主权风险下的扩张性财政整合（英）

Expansionary Fiscal ConsolidationUnder Sovereign Risk Carlos EsquivelAgustin Samano Development EconomicsDevelopment Research GroupJune 2025 Policy Research Working Paper11156 Abstract A debt limit of 44 percent of gross domestic product attainsthe maximal welfare gain of 0.5 percent. Implementationof the debt limit generates short-lived drops in consump-tion and investment of 5 and 7 percent, respectively, and along-run gross domestic product expansion of 1.4 percent.The paper relaxes the assumption of commitment to therule and discusses how the threat of exclusion from imple-menting future rules provides enough incentives to avoiddeviations. Welfare gains more than double in this case. This paper develops a sovereign default model with capitalaccumulation, long-term debt, and fiscal rules with two dis-tortions: debt dilution and private underinvestment. Fiscalrules generate a long-run economic expansion because theymitigate default risk caused by dilution, which increasescapital accumulation. In the short run, however, the econ-omy goes through a costly transition where consumptionand investment drop to finance debt reduction. Thesedynamic trade-offs are quantified, and the welfare gains offiscal rules are computed using a calibration for Argentina. The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about developmentissues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry thenames of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely thoseof the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank andits affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent. Expansionary Fiscal ConsolidationUnder Sovereign Risk* Carlos Esquivel†Agustin Samano‡ Keywords:Fiscal rules, Sovereign risk, Expansionary fiscal consolidation.JEL Codes:F34, F41 1Introduction Significant fiscal expansions following the economic downturn from the COVID-19 pandemic ledto historically high levels of public debt.In the aftermath, most economies face the challengeof restoring their fiscal balance without hampering their economic recovery. While there is someevidence that fiscal consolidations can be expansionary, this challenge can be particularly difficultfor emerging economies that pay high interest rate spreads.1Moreover, most of the theoreticalwork that studies such expansions focuses on advanced economies for which default risk is lowand debt is held domestically.2With debt crises looming on the horizon, highly indebted emergingeconomies cannot solely rely on policy prescriptions from this literature. We introduce a novel mechanism through which fiscal consolidation can be expansionary in thepresence of default risk. The key policy prescription is to consolidate following the introductionof a fiscal rule. We argue that the fiscal rule mitigates two distortions that have been studied inthe sovereign default literature: dilution of long-term debt (Hatchondo, Martinez, and Sosa-Padilla(2016)) and underinvestment (Esquivel (2024)). By mitigating these distortions fiscal disciplineinduced by the rule lowers default risk and increases capital accumulation in the long-run. In theshort-run, however, the implementation of the fiscal rule may result in a costly transition withdepressed investment and consumption to finance debt reduction. To study this trade-off and formalize the mechanism we develop a quantitative sovereign debtmodel with capital accumulation, long-term debt, and fiscal rules.3Domestic households make ag-gregate investment decisions and lack access to international financial markets, while a benevolentgovernment makes optimal borrowing and default decisions on their behalf. We model debt rulesas an upper bound to the debt-to-GDP ratio, following the benchmark analysis of Hatchondo, Mar-tinez, and Roch (2022). Different from previous work, a feature of our model is that whether thelimit binds depends on the history of capital accumulation and on the realization of a productivityshock. As is standard, we assume that when the government defaults it is excluded from financialmarkets for a random number of periods and there is an exogenous cost to productivity. The latterimplies that default risk lowers the expected return to capital, which depresses investment. Debt dilution and underinvestment interact with each other. As in Hatchondo, Martinez, andSosa-Padilla (2016), dilution substantially increases default risk. High default risk lowers the ex-pected marginal return to capital, to which households respond by investing less. Esquivel (2024)shows that low capital accumulation further increases default risk and limits the ability of the gov-ernment to r