactisplotted.ImpactoninflationandGDPgrowthbasedonthemedianimpactoftheestimatedchangeinlendingratesfromarangeofECBmodels,includingthefollowingsixmodels:(1)Christiano,L.,Rostagno,M.,andMotto,R.(2010),"Financialfactorsineconomicfluctuations",ECBWorkingPaperNo.1192;Christiano,L.Motto,R.,andRostagno,M.(2014)."Riskshocks".AmericanEconomicReview,104:1.(2)Altavilla,C.,Canova,F.andCiccarelli,M.(2020),“Mendingthebrokenlink:heterogeneousbanklendingandmonetarypolicypass-through”,JournalofMonetaryEconomics,110:IssueC.(3)Darracq-Paries,M.andDeSantis,R.(2015),“Anon-standardmonetarypolicyshock:TheECB's3-yearLTROsandtheshiftincreditsupply”,JournalofInternationalMoneyandFinance,54.(4)amedium-scaleBayesianvectorautoregression(BVAR)modelfortheeuroarea;(5)theNAWM-II;and(6)theECB-BASE.

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Sovereignspreadsandlendinggrowth

Sovereignspreadsandlendinggrowthtofirms

(percentagepoints)

Sources:ECB(BSI)andECBcomputations.

Notes:Thesovereignspreadconsideredisthefive-yearsovereignspread.Lendinggrowthisadjustedforcashpoolingandsecuritisationandnotseasonallyadjusted.ThelatestobservationsareforAugust2024.

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Lowcapitalratiosstrengthenthepass-through

Pass-throughofsovereignspreadshocktolendingratesdependingonbankcapitalratios

(horizontal-axis:months;verticalaxis:pass-through,percentages)

Pass-throughofsovereignspreadshockto

bondspreadsdependingonbankcapitalratios

(horizontal-axis:months;verticalaxis:pass-through,percentages)

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesofthepass-throughofafive-yearsovereignspreadshockusingcountrypanellocalprojections.Foreachmonthh,itplotsthecoefficientontheinteractionbetweenadummyforwhetherthecountryhasanaveragebankcapitalratiosbeloworabovethemedianinthepooleddistribution,andsovspreadt+h—sovspreadt.Theregressionalsocontrolsforadummyforthepresenceofsovereignstressinteractedwithsovereignspreadchanges.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,ATandFI.

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesofthepass-throughofafive-yearsovereignspread

shockusingcountrypanellocalprojections.Foreachmonthh,itplotsthecoefficientonthe

interactionbetweenadummyforwhetherthecountryhasanaveragebankcapitalratiosbelowor

abovethemedianinthepooleddistribution,andsovspreadt+h—sovspreadt.Theregressionalso

controlsforadummyforthepresenceofsovereignstressinteractedwithsovereignspread

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changes.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,ATandFI.www.ecb.europa.eu©

Privatesectorindebtednessandexternalimbalancesamplifysovereignspreadshocks

Impactofsovereignspreadshocktosovereignspreadsdependingoncountryimbalances

(horizontal-axis:months;verticalaxis:pass-through,percentages)

Impactofsovereignspreadshocktosovereignspreadsdependingonprivatesectorleverage

(horizontal-axis:months;verticalaxis:pass-through,percentages)

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesoftheimpactofafive-yearsovereignspreadshockusingcountrypanellocalprojections.Foreachmonthh,itplotsthecoefficientontheinteractionbetweenadummyforwhetherthecountryhasanaveragesectordebttoGDPratiobeloworabovethemedianinthepooleddistribution,andsovspreadt+1—sovspreadt.Theregressionalsocontrolsforadummyforthepresenceofsovereignstressinteractedwithsovereignspreadchanges.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,AT,FI,PTandIE.

Sources:ECBandECBcalculations.

Notes:Thechartshowsmodelestimatesoftheimpactofafive-yearsovereignspreadshockusing

countrypanellocalprojections.Foreachmonthh,itplotsthecoefficientontheinteractionbetweena

dummyforwhetherthecountryhasanaveragegovernmentprimarydeficitorcurrentaccounttoGDP

ratiobeloworabovethemedianinthepooleddistribution,andsovspreadt+1—sovspreadt.The

regressionalsocontrolsforadummyforthepresenceofsovereignstressinteractedwithsovereign

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spreadchanges.TheanalysisisrestrictedtoDE,FR,IT,ES,NL,BE,AT,FI,PTandIE.www.ecb.europa.eu©

Sovereignandbankbondspreads

Sovereigncrisisvsotherperiods

(percentagepoints)

Sources:IHSMarkitIboxxandECBcomputations.

Notes:Eachdotrepresentsacountry-dayobservation.Spreadsarecomputedrelativetomaturity-matchedovernightindexedswap(OIS)rates.Bankbondyieldsareshownasweightedaveragesofbankbondyieldsusingoutstandingamountsasweights.Sovereignspreadsarebasedonfive-yearbenchmarkyields.ThesamplestartsinJune2005.Thesovereigncrisisisdatedfrom1April2010to25July2014.Thelatestobservationsarefor11October2024.

Greececomparedwitheuroarea

(percentagepoints)

Sources:IHSMarkitIboxxandECBcomputations.

Notes:Eachdotrepresentsacountry-dayobservation.Spreadsarecomputedrelativetomaturity-matchedovernightindexedswap(OIS)rates.Bankbondyieldsareshownasweightedaveragesofbankbondyieldsusingoutstandingamountsasweights.Sovereignspreadsarebasedonfive-yearbenchmarkyields.ThesamplestartsinJanuary2021.

Thelatestobservationsarefor11October2024.

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Public,privateandbankingsectorimbalancesattheonsetofthesovereigncrisis

Countrypublicdebtvsprivatedebt,bankloan-to-depositratios,andbankcapitalratiospre-sovereigncrisis

(x-axis:percentages;y-axis:percentageinleftpanel,ratioinmiddlepanel,percentagesinrightpanel)

Sources:ECBandECBcalculations.

Notes:Non-financialprivatesectordebt-to-GDPratioiscalculatedastheratioofconsolidatednon-financialcorporationdebtandtotalhouseholddebtoverGDP.AllratiosareobservedasofJune2010.

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Netinternationalinvestmentpositionand

currentaccountbalance

(percentagesofGDP)

Currentaccountbalance

10

6

2

-2

-6

-10

-14

CrisiscountriesOthercountries

LU

NL

DE

LV

EE

LT

AT

●

●

FI

BE

IE

SIFR

HR

IT

ES

SK

●

MT

CYPT

\

GR

-150-100-50050100

Netinternationalinvestmentposition

Source:ECB.

Note:Thedataarefor2010.

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Lendingspreadsandlendinggrowthinthesovereigncrisisbylevelofimbalances

Lendinggrowththroughoutthesovereigncrisis

(annualpercentagechange)

Lendingspreadsthroughoutthesovereigncrisis

(percentages)

Sources:ECBandECBcalculations.

Notes:CountrieswithweakbanksandhighprivatedebtareCY,ES,IEandPT;countrieswithweakbanksandhighpublicdebtareGRandIT;countrieswithstrongbanksandhighdebtareBEandNL;low-debtcountriesaretheothercountries.Theaverageacrosseachgroupofcountriesisdisplayed.Lendingspreadsarecomputedrelativetothematurity-matchedOIS.

Sources:ECBandECBcalculations.

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Notes:CountrieswithweakbanksandhighprivatedebtareCY,ES,IEandPT;countrieswithweakbanksandhighpublicdebtareGRandIT;countrieswithstrongbanksandhighdebtareBEandNL;low-debtcountriesaretheothercountries.Theaverageacrosseachgroupofcountriesisdisplayed.

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MoreEurope

oScopetoboostEUpotentialoutputviajointinitiativesandcoordinated

policies;alsoopenstrategicautonomy

oLettaReport

oDraghiReport:“aseverebutjustdiagnosis”(PresidentLagarde,12September)

o“Mindthegap:Europe’sstrategicinvestmentneedsandhowtosupportthem”,TheECBBlog,27June2024

oCapitalMarketsUnion,BankingUnion

oEUpublicgoods:commondebtissuance

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EUsupranationaldebthasincreasedconsiderablyinrecentyears

Grossdebt

(percentagesofeuroareaGDP)

DebtissuanceofEuropeanCommissionandotherEUsupranationalentitiessince2020

(EURbillions)

Source:September2024Eurosystemstaffmacroeconomicprojections.

Sources:EuropeanCommissionandECBestimates.

Notes:ExpectedtotalissuanceestimatedbytheCOMofabout€75billionpersemestermight

varydependingonCOMdisbursementneeds.ThelatestobservationisforMay2024.

Notes:SupranationalEUdebt(notreflectedintheeuroareaaggregate)isthegrossoutstandingdebtoftheEUinstitutions,includingNGEUfinancing.SupranationalEUdebtisnotanofficialstatistic,butaninternalestimate.

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EUperceivedaslessliquidthanotherAAA-ratedsovereigns

Yieldcurves:EUbondsvsbondsissuedbythefourlargesteuroareaeconomiesandEUsupranationalentities

(percentagepoints)

Sources:BloombergandECBstaffcalculations.

Notes:EUsupranationalentitiesreferto(i)EuropeanFinancialStabilityFacility(EFSF),(ii)EuropeanStabilityMechanism(ESM)and(iii)EuropeanInvestmentBank(EIB).

Cut-offdateis24September2024.

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TheEuropeanUnionhasmassivestrategicinvestmentneeds

AdditionalcumulatedEUprivateandpublicinvestmentneedsanditsfunding:estimatesforgreenanddigitaltransitionsanddefencespending

(2025-2031;byfundingentitiesandinEURtrillions)

6

5

4

3

2

1

0

PrivatefundingneedsEUpublicinitiatives

Publicfundingneeds(notyetcoveredbyEUinitatives)

GreenDigitalDefenceTotal

Sources:EuropeanCommission(2023),StrategicForesightReport:sustainabilityandpeople'swellbeingattheheartofEurope’sOpenStrategicAutonomy;EuropeanDefenceFund(EDF);NATO;ECBstaffowncalculations;ECB(2024),“Mindthegap:Europe’sstrategicinvestmentneedsandhowtosupportthem”,TheECBBlog,27June.

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Notes:Thechartshowstheadditionalinvestmentwhichisthedifferencebetweentotalinvestmentneedsandhistoricalaverages.Thefundingofthecumulativeadditionalinvestmentneedsisdecomposedintowhatisexpectedtobefinancedbytheprivatevsthepublicsector.PlannedEUinvestmentfundinginitiativesincludetheEUbudget,theRecoveryandResilienceFacility(RRF)ofNextGenerationEU(NGEU)untilend-2026,theEuropean