IMF-当r＜g时公共债务成本增加（英）-2024.1.docx

INTERNATIONA1.MONETARYFUNDCostlyIncreasesinPublicDebtwhenr<gYongquanCao,VitorGaspar,andAdrianPeralta-AlvaWP/24/10IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024JANWP/24/10©2024InternationalMonetaryFundIMFWorkingPaperFiscalAffairsDepartmentCostlyIncreasesinPublicDebtwhenr<gPreparedbyYongquanCao,VitorGaspar,andAdrianPeralta-Alva*AuthorizedfordistributionbyMarcosPoplawski-RibeiroJanuary2024IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheathor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:ThispaperquantifiesthecostsofapermanentincreaseindebttoGDP.Weemployadeterministic,overlappinggenerationsmodelwithtwoassetsandnoriskofdefault.Thetwoassetsarepublicdebtandprivate(productive)capital.Weassumethatthereturnonprivatecapitalequalstheinterestrateonpublicdebtplusanexogenouslygivenspread.Employingaanalyticalversionofthemodelweshowanexampleinwhichapermanentriseinthepublicdebtratioleadstoasignificantreductioninsteady-stateGDPevenasr<g.FollowingMcGrattanandPrescott(2017)weconsideracalibratedmodeloftheUSeconomyincludingarichsetoffeaturesofnationalaccounts,fixedassets,distributionofhouseholdincomesanddemographics.Theintuition(andeventheordersofmagnitude)fromthesimpleanalyticalmodelcarriesovertothisricherenvironment:theincreaseinthedebtratio,from60to120percentofGDP,isassociatedwithareductioninthecapitalstockofabout15percentandareductioninsteadystateGDPofabout8percent.RECOMMENDEDCITATION:Cao,Yongquan1VitorGasparandAdrianPeralta-Alva.2024.CostlyIncreasesinPublicDebtwhenr<g"1IMFWorkingPaperNo.2024/10.JE1.ClassificationNumbers:E43,E62,H63Keywords:Crowdingout;publicdebtAuthor'sE-MailAddress:YCao2imf.org,APeralta-Alvaimf.organdVGasparimf.orgIMFWORKINGPAPERSCostlyIncreasesinPublicDebtwhenr<gWORKINGPAPERSCostlyIncreasesinPublicDebtwhenr<gPreparedbyYongquanCao,VitorGaspar,andAdrianPeralta-Alva1INTERNATIONA1.MONETARYFUNDI.IntroductionIn2020,acuriousanomalywasapparentinglobalfinancialmarkets:despiterisingandhistoricallyhighdebt-to-GDPratios,sovereignbondyieldsweredecliningtoverylowlevels(even,insomecases,turningnegativeinrealterms).Thisledtothecoincidenceofrecordlevelsofdebtwithverylowdebtservicingcosts.OlivierBlanchardcharacterizesthislandscapeaszunusual,inhisbookFiscalPolicyunder1.owInterestRates,whereheextensivelyexplorestheassociatedfactsandpolicyimplications.Whileonemightbetemptedtodismisstheselow-interestratesasahistoricalaberrationespeciallyinlightofrecentinflationarypressuresandhighnominalratessuchadismissalmaybepremature.PriortotheCOVID-19pandemic,bothrealandnominalneutralinterestrateshadbeenonadecliningtrajectoryfordecades.Variousstructuralfactors,fromsluggisheconomicgrowthanddemographicchanges,asoutlinedbytheIMF(2023),toaglobalscarcityofsafeassets,asdiscussedbyCaballeroetal.(2017),contributedtothisenduringtrend.Manyofthesefactorsareexpectedtoremainoperatinggoingforward.Hence,asinflationreduces,lowinterestratesarelikelytoreturn.Other,moretemporaryfactors,mighthavealsopayedaroleinkeepinginterestrateslow,includingquantitativeeasingpoliciesimplementedbymajorcentralbanks.Determiningtheoverallquantitativeeffectsoftheinterplayofalltheseforcesisbeyondthescopeofthispaper.ThenegativedifferentialbetweeninterestratesandgrowthhasledscholarslikeBlanchard(2023)andBlanchard(2019)toarguethatelevatedlevelsofpublicdebtmayincurminimalfiscalandsocialcosts.Thefocusofourresearchistorigorouslyinvestigatetheconditionsunderwhichpublicdebtdoesimposesignificantcosts,settingasideanyconsiderationofthepotentiallyproductiveusesofsuchdebt.Thelimitationsimposedbyresourcescarcityandfiniteproductioncapacityapplytoallsectors,includinggovernmentalactivities.Theseconstraintsbecomeparticularlyapparentwhenweexplicitlyconsidertheendogeneityoftheconditionr-g<0.Boththerealinterestrate(r)andtheeconomicgrowthrate(g)arenotindependentofeconomicpolicy.Forthepurposesofthisstudy,weoperateundertheassumptionthatmarginalproductofcapitaltnisgreaterthangrowthg,treatingthespreadbetweeninandrasexogenouslydetermined.Ourpaperaddressestwocriticalquestions.First,doincreasinglevelsofpublicdebtresultineconomiccostswithinstandardoverlappinggenerationsmodelswhentn>g>rthatis,whentheeconomyisdynamicallyefficientdespiter-g<0?Ouranalysisconfirmsthatsurgingpublicdebtindeedcrowdsoutprivatecapital,thussuppressinglong-termoutput.Second,wequantifythemagnitudeofthesedetrimentaleffects.Itiswellunderstoodthathighdebtlevelsexposecountriestomultipleequilibriathatincludeattacksonsovereigndebt(seeforexampleColeandKehoe(2000)andAguiarandAmador(2021),foracomprehensivesurveyonsovereigndebtanddefaultissues).Wewillabstractawayfromtheseconsiderations.Ourpaperfocusesoncrow