信贷到期：财政整合、主权风险与银行信贷

Credit where Credit isDue:FiscalConsolidations,Sovereign RiskandBankCredit Antonio C. David, Samuel Pienknagura,andJuan Yépez WP/25/206 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working Paper African Department,ResearchDepartment, and Western Hemisphere Department Credit where Credit is Due: Fiscal Consolidations, Sovereign Risk, andBankCreditPrepared byAntonio C. David,Samuel Pienknagura, and Juan Yépez Authorized for distribution by Luis CubedduOctober2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Using quarterly data on bank credit to the private sector and a comprehensive database on fiscalpolicy announcements for a sample of 32 advanced economies and emerging markets, we estimate thedynamic response of bank credit to fiscal consolidations. Our results show that the relationship between fiscalconsolidation announcements and real bank credit differs by country groups. In countries with high sovereignrisk, consolidation announcements“crowd-in”bank credit, particularly credit to the corporate sector, whereascountries with low initial risk experience credit contractions. Further, we present evidence that the compositionof fiscal consolidations matters: expenditure-based consolidations are associated with a more favorable bankcredit response than revenue-based ones. Finally, we show that bank credit responds more favorably to fiscalconsolidations in countries with flexible exchange rate regimes, lower levels of household indebtedness, andwhen consolidation are announced during periods of robust economic activity. RECOMMENDED CITATION:David, Antonio C., Samuel Pienknagura, and Juan Yépez. 2025.“Credit whereCredit is Due: Fiscal Consolidations, Sovereign Risk, and Bank Credit”, IMF Working Paper No. 2025/206. Credit where Credit is Due:FiscalConsolidations, Sovereign Risk,andBankCredit Prepared byAntonioC. David, Samuel Pienknagura,and Juan Yépez* Contents 1Introduction 2Data and Empirical Strategy82.1Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9 2.1.1Fiscal Consolidation Announcements . . . . . . . . . . . . . . . . . . . . . . .92.1.2Bank Credit Data. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .102.1.3Additional Data Sources . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .102.2Empirical Strategy. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11 3Results12 3.1Differences By Country Income Groups. . . . . . . . . . . . . . . . . . . . . . . . .143.2Fiscal Consolidations and Bank Credit:The Role Fiscal Policy Credibility andSovereign Risk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .153.3Exploring the Relevance of the Sovereign Risk Channel: Evidence from a Counter-factual Exercise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17 4Additional Results4.1Fiscal Consolidation and Bank Credit Along the Business Cycle . . . . . . . . . . . .18 4.2Fiscal Consolidations, Bank Credit and Household Indebtedness. . . . . . . . . . .184.3The Role of Exchange Rate Flexibility . . . . . . . . . . . . . . . . . . . . . . . . . .184.4The Composition of Fiscal Consolidation Announcements and their Impacts on Dif-ferent Types of Bank Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19 5Conclusions19 ATables and Figures24 List of Figures 1The Timing of Fiscal Consolidation Announcements. . . . . . . . . . . . . . . . . .252Fiscal Consolidation Announcements and Real Bank Credit to the Private Sector . .263Fiscal Consolidation Announcements and Real Bank Credit to the Private Sector,by Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .274Fiscal Consolidation Announcements and Real Bank Credit to the Private Sector,by Income and Consolidation Type . . . . . . . . . . . . . . . . . . . . . . . . . . . .285Fiscal Consolidation Announcements and Real Bank Credit to the Private Sector,by Income and Type of Credit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .296Fiscal Consolidation Announcements and Real Bank Credit to the Private Sector,by Fiscal Policy Credibility. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .297Fiscal Consolidation Announcements and Bank Credit to the Private Sector, bySovereign Risk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .308Fiscal Consolidation Announcements, Sovereign Risk, and Household and Corpora