资源丰富经济体的财政乘数：来自海湾国家的证据（英）

Fiscal Multipliers in Resource-Rich Economies Evidence from the Gulf Countries Muhammad Khudadad ChatthaTobias Kawalec Policy Research Working Paper11193 Abstract This paper utilizes the unique dynamics of fiscal budgetingin countries with a large hydro-carbon sector to estimatefiscal multipliers. The main identifying assumption restson the idea that exogenously identified global hydrocarbondemand shocks can be considered plausible instruments forthe fiscal space of countries in which that space is signifi-cantly dictated by hydrocarbon income, with such shocksbeing uncorrelated with non-hydrocarbon output at the same time. Using a local projection-instrumental variables(LP-IV) framework, the paper estimates that short-run fiscalexpenditure multipliers to be in the ballpark of 0.1–0.4. Inaddition, the findings show that multipliers are at the upperend of this interval during recessions, indicating that fiscalpolicy in the Gulf countries is particularly effective duringeconomic downturns. This paper is a product of the Economic Policy Global Department. It is part of a larger effort by the World Bank toprovide open access to its research and make a contribution to development policy discussions around the world. PolicyResearch Working Papers are also posted on the Web at http://www.worldbank.org/prwp. The authors may be contactedat mchattha@worldbank.org and tobias.kawalec@economics.ox.ac.uk. 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. Fiscal Multipliers in Resource-Rich Economies:Evidence from the Gulf Countries∗ Muhammad Khudadad Chattha†Tobias Kawalec‡ 1Introduction One of the most contested objects in macroeconomic research has been the fiscal multiplier: theeffect of an underlying change to fiscal policy on domestic output.Determining the size of fis-cal multipliers sheds light on the effects of government expenditure and income in influencingbusiness cycle-frequency dynamics, allowing the policymaker to use the fiscal instruments at theirdisposition to stabilize especially demand-driven business cycle dynamics as necessary. However,the estimation of fiscal multipliers has to overcome the simultaneity bias inherent to fiscal policy.Because of this simultaneity bias, a particular burden is placed on the identifying assumptionsthat allow the researcher to exploit meaningful (quasi-)exogenous variation by which the impactof fiscal policy measures can be recovered. We contribute to this ongoing debate by providing evidence from a particular geographical area,namely, the member countries of the Gulf Cooperation Council (GCC). Its member countries canbe considered particularly informative for the debate on the size of fiscal multipliers as significantportions of the income earned by the GCC sovereign entities are effectively sourced in the salesand export of pure and refined hydrocarbons. As an illustrative example, in the period for whichwe have quarterly data available, the share of fiscal revenue directly attributable to the productionand sales of hydrocarbon products ranges between 53% and 92% in Saudi Arabia, and between85% and 95% in Kuwait.While this share of fiscal capacity related to hydrocarbon generationis steadily declining across the GCC economies in the light of ongoing economic diversificationefforts, the fiscal situation of all GCC member countries in the past 15 years has been majorly shapedby dynamics underpinning global hydrocarbon markets. Our contribution will be to leverage thispartial exogeneity of the fiscal space in GCC economies to inform estimates of fiscal multipliers.We will work both with shocks deduced from previous expenditure and income dynamics as wellas with exogenous hydrocarbon demand shocks to inform fiscal variables, whose influence onnon-hydrocarbon output we can then pin down by instrumenting government expenditures andincome appropriately. We begin by introducing our econometric methodology and the running identification assump-tion for our data-driven approach. In sum, we isolate the cyclical component of fiscal income andexpenditure variables, and instrument this with a Blanchard and Perotti (2002)-style unexpectedcomponent of the respective fiscal variableandthe world oil demand shock component recoveredby Baumeister and Hamilton (2019). We then estimate the effect of the instrumented fiscal vari-able onnon-hydrocarbonoutput