财政声明的信号效应

Thesignalingeffects offiscalannouncements Leonardo Melosi,Hiroshi Morita,Anna Rogantini Picco,Francesco Zanetti Disclaimer:Thispaper should not be reported as representing the views of theEuropean Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract Announcing a large fiscal stimulus may signal the government’s pessimism about the severityof a recession to the private sector, impairing the stabilizing effects of the policy. Using atheoretical model, we show that these signaling effects occur when the stimulus exceedsexpectations and are more noticeable during periods of high economic uncertainty. Analysisof a new dataset of daily stock prices and fiscal news in Japan supports these predictions.We introduce a method to identify fiscal news with different degrees of signaling effects andfind that such effects weaken or, in extreme cases, even completely undermine the stabilizingimpact of the announcements. Keywords:Fiscalpolicy,macroeconomicstabilization,uncertainty,imperfectinformation. JELclassification:E 62,E 32,D83. Non-technical Summary Fiscal policy is widely regarded as a key tool for stabilizing business cycles. During the COVID-19 pandemic, for instance, many countries enacted substantial fiscal packages to support theireconomies amidst the widespread crisis. However, assessing the effectiveness of these stabiliza-tion policies is inherently difficult, as they are typically implemented in response to endogenousdevelopments, such as a recession. Consequently, the size of these interventions likely reflectspolicymakers’ assessments of the economic outlook. This implies that the announcement of alarge fiscal stimulus may be interpreted by the private sector as an indication that the gov-ernment views the recession as particularly severe. Such an interpretation may worsen privatesector expectations about the economic outlook, potentially weakening the stabilizing effects ofthe fiscal intervention. The objective of this paper is to assess whether these signaling effectsare supported by a newly constructed dataset of fiscal news in Japan and to provide the firstquantification of these effects for fiscal policy. We first develop a stylized model to illustrate the theoretical mechanism underlying the sig-naling effects of fiscal policy. This model provides critical insights that inform the design of ourempirical analysis on the signaling role of fiscal policy and yields four central predictions. First,signaling effects emerge when there is asymmetric information between policymakers and theprivate sector, and when policy actions are interpreted as responses to evolving economic con-ditions. Second, the magnitude of signaling effects increases with the level of prior uncertaintyheld by the private sector. Third, signaling effects dampen (or magnify) the impact of a policyaction if the private sector expected a smaller (or larger) intervention before the governmentreveals the size of the fiscal intervention. Fourth, signaling effects do not necessarily reverse theimpact of economic policies. A fiscal expansion may still increase output, even if the signalingmechanism partially dampens its effect. We construct a novel dataset that combines the daily Nikkei 225 stock index with narrativerecords from press releases about thirty-four supplementary fiscal packages announced by theJapanese government from 1992 to 2022. This fiscal news was introduced in response to eventsthat threatened to worsen the economic outlook, such as the 2011 earthquake or the COVID-19 pandemic.We use articles of theNikkei newspaper– the major, real-time, economic andbusiness outlet in Japan – to identify the timing of public announcements for each fiscal package. We focus on Japan because of its orderly and predictable legislative process for spendingbills, offering a unique setting to empirically assess the significance of signaling effects. A key institutional feature is that the size of a spending bill is disclosed at a specific stage in thelegislative process and is not renegotiated thereafter. This characteristic enables us to preciselyidentify the moment when the size of fiscal packages is first made public.Establishing theexact timing of fiscal stimulus announcements allows us to assess whether the private sectorrevises its expectations about government spending in response to the news. This is essentialfor understanding whether the announcement comes as a surprise and is interpreted as a signalabout the broader economic outlook. To this end, we examine changes in stock prices on theday the size of the fiscal package is revealed and control for revisions in the private sector’sexpectations. An important preliminary step is to establish how stock prices respond to fiscal news, absentsignaling effects.We show that the stock market generally reacts positively to fiscal news inJapan. Bullish responses to fiscal news are not obvious, as such news might lead