世界银行-主权风险下的扩张性财政整合（英）-2025.6_41页_926kb

Summary of Policy Research Working Paper 11156: Expansionary Fiscal Consolidation Under Sovereign Risk

I. Core Findings

1. Mechanism of Expansionary Fiscal Consolidation

• Fiscal rules (specifically debt limits) mitigate two key distortions in sovereign default models: debt dilution (new borrowing reduces the value of existing debt) and private underinvestment (households do not fully internalize how capital accumulation affects default risk).
• By reducing default risk, fiscal rules increase the expected return to capital, boosting long-run capital accumulation and economic growth. This lowers sovereign spreads and improves access to financial markets.

2. Optimal Debt Limit

• The optimal debt-to-GDP limit is 44.2%, yielding a welfare gain of 0.5% (equivalent to 1.35% higher long-run consumption and 1.4% GDP growth).
• Implementation involves a short-term transition with a 5-7% drop in consumption and investment in the first year, but these fully recover within 1–3 years, with sustained higher welfare due to increased capital stock.

3. Dynamic Trade-offs Without Commitment

• Even without committing to the rule, governments have strong incentives to follow through. Deviating from the rule increases default risk permanently, as the loss of future rule benefits outweighs short-term gains.
• Without commitment, welfare gains double to 1.2%, driven by lower long-term default risk and capital increases ("rules without commitment").

4. Empirical Support

• Long Run: Countries with debt rules have 1.4 percentage points higher private investment (as a share of GDP) than those without, controlling for spreads, debt, and economic cycles.
• Short Run: Private investment falls by about 15% in the first two years post-rule adoption but recovers and exceeds pre-adoption levels in subsequent years, consistent with model predictions.

II. Key Contributions

• Develops a quantitative model integrating capital accumulation, default risk, and fiscal rules, revealing their interaction and welfare implications.
• Provides empirical evidence that fiscal rules enhance private investment and economic growth in emerging economies.
• Argues that fiscal rules can be effective even without enforcement mechanisms, as the threat of permanent exclusion from future rule benefits deters deviation.

III. Conclusion

A fiscal rule reduces sovereign risk and boosts long-term growth, despite short-term costs. Optimal debt limits balance these trade-offs, offering significant welfare gains especially in high-risk economies. Policies should focus on institutional frameworks that sustain rule adherence without relying on external commitment, leveraging domestic incentives against default.