债务型经济增长:当代发达国家的经济特征

2008年美国金融危机和近年一些发达国家相继发生的主权债务危机,从根本上不同于以往历次危机,展现了当代发达资本主义国家经济的债务化特征,即一方面资本过剩(流动性过剩)推动了金融资本投机性投资,依靠金融创新制造的"财富效应"来刺激虚假的购买力;另一方面,发达国家政府依靠债务来维持其庞大的财政开支。债务型经济增长是不可持续的,终将爆发危机进行强制性调整。     

The role of uncertainty in the euro crisis – an application of liquidity preference theory

The world financial crisis triggered a rediscovery of the active role fiscal policy can play as a remedy in such situations. During the euro crisis, escalating funding costs in a number of southern eurozone member states and Ireland have called this strategy into question. One interpretation of the euro crisis concentrated on the public debt trends in those countries. Opposing this view, the main point of this contribution is to elaborate the link between rising interest rates on sovereign bonds in the euro crisis and a major feature of the financial crisis – a subdued degree of investor confidence after the Lehman collapse. Theoretically, this link is developed with reference to Keynes’ liquidity preference theory. The high explanatory power of measures for the degree of confidence in financial markets as well as detrimental effects of fiscal austerity on the evolution of sovereign yield spreads are demonstrated empirically by means of panel regressions and supplementary correlation analyses.     

Fiscal adjustment in a panel of countries 1870–2016

The financial crisis from 2007 and, even more so, the Covid-19 pandemic caused large increases in public sector deficits and debts in many countries and prompted concern about fiscal adjustment. This paper examines fiscal adjustment to debt and deficits for a panel of 17 countries over 1870–2016 using the Jordà–Schularick–Taylor Macrohistory Database. This long span panel is informative since it contains many examples of large fiscal shocks similar to those recently experienced. The results from reduced-form models suggest that large deficits or surpluses tend to prompt stabilising feedbacks, mainly through changes in revenue, and there is greater pressure to adjust on countries running a deficit versus those running a surplus. However, the debt–GDP ratio prompts much less stabilising feedback by expenditure or revenue.¹     

欧元问世后国际储备货币竞争格局与欧元危机

欧元问世以来,国际储备货币竞争格局由美元垄断已经演化成美元与欧元的双头竞争。研究显示,造成欧元危机的真正原因是全球欧元储备份额的持续上升,它严重削弱了美元的全球霸权和美国的国家利益,欧元危机不是由债务国违约引发,而是由美国的评级机构调降这些国家的主权债务评级引发。本文认为,只要现存的国际储备货币体系仍然得以维持,欧元危机就不会导致欧元崩溃和欧元终结。     

Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach

We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond markets, evaluate the nature and strength of their dependencies over time, and gauge the transmission of the crisis shocks. Our results can be summarized as follows: i) the eurozone sovereign bond markets under consideration have a significant and positive dependence with the Greek and the EMU benchmark sovereign bond markets; ii) the dynamic-BB7 copula function best describes the dependence structure between these sovereign bond markets and provides evidence of asymmetric tail dependence; iii) the conditional probability of crisis transmission from Greece to other eurozone countries is higher than the other way around; and iv) Greece is the most vulnerable country when the eurozone entered into the sovereign debt crisis.     

Fiscal Prudence and Growth Sustainability: An Analysis of China's Public Debts

This paper analyses and assesses China's current fiscal system, including its basic institutional arrangements, the relationship between central and local governments, and the fiscal balance and public debt. This paper pays special attention to the local government borrowings that have increased dramatically in recent years, and tries to measure the “overall public debt risk” by including all kinds of eligible debts. This paper finds that although the large expansion of local government debt during the fiscal stimulation response to the global financial crisis was devastating, the all‐inclusive total public debt to gross domestic product ratio remains under 50%, and as long as the local debt stops growing, the risk is quite manageable. This paper also points out that more attention should be paid to improving and reforming the Chinese fiscal system, particularly the reform of the fiscal relationship between central and local governments, and the legal framework for local government debt management.     

On the size of government spending multipliers in Europe

This article compares the size of government spending multipliers in Europe by applying a panel structural vector autoregression analysis on 11 eurozone and 8 non-eurozone countries using quarterly data from 1991Q1 to 2012Q4. We find that (i) spending multipliers are smaller in eurozone compared to non-eurozone countries, (ii) across the euro area the impact of government spending on GDP has been higher before than after the introduction of the euro, (iii) spending multipliers are larger in the eurozone periphery than in the core countries and (iv) since the beginning of the recent financial crisis, spending multipliers have become larger both for eurozone and for non-eurozone countries. We relate these results to an emerging theoretical literature linking the size of fiscal multipliers to the monetary policy stance. We also discuss the implications of our findings for the effectiveness of fiscal policy in Europe.     

THE BEHAVIOR OF U.S. PUBLIC DEBT AND DEFICITS DURING THE GLOBAL FINANCIAL CRISIS

In this paper we test the sustainability of U.S. public debt for the period 1916–2012 by analyzing how the primary surplus to gross domestic product (GDP) responds to changes in the debt to GDP ratio in a time‐varying parameter model. Further, we determine the stationarity property of the debt/GDP ratio while accommodating possible breaks in the data caused by wars and economic crisis under both the null and alternative hypotheses of an endogenous unit root test. The results show that the U.S. public debt was sustainable until 2005 when the primary surplus to GDP reacted negatively to the debt/income ratio. This is further exacerbated during the global financial crisis when primary surpluses continued to fall with increased debt, thus jeopardizing the sustainability of fiscal policy. While the stationarity test shows that the U.S. fiscal debt/GDP ratio is sustainable, it fails to highlight the risk that its debt policy has been becoming unsustainable in recent years. (JEL H62, E62, C2)     

Is Fiscal Policy Procyclical in the Euro Area?

We test the relationship between the cyclically adjusted primary balance and alternative indicators of cyclical conditions for the euro area and 18 OECD countries over the period 1970–2009. A countercyclical stance of discretionary fiscal policy is found during bad times after 1999 in the euro area as a whole and in a few member countries only (France, Ireland and The Netherlands). It is also associated with high public deficits or low public debts. There is no significant case of procyclical fiscal policy after 1999, neither in good times nor in bad times.     

浅析欧债危机对中国外贸的影响及对策

欧盟是我国第一大贸易伙伴和第一大出口市场.随着欧债危机持续恶化,欧债危机已经席卷整个欧元区,由希腊蔓延至西班牙、意大利等国.在这场经济风暴中,我国对欧洲的产品出口也受到严重的影响.通过分析欧债危机的现状和原因,我们发现此次危机对我国对欧贸易的影响主要体现在欧元汇率、欧洲市场需求的萎缩和欧洲市场挤出效应等方面.欧元汇率持续下跌,给以欧元作为结算单位的中国企业带来很大的汇兑风险,许多中小企业出口利润都淹没在汇率风险中.而欧洲市场需求的萎缩和欧洲市场挤出效应使我国的对欧贸易严重受挫.我国外销企业只有及时调整产业结构、不断开拓市场和防范汇率波动风险,才能抵御欧债危机的影响.     

Measuring the end of the European financial crisis

In 2013 it was declared that ‘the eurozone crisis is over’. However, in fact, the series of financial crises since 2008 may have interrupted the process of EMU enlargement, which in turn triggered a continuing crisis of confidence in the euro. In this paper we extend the sigma‐convergence test to provide a more precise understanding of real interest rate parity (RIP) convergence. On the basis of this, we predict the timing for eliminating the cost of economic asymmetric shocks. Our estimation indicates the RIP among EMU members and accessions were still valid after the disruptions of the 2008 financial crisis. However, the situation has been even worse since the 2010 European sovereign debt crisis, and ceteris paribus, symmetry cannot be achieved without further policy actions. This implies that the EMU authority must do its best to strengthen symmetry and thereby solidify the EMU, at which point it will be better able to re‐start the process of enlargement.     

Does higher government debt link to higher social expenditure? New method,new evidence

Scholars believe that higher social expenditures are usually linked with higher government debts, whereas higher debts reduce social expenditures. However, it is reasonable to speculate that higher government debt may contribute to higher social spending, while fiscal deficits occur during a recession, which commonly creates greater demand for social expenditure. For a deeper investigation, this paper revisits the dynamic relationship between social spending and public debts in the time-frequency domain, using the novel wavelet-coherency analysis as well as the phase-difference technique to derive the co-moved and causal relationships between social spending and public debts in 13 OECD countries. The evidence identifies a dynamic relationship between variables. While higher social expenditures increase government debts, the shocks from government debts to social expenditures are conversely uncertain. We discover that higher government debt does reduce social expenditures, but it may be linked to higher social spending. The robustness of partial coherency and phase-difference discovers the role of a political party in the decision over social welfare programmes in the sample countries.     

欧洲债务危机、财政联盟与蓝色债券

自希腊发生主权债务危机以来,欧元区持续动荡。欧元区总体财政状况并不差于美国等国,但欧元区却率先陷入债务危机困局,未建立统一的财政政策是一个重要原因。在债务危机的逼迫下,欧元区针对危机采取了一系列救助措施,这事实上是某种形式的财政联盟。在对比美欧财政和公共债务状况的基础上,本文探讨了欧元区建立财政联盟的必然性,分析了欧元区财政联盟的实际进展,并进一步剖析了建立财政联盟的一种方案——"蓝色债券"的优点和障碍等。     

Fundamentals and Sovereign Risk of Emerging Markets

We empirically assess the relative importance of various economic fundamentals in accounting for the sovereign credit default swap (CDS) spreads of emerging markets during 2004–2012, which encompasses the global financial crisis of 2008–2009. Inflation, state fragility, external debt and commodity terms of trade volatility were positively associated, while trade openness and a more favourable fiscal balance/GDP ratio were negatively associated with sovereign CDS spreads. Yet the relative importance of economic fundamentals in the pricing of sovereign risk varies over time. The key factors are trade openness and state fragility in the pre‐crisis period, the external debt/GDP ratio and inflation in the crisis period, and inflation and the public debt/GDP ratio in the post‐crisis period. Asian countries enjoy lower sovereign spreads than Latin American countries, and this gap widened during and after the crisis. Trade openness was the biggest factor behind Asia's lower sovereign spreads before the crisis, and inflation during and after the crisis. The results imply that external factors were paramount in pricing sovereign risk prior to the crisis, but internal factors associated with the capacity to adjust to adverse shocks gained prominence during and after the crisis.     

Exporting Assets: EMU and the Financial Drivers of European Macroeconomic Imbalances

ABSTRACT

European Economic and Monetary Union has fostered an unstable complementarity in European financial markets between the growth models favoured by European savers (in the northern ‘core’ of Germany and other exporting states) and its borrowers (in the debt-fuelled and demand-driven eurozone periphery, including countries like Greece and Ireland). In the 2000s, the result of this development was a sharp decrease in real interest rates across the eurozone periphery, leading to rapid but inflationary growth. This eroded the competitiveness of exporters in the European periphery, making them more reliant on capital inflows to pay for growing current account deficits. Those deficits became problematic after the disruption of eurozone financial markets beginning in 2008. The policy response to the crises has focused on reducing the competitiveness gap between the core and periphery – while overlooking the financial forces that contributed to those competitiveness differentials in the first place. Indeed, it is the fragile and perverse complementarity in eurozone financial markets – more than any external shock or competitiveness differences – that lies at the root of Europe’s ongoing crisis.     

How big is the Chinese Government debt?

China’s public debt does not provide a meaningful guidance about the government’s overall debt burden, since it also has various forms of contingent liabilities such as shortfalls in the pension fund, debts of local government investment vehicles, and nonperforming loans of the state-owned commercial banks. However, there is no authoritative data on the government’s overall debt burden. In this paper, we try to put together a complete picture by piecing together information available, following a consistent framework. Our results suggest that the Chinese Government’s total debt could be already above 100% of GDP, in contrast to the public debt/GDP ratio of 15.5. Urgent reforms are needed in order to reduce fiscal risks, although risks of debt crisis look small in the short term, given sound balance sheet of the public sector. Local governments’ borrowing without hard budget constraint presents the greatest risk to sustainability of China’s fiscal system.     

Boom,slump, sudden stops,recovery, and policy options. Portugal and the Euro

Over the past 20 years, Portugal has gone through a boom, a slump, a sudden stop, and now a recovery. Unemployment has decreased, but remains high, and output is still far below potential. Competitiveness has improved, but more is needed to keep the current account in check as the economy recovers. Private and public debt are high, both legacies of the boom, the slump and the sudden stop. Productivity growth remains low. Because of high debt and low growth, the recovery remains fragile. We review the history and the main mechanisms at work. We then review a number of policy options, from fiscal consolidation to fiscal expansion, cleaning up of non-performing loans, labor market reforms, product market reforms, and euro exit. We argue that at this point, the main focus of macroeconomic policy should be twofold. The first is the treatment of non-performing loans, the second is product market reforms and reforms aimed at increasing micro-flexibility in the labor market. Symmetrically, we also argue that at this point, some policies would be undesirable, among them faster fiscal consolidation, measures aimed at decreasing nominal wages and prices, and euro exit.     

THE GREAT RECESSION, “RAINY DAY” FUNDS,AND COUNTERCYCLICAL FISCAL POLICY IN LATIN AMERICA

We examine the fiscal policy options that were available to Latin American countries at the onset of the current global economic crisis, concluding that most of the major countries in the region possessed the fiscal space (as measured by credible fiscal sustainability and debt headroom) to run prudent countercyclical fiscal deficits. For those countries, the appropriate policy response involved a constrained fiscal expansion focused on productive public spending and financed by drawing on the “rainy day” funds—in the form of large stocks of foreign exchange reserves—that they accumulated in prior years, rather than by market borrowing. (JEL E62, E63, F34)     

Financing government investment and its implications for public capital: A small open economy perspective

Expenditure reductions played a key role in many small open economies during fiscal consolidation, with large declines in public investment. This led to a reduction in public capital stock and affected the competitiveness of these economies. After the sovereign debt crisis, the governments that consider increasing investment to replenish the public capital stock have limited fiscal space and have to avoid external imbalances. We show that using budget-neutral investment spending can generate long-term benefits of higher public capital stock while at the same time limiting negative consequences for the public finances and the trade balance. The best way of financing government investment, which preserves fiscal and trade balances, and increases welfare, is by reducing other government spending. The second-best is financing investment with value-added tax. Financing with debt worsens fiscal and trade balances, while using distortionary labour taxes reduces labour supply, increases wage costs and worsens the trade deficit in the short run.     

基于可流动性资产负债表的我国政府债务风险研究

政府资产是政府债务顺利偿还的基础,当政府资产低于其负债时,政府债务将面临一定风险,因此基于政府资产负债的视角,本文结合中国实际首先编制了一个简化的政府"可流动性资产"负债表,然后,分析了1998—2008年我国政府仅考虑直接债务时的政府债务风险,并且对2009—2010年的政府债务风险进行了分析。研究表明,2003—2006年因外汇储备急剧增长使我国政府债务风险总体较小且比较稳定,但因金融危机的爆发,我国政府债务风险在此期间前后的两次金融危机中都比较大,金融危机对政府债务风险的影响显著。研究还表明,积极的财政政策对短期降低政府债务风险具有明显效果,且1997年亚洲金融危机和2007年美国次贷危机对我国政府债务风险的影响具有相似性,即金融危机爆发后的几年内政府债务风险会因积极的财政政策而经历"大—小—大"的变化过程。最后,通过引入政府或有债务,分析了具有或有债务时的政府债务风险。本文认为,只要我国政府的或有债务规模不超过24万亿元人民币,则我国的政府债务风险较小。