Domestic Impact of a Fiscal Shock
财政冲击对国内的影响

A large body of literature on domestic fiscal multipliers suggests that cyclical and policy conditions play a role in the response of a domestic economy to fiscal shocks. In general, multiplier estimates vary significantly across countries, sample periods, and methodologies. While a comprehensive summary is beyond the scope of this chapter (see, for example, Batini and others 2014), dynamic stochastic general equilibrium and structural vector autoregression models developed since the early 1990s suggest that the size of multipliers tends to be modest (between zero and one over the first year) in “normal times”—generally understood as circumstances in which the economy does not have a significant output gap—and depends on a number of structural characteristics, including a country’s trade openness, exchange rate regime, labor market rigidities, and size of public debt.² Outside normal times, multipliers can vary with the state of the business cycle (generally larger in a downturn than in an expansion, although the empirical evidence is not conclusive) or the degree of monetary accommodation (larger when monetary policy is unresponsive, such as at the effective lower bound).³ All else equal, a larger domestic multiplier should be associated with greater cross-border spillovers.
大量有关国内财政乘数的文献表明，周期性和政策条件在国内经济对财政冲击的反应中发挥着作用。一般来说，乘数估计值因国家、样本期和方法而异。虽然全面的总结超出了本章的范围（例如，参见 Batini 等人 2014 年），但自 20 世纪 90 年代初以来开发的动态随机一般均衡和结构向量自回归模型表明乘数的大小往往适中（在零之间）以及第一年的一次）在“正常时期”——通常被理解为经济不存在重大产出缺口的情况——并取决于许多结构特征，包括一个国家的贸易开放程度、汇率制度、劳动力市场刚性和公共债务规模。 ² 在正常时期之外，乘数可能会随着商业周期的状态（通常在经济衰退时比扩张时更大，尽管经验证据并不确凿）或货币宽松程度（在货币宽松时更大）而变化。政策没有反应，例如在有效下限）。 ³ 在其他条件相同的情况下，更大的国内乘数应该与更大的跨境溢出效应相关。

The composition of the fiscal intervention—whether it is based on government spending or revenue measures—also influences the size of the domestic multiplier. Many studies have found that, for advanced economies, short-term spending multipliers tend to be larger than revenue multipliers (for example, see a survey in Mineshima, Poplawski-Ribeiro, and Weber 2014). This has been explained using traditional Keynesian theory—for example, while an additional dollar of government spending contributes directly to higher aggregate demand, a dollar of tax cuts can be either spent or saved by firms and/ or households (that is, the marginal propensity to consume can be less than one). Recent empirical evidence using the narrative approach has found somewhat larger tax multipliers than spending multipliers, although narrative-based evidence on the latter is primarily limited to defense-related spending.⁴ Yet other studies suggest that the relative magnitude of the spending and revenue multipliers may differ between consolidation and expansion episodes and among different degrees of monetary accommodation.⁵
财政干预的构成——无论是基于政府支出还是收入措施——也会影响国内乘数的规模。许多研究发现，对于发达经济体，短期支出乘数往往大于收入乘数（例如，参见 Mineshima、Poplawski-Ribeiro 和 Weber 2014 年的一项调查）。这可以用传统的凯恩斯主义理论来解释——例如，虽然额外的一美元政府支出会直接导致更高的总需求，但一美元的减税可以由企业和/或家庭花费或储蓄（即边际倾向）消费可能少于一）。最近使用叙述方法的经验证据发现，税收乘数比支出乘数稍大，尽管后者的基于叙述的证据主要限于国防相关支出。 ⁴ 然而其他研究表明，在整合和扩张时期以及不同程度的货币宽松之间，支出和收入乘数的相对大小可能有所不同。 ⁵

Channels of Cross-Border Transmission
跨境传输渠道

In standard open-economy macroeconomic models, a fiscal shock is transmitted abroad primarily through the trade channel, which consists of two effects:⁶
在标准的开放经济宏观经济模型中，财政冲击主要通过贸易渠道传导到国外，这包括两种效应： ⁶

• Expenditure shifting (sometimes referred to as “leakages”) refers to the direct impact of a fiscal policy change on the source country’s import demand through changes in domestic consumption and investment, which affects trading partners. Here, the marginal propensity to import by both the public and private sectors plays a key role—if most spending changes are in nontradable sectors and do not translate into a higher or lower level of imports, spillovers from expenditure shifting may be smaller. Larger and more open economies tend to import more, suggesting that fiscal policy changes in these countries will have larger spillovers on others through the expenditure shifting channel.
  支出转移（有时称为“泄漏”）是指财政政策变化通过国内消费和投资的变化对来源国的进口需求产生直接影响，从而影响到贸易伙伴。在这里，公共和私营部门的边际进口倾向发挥着关键作用——如果大多数支出变化发生在非贸易部门，并且不会转化为更高或更低的进口水平，那么支出转移的溢出效应可能会更小。规模更大、开放程度更高的经济体往往会进口更多商品，这表明这些国家的财政政策变化将通过支出转移渠道对其他国家产生更大的溢出效应。

• Expenditure switching refers to the impact of a fiscal shock operating through changes in the real exchange rate, which can trigger substitution between domestic and foreign goods consumption. For example, in a Mundell-Fleming-Dornbusch framework, fiscal expansion puts upward pressure on interest rates, the nominal exchange rate appreciates in the source country, and domestic prices increase.⁷ The resulting real appreciation boosts import demand as foreign goods become cheaper. This effect will be more significant, especially in the short term, when the nominal exchange rate is fully flexible; where nominal exchange rates are fixed, relative price—and hence real exchange rate—adjustments can take longer. Either way, expenditure switching effects imply that a fiscal shock can have nontrivial cross-border spillovers, even if its domestic impact is muted, because the boost to import demand can occur without an increase in domestic income.
  支出转换是指财政冲击通过实际汇率变化产生的影响，引发国内外商品消费的替代。例如，在蒙代尔-弗莱明-多恩布什框架中，财政扩张对利率造成上行压力，来源国名义汇率升值，国内价格上涨。 ⁷ 随着外国商品变得更便宜，由此产生的实际升值刺激了进口需求。特别是在名义汇率完全弹性的短期内，这种影响会更加显着；在名义汇率固定的情况下，相对价格（以及实际汇率）的调整可能需要更长的时间。不管怎样，支出转换效应意味着财政冲击可能会产生重大的跨境溢出效应，即使其国内影响不大，因为进口需求的增长可能会在国内收入不增加的情况下发生。

In addition to the trade channel, the response of financial variables to a fiscal shock can trigger spillovers through changes in global financial conditions. A fiscal policy change in a large economy can impact global interest rates, exchange rates, and the slope of the yield curve—the latter stemming from any perceived or actual impact of the policy change on long-term fiscal sustainability in the source country. The financial channel can work in the opposite direction to the trade channel. For example, the higher interest rates and exchange rate appreciation associated with an expansionary fiscal shock in the source country can increase the cost of foreign currency borrowing and worsen the balance sheets of corporations and households in recipient countries if there are currency mismatches, generating negative spillovers. Equity prices may also adjust, with cross-border repercussions.
除贸易渠道外，金融变量对财政冲击的反应也可能通过全球金融状况的变化引发溢出效应。大型经济体的财政政策变化可能会影响全球利率、汇率和收益率曲线的斜率——后者源于政策变化对来源国长期财政可持续性的任何感知或实际影响。金融渠道可以与贸易渠道发挥相反的作用。例如，如果存在货币错配，来源国扩张性财政冲击带来的利率上升和汇率升值可能会增加外币借贷成本，并使受援国企业和家庭的资产负债表恶化，从而产生负面溢出效应。股票价格也可能发生调整，并产生跨境影响。

Overall, the relative strength of each transmission channel will depend on the extent of trade and financial linkages between the source and recipient countries. Thus, the net spillover impact of a fiscal shock is an empirical question.
总体而言，每个传输渠道的相对强度将取决于来源国和接受国之间的贸易和金融联系的程度。因此，财政冲击的净溢出影响是一个经验问题。

Factors Affecting the Transmission
影响传输的因素

Like the domestic fiscal multiplier, cross-border spillovers from fiscal actions tend to vary with economic circumstances. Two factors play particularly important roles:
与国内财政乘数一样，财政行动的跨境溢出效应往往会随着经济环境的变化而变化。有两个因素起着特别重要的作用：

• Cyclical position: The domestic multiplier—and hence spillovers through expenditure shifting—may be larger when the source country has more economic slack. For example, a fiscal stimulus that boosts public employment would be more likely to crowd out private employment when labor markets are tight (Michaillat 2014), resulting in smaller domestic and spillover impacts; the same logic applies to the case of fiscal tightening. Another possibility is that a fiscal stimulus relaxes borrowing constraints (which tend to be tighter during a downturn), for example, by raising the value of collateralizable assets along with demand, helping to increase credit and investment (Canzoneri and others 2016). Somewhat similarly, if the recipient country is operating close to full capacity when an external fiscal shock hits, greater demand in tradable sectors may crowd out activity in the rest of the economy, resulting in a more muted impact on overall economic activity.
  周期性状况：当来源国经济闲置较多时，国内乘数以及由此产生的支出转移的溢出效应可能会更大。例如，当劳动力市场紧张时，促进公共就业的财政刺激更有可能挤出私人就业（Michaillat 2014），从而导致国内和溢出影响较小；同样的逻辑也适用于财政紧缩的情况。另一种可能性是，财政刺激措施放松了借贷限制（在经济低迷时期往往会更加严格），例如，通过提高可抵押资产的价值以及需求，帮助增加信贷和投资（Canzoneri 等，2016）。与此类似，如果受援国在外部财政冲击来袭时接近满负荷运转，那么可贸易部门的更大需求可能会挤出其他经济部门的活动，从而对整体经济活动产生较小的影响。

• Monetary policy constraints: Whether monetary policy accommodates the fiscal shock matters, and it is relevant for both source and recipient countries. Under normal circumstances, monetary policy reacts to counter the demand and price effects of a fiscal shock. However, when monetary policy is stuck at the effective lower bound, the domestic and spillover effects can be greater. For example, if nominal interest rates in the source country do not rise in response to higher expected inflation following an expansionary fiscal shock, real interest rates decline, crowding in domestic demand and increasing the multiplier (Blanchard, Erceg, and Lindé 2016).⁸ In this case, the reduction in the real interest rate in the source country may lead its real exchange rate to depreciate, changing the direction of the expenditure switching effect. In a recipient country, when at the effective lower bound, monetary policy will do little to dampen the effect of the external shock.
  货币政策约束：货币政策是否能够适应财政冲击很重要，并且与来源国和接受国都相关。在正常情况下，货币政策的反应是抵消财政冲击的需求和价格影响。然而，当货币政策停留在有效下限时，国内和溢出效应可能会更大。例如，如果来源国的名义利率没有因扩张性财政冲击后预期通胀上升而上升，实际利率就会下降，导致内需拥挤并增加乘数（Blanchard、Erceg 和 Lindé，2016 年）。 ⁸ 在这种情况下，来源国实际利率的下降可能会导致其实际汇率贬值，从而改变支出转换效应的方向。在受援国，当处于有效下限时，货币政策对抑制外部冲击的影响作用不大。

Aside from conjunctural factors, institutional or structural features such as the exchange rate regime can also affect the transmission of fiscal shocks and hence the size of spillovers. On one hand, most theoretical frameworks predict that lack of nominal exchange rate flexibility delays real exchange rate adjustments to a fiscal shock, dampening the expenditure switching effect and hence the size of spillovers. On the other hand, currency pegs can strengthen expenditure shifting between the source and recipient—for example, by reducing expected exchange rate volatility and cross-border transaction costs, which is helpful in forming trade relationships (Klein and Shambaugh 2006; Qureshi and Tsangarides 2010; Aglietta and Brand 2013)—and potentially increase spillovers. This may be particularly relevant in currency unions, as long-standing economic and institutional integration and the use of a common currency can strengthen trade (Rose and van Wincoop 2001; Berger and Nitsch 2008). The exchange rate regime also matters for the transmission of fiscal shocks through the financial channel. For example, under flexible regimes, spillovers from an expansionary fiscal shock can be dampened if currency mismatches in balance sheets of households and corporations in the recipient country make depreciations contractionary. Ultimately, which of these considerations dominates is an empirical question.
除了环境因素外，汇率制度等制度或结构特征也会影响财政冲击的传导，从而影响溢出效应的规模。一方面，大多数理论框架预测，名义汇率灵活性的缺乏会延迟针对财政冲击的实际汇率调整，从而抑制支出转换效应，从而抑制溢出规模。另一方面，货币挂钩可以加强来源国和接受国之间的支出转移——例如，通过减少预期汇率波动和跨境交易成本，这有助于形成贸易关系（Klein 和 Shambaugh 2006；Qureshi 和 Tsangarides 2010） ；Aglietta 和 Brand 2013）——并可能增加溢出效应。这对于货币联盟尤其重要，因为长期的经济和制度一体化以及共同货币的使用可以加强贸易（Rose 和 van Wincoop 2001；Berger 和 Nitsch 2008）。汇率制度对于通过金融渠道传导财政冲击也很重要。例如，在灵活的制度下，如果受援国家庭和企业资产负债表中的货币错配导致贬值紧缩，扩张性财政冲击的溢出效应就会受到抑制。最终，这些考虑因素中哪一个占主导地位是一个经验问题。

Empirical Strategy 实证策略

The baseline approach jointly identifies government spending and revenue shocks in five major advanced economies—France, Germany, Japan, the United Kingdom, and the United States—using the structural vector autoregression methodology of Blanchard and Perotti (2002).⁹ A key assumption is that discretionary fiscal policy does not respond contemporaneously to unexpected changes in output, as it takes time for policymakers to assess the output shock and make spending and/or tax decisions, including passing and implementing new legislation. The assumption is more likely to hold in the short term, and therefore the identification uses quarterly data.¹⁰
基线方法使用 Blanchard 和 Perotti (2002) 的结构向量自回归方法，共同确定五个主要发达经济体（法国、德国、日本、英国和美国）的政府支出和收入冲击。 ⁹ 一个关键假设是，酌情财政政策不会同时对产出的意外变化做出反应，因为政策制定者需要时间来评估产出冲击并做出支出和/或税收决策，包括通过和实施新的政策。立法。该假设在短期内更有可能成立，因此识别使用季度数据。 ¹⁰

The shocks identified by this approach offer a sensible narrative of the fiscal policies adopted over the past several decades. Comparison of structural shocks with historical policy records (quantified using the narrative approach in the literature) shows that structural shocks can broadly reflect major policy changes in timing and order of magnitude. For example, for the United States, the structural tax shocks capture tax cuts enacted under the Ronald Reagan and George W. Bush administrations as well as their subsequent expiration. The same is true of tax hikes during the 1980s, which were put in place following the Greenspan Commission’s recommendations to shore up financing of the social security system (Figure 4.3).¹¹
这种方法确定的冲击为过去几十年采取的财政政策提供了合理的叙述。将结构性冲击与历史政策记录（使用文献中的叙述方法进行量化）进行比较表明，结构性冲击可以广泛反映重大政策变化的时间和幅度。例如，对于美国来说，结构性税收冲击包括罗纳德·里根和乔治·W·布什政府实施的减税政策及其随后的到期。 20 世纪 80 年代的增税也是如此，这是根据格林斯潘委员会关于支持社会保障体系融资的建议而实施的（图 4.3）。 ¹¹

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Tracking Tax Shocks in the United States

(Percent of GDP)

Sources: Romer and Romer (2010); and IMF staff calculations.

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Tracking Tax Shocks in the United States
追踪美国的税收冲击

(Percent of GDP) （占国内生产总值的百分比）

Sources: Romer and Romer (2010); and IMF staff calculations.
资料来源：Romer 和 Romer (2010)；以及国际货币基金组织工作人员的计算。

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The structural shocks also have a statistically and economically significant domestic impact. Consistent with traditional Keynesian theory and previous empirical work that uses a similar methodology, estimates of domestic multipliers using the structural shocks tend to be larger for spending instruments (slightly above one) than for tax instruments (slightly below one). Some differences are seen in the size of domestic tax multipliers across the five source countries, with the multiplier of the United States being larger than that of European peers or Japan, possibly reflecting different tax structures and the specific tax instruments used (Blagrave and others, forthcoming).
结构性冲击还对国内统计和经济产生重大影响。与传统凯恩斯主义理论和之前使用类似方法的实证研究一致，使用结构性冲击对支出工具（略高于 1）的国内乘数的估计往往大于税收工具（略低于 1）。五个来源国的国内税收乘数的大小存在一些差异，其中美国的乘数大于欧洲国家或日本，可能反映了不同的税收结构和所使用的具体税收工具（Blagrave 等人，即将推出）。

The spillover effects from the fiscal shocks are estimated using the local projections method.¹² The econometric specification relates an economic outcome in a recipient country, such as the level of output, to a fiscal shock from the five source countries—constructed by pooling together shocks from source countries and weighting them by the strength of trade links between the source and the recipient.¹³ The baseline specification controls for factors that affect the normal short-term dynamics of output in the recipient country, such as past growth rates and external demand developments. The specification is estimated using quarterly data from the first quarter of 2000 through the second quarter of 2016, and the sample of 55 advanced and emerging market economies represents almost 85 percent of world output. Thus, the panel estimation gives spillover estimates for an “average” country in the sample.¹⁴ For the panel estimation, the shocks are expressed as a share of recipient countries’ output to facilitate aggregation across sources. For ease of interpretation of the economic magnitude, results are presented with shocks normalized to an average 1 percent of GDP change in the fiscal position across source countries (see details in Annex 4.2, which shows how panel results are rescaled using relative GDP levels and trade links).
财政冲击的溢出效应是使用当地预测方法来估计的。 ¹² 计量经济规范将受援国的经济成果（例如产出水平）与五个来源国的财政冲击联系起来——通过汇集来源国的冲击并按强度对其进行加权来构建来源国和接受国之间的贸易联系。 ¹³ 基准规格控制影响受援国正常短期产出动态的因素，例如过去的增长率和外部需求的发展。该指标是使用 2000 年第一季度至 2016 年第二季度的季度数据估算的，55 个发达和新兴市场经济体的样本几乎占世界产出的 85%。因此，面板估计给出了样本中“平均”国家的溢出估计。 ¹⁴ 对于面板估计，冲击表示为受援国产出的份额，以促进跨来源的汇总。为了便于解释经济规模，结果以来源国财政状况平均 1% GDP 变化标准化的冲击呈现（详见附件 4.2，其中显示了如何使用相对 GDP 水平和贸易重新调整面板结果）链接）。

Spillovers on Economic Activity
对经济活动的溢出效应

The results point to significant spillover effects from fiscal policy, especially from government spending shocks. Figure 4.4 shows the estimated response to a foreign fiscal shock of an average recipient country’s output over eight quarters. A shock to the fiscal balance—henceforth referred to as the overall fiscal shock—is constructed as a shock to government spending minus a shock to tax revenues, such that a positive shock implies a reduction in the source country’s fiscal balance (or an increase in the deficit). An overall fiscal shock would increase recipient output on impact, reaching a peak around the third quarter after the shock before starting to dissipate (Figure 4.4, panel 1). Estimations for specific fiscal instruments show that spillovers from a government spending shock are larger, more persistent, and more precisely estimated than those from a tax shock of equal size (Figure 4.4, panels 2 and 3).¹⁵ This is consistent with the evidence pointing to larger domestic spending multipliers than domestic tax multipliers—as discussed earlier. Data constraints prevent a more detailed empirical examination of spillovers from specific spending or tax instruments, such as government consumption or investment—an issue assessed later in the chapter through model-based simulations.
结果表明财政政策，特别是政府支出冲击产生了显着的溢出效应。图 4.4 显示了受援国八个季度平均产出对外国财政冲击的估计反应。对财政平衡的冲击（以下称为总体财政冲击）是指对政府支出的冲击减去对税收收入的冲击，因此正冲击意味着来源国财政平衡的减少（或财政支出的增加）。赤字）。总体财政冲击将增加受灾国的产出，冲击后在第三季度左右达到峰值，然后开始消散（图 4.4，第 1 部分）。对特定财政工具的估计表明，与同等规模的税收冲击相比，政府支出冲击的溢出效应更大、更持久、估计更准确（图 4.4，第 2 和第 3 部分）。 ¹⁵ 这与前面讨论的国内支出乘数大于国内税收乘数的证据是一致的。数据限制阻碍了对特定支出或税收工具（例如政府消费或投资）的溢出效应进行更详细的实证研究——本章稍后将通过基于模型的模拟评估这一问题。

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Dynamic Responses of Recipient Countries’ Output to Fiscal Shocks

(Impact on output level, percent; quarters on x-axis)

Source: IMF staff calculations.Note: t = 0 is the quarter of the respective shocks. Solid lines denote point estimates and dashed lines denote 90 percent confidence bands. Shocks are normalized to an average of 1 percent of GDP across source countries.

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Dynamic Responses of Recipient Countries’ Output to Fiscal Shocks
受援国产出对财政冲击的动态反应

(Impact on output level, percent; quarters on x-axis)
（对产出水平的影响，百分比；x 轴上的季度）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: t = 0 is the quarter of the respective shocks. Solid lines denote point estimates and dashed lines denote 90 percent confidence bands. Shocks are normalized to an average of 1 percent of GDP across source countries.
注：t = 0 是相应冲击的四分之一。实线表示点估计值，虚线表示 90% 的置信带。各个来源国的冲击被标准化为平均 GDP 的 1%。

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Spillovers are economically significant and in line with earlier estimates. For example, a 1 percent of GDP overall fiscal shock in an average major advanced economy would raise output in the average recipient country by about 0.08 percent over the first year. For a government spending increase of the same magnitude, the average spillover impact in recipient countries increases to 0.15 percent over the first year; for a tax hike of similar size, output falls by about 0.05 percent (Figure 4.5). As expected, spillovers from fiscal shocks are substantially lower than domestic fiscal multipliers in source countries, but still relevant.¹⁶ These are of the same order of magnitude as those found in previous work—for example, Beetsma, Klaassen, and Wieland (2006)—although differences in country and time samples as well as shock identification make a direct comparison challenging.¹⁷ While the spillover estimates in this section are averages across different economic and policy conditions, subsequent analysis also shows that there is a large difference between estimates in normal times and those in times of economic slack, for example.
溢出效应具有重大的经济意义，并且与之前的估计一致。例如，对一个主要发达经济体来说，如果总体财政冲击占 GDP 的 1%，那么受援国的产出在第一年平均会提高约 0.08%。对于相同幅度的政府支出增长，受援国的平均溢出影响在第一年增加到 0.15%；对于类似规模的增税，产出会下降约 0.05%（图 4.5）。正如预期的那样，财政冲击的溢出效应远低于来源国的国内财政乘数，但仍然具有相关性。 ¹⁶ 这些与之前的工作（例如 Beetsma、Klaassen 和 Wieland（2006））中发现的结果具有相同的数量级，尽管国家和时间样本以及冲击识别的差异使得直接比较具有挑战性。 ¹⁷ 虽然本节中的溢出估计是不同经济和政策条件下的平均值，但随后的分析也表明，例如，正常时期和经济疲软时期的估计之间存在很大差异。

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Spillovers of Fiscal Shocks on Recipient Countries’ Output

(One-year average impact on output; percent)

Source: IMF staff calculations.Note: Shocks are normalized to an average of 1 percent of GDP across source countries.

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Spillovers of Fiscal Shocks on Recipient Countries’ Output
财政冲击对受援国产出的溢出效应

(One-year average impact on output; percent)
（对产出的一年平均影响；百分比）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: Shocks are normalized to an average of 1 percent of GDP across source countries.
注：冲击标准化为各来源国平均 GDP 的 1%。

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Further analysis of components of recipient-country output corroborates the importance of trade for the transmission of fiscal shocks (Figure 4.6), consistent with the conceptual framework outlined above. In particular, a positive fiscal shock from abroad is estimated to raise recipient-country bilateral exports to the source countries. With higher export demand, firms expand investment to build production capacity, generating a second-round effect on recipient-country investment, whereas the impact on consumption appears negligible. The boost to exports and investment increases imports, some of which come from source countries. With bilateral imports rising by much less than bilateral exports, however, the recipient’s trade balance with the source countries improves following the fiscal shock.
对受援国产出组成部分的进一步分析证实了贸易对于传导财政冲击的重要性（图 4.6），与上述概念框架一致。特别是，来自国外的积极财政冲击预计将增加受援国对来源国的双边出口。随着出口需求的增加，企业扩大投资以建设产能，对受援国投资产生第二轮影响，而对消费的影响似乎可以忽略不计。出口和投资的增长增加了进口，其中一些来自来源国。然而，由于双边进口增幅远低于双边出口增幅，接收国与来源国的贸易平衡在财政冲击后有所改善。

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Dynamic Responses of Components of Recipient Countries’ Output to a Fiscal Shock

(Percent of output; quarters on x-axis)

Source: IMF staff calculations.Note: t = 0 is the quarter of the shock. Solid lines denote point estimates, and dashed lines denote 90 percent confidence bands. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.

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Dynamic Responses of Components of Recipient Countries’ Output to a Fiscal Shock
受援国产出组成部分对财政冲击的动态反应

(Percent of output; quarters on x-axis)
（产出百分比；x 轴上的四分之一）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: t = 0 is the quarter of the shock. Solid lines denote point estimates, and dashed lines denote 90 percent confidence bands. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.
注：t = 0 是冲击的四分之一。实线表示点估计，虚线表示 90% 的置信带。提出了对总体财政冲击的应对措施。各个来源国的冲击被标准化为平均 GDP 的 1%。

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The empirical spillover estimates are robust to alternative specifications and shock-identification strategies. For example, the baseline results do not change much with the inclusion of additional control variables (for example, the recipient-country short-term interest rate, output gap, unemployment rate, and fiscal stance).¹⁸ Estimates are also similar—though slightly larger—using a panel vector autoregression estimation methodology that allows for potential feedback effects of exchange rates and interest rates on output. In addition, estimates using comparable fiscal shocks obtained from alternative identification strategies—namely forecast errors and narrative approach—also yield spillover estimates that are similar in size and dynamics. This provides reassurance that the baseline results are not driven by the structural vector autoregression methodology for identifying fiscal shocks.¹⁹ Annex 4.3 gives more details about robustness tests.
经验溢出估计对于替代规范和冲击识别策略是稳健的。例如，纳入额外控制变量（例如受援国短期利率、产出缺口、失业率和财政立场）后，基线结果不会发生太大变化。 ¹⁸ 使用面板向量自回归估计方法进行的估计也类似（尽管稍大），该方法允许汇率和利率对产出的潜在反馈影响。此外，使用从替代识别策略（即预测误差和叙述方法）获得的可比财政冲击的估计也会产生规模和动态相似的溢出估计。这保证了基线结果不是由用于识别财政冲击的结构向量自回归方法驱动的。 ¹⁹ 附件 4.3 提供了有关稳健性测试的更多详细信息。

Spillovers under Different Economic and Policy Conditions
不同经济和政策条件下的溢出效应

Business cycle and monetary policy conditions in both source and recipient countries, along with the bilateral exchange rate regime, can affect the magnitude of spillovers from fiscal policy. As outlined earlier in the conceptual framework, these factors are expected to affect the domestic impact of fiscal shocks—if they pertain to the source country—as well as their cross-border transmission. In general, a larger impact in the source country is expected to give rise to more significant spillovers.
来源国和接受国的商业周期和货币政策状况以及双边汇率制度都可能影响财政政策溢出效应的程度。正如概念框架前面概述的那样，这些因素预计将影响财政冲击的国内影响（如果它们涉及来源国）及其跨境传播。一般来说，对来源国的影响越大，预计会产生更显着的溢出效应。

Cyclical Position and Monetary Policy Constraints
周期性状况和货币政策约束

To test how cyclical positions and monetary policy affect the impact of fiscal shocks, the baseline econometric framework is augmented to allow for potential regime dependence (see Annex 4.2 for details). The definitions of regimes are based on the prevailing output gap or the level of the short-term interest rate in either source or recipient countries. Specifically, a negative output gap is assumed to represent economic slack, and a short-term interest rate below the 25th percentile of the relevant cross-country distribution is a proxy for monetary policy constrained by the effective lower bound.²⁰ Results are robust to using alternative definitions of slack, including the unemployment gap or smooth-transition probability as in Auerbach and Gorodnichenko (2013). For the effective lower bound, results are also robust to using an absolute interest rate threshold that is common to all countries.
为了测试周期性头寸和货币政策如何影响财政冲击的影响，我们对基线计量经济框架进行了扩充，以考虑潜在的制度依赖性（详情请参阅附件 4.2）。制度的定义基于来源国或接受国当前的产出缺口或短期利率水平。具体而言，假设负产出缺口代表经济疲软，低于相关跨国分布第25个百分位数的短期利率是受有效下限约束的货币政策的代表。 ²⁰ 使用松弛的替代定义，包括奥尔巴赫和戈罗德尼琴科（2013）中的失业差距或平滑过渡概率，结果是稳健的。对于有效下限，使用所有国家通用的绝对利率阈值的结果也很稳健。

Consistent with theory and empirical findings in the domestic multiplier literature, spillovers are estimated to be larger during episodes of economic slack than in normal times. For example, if the recipient country has slack when the external fiscal shock hits, its output would rise by 0.11 percent over the first year in response to a 1 percent of GDP overall fiscal shock in an average major advanced economy. By contrast, the response to the same shock would be almost halved—to 0.06 percent—when there is no economic slack (Figure 4.7, panel 1). Differential effects are also observed when the source economy has slack, compared with when it does not—with estimates varying between 0.09 percent and 0.03 percent, respectively (Figure 4.7, panel 2).
与国内乘数文献中的理论和实证结果一致，经济疲软时期的溢出效应估计比正常时期更大。例如，如果受援国在外部财政冲击来袭时出现松弛，那么其产出将在第一年增长 0.11%，以应对主要发达经济体平均 GDP 1% 的总体财政冲击。相比之下，当没有经济疲软时，对相同冲击的反应几乎减半——降至 0.06%（图 4.7，第 1 部分）。当来源经济有闲置时与没有闲置时相比，也可以观察到不同的影响——估计值分别在 0.09% 和 0.03% 之间变化（图 4.7，第 2 幅）。

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Spillovers under Various Economic and Policy Conditions

(One-year average impact on output; percent)

Source: IMF staff calculations.Note: ELB = effective lower bound. Slack is defined as output gap below zero; and ELB corresponds to short-term interest rates in the bottom 25 percent of cross-country historical distribution. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.¹Normal times refer to average of no slack and no ELB in both source and recipient countries.²Average estimates for conditions in source countries and conditions in recipient countries.

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Spillovers under Various Economic and Policy Conditions
各种经济和政策条件下的溢出效应

(One-year average impact on output; percent)
（对产出的一年平均影响；百分比）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: ELB = effective lower bound. Slack is defined as output gap below zero; and ELB corresponds to short-term interest rates in the bottom 25 percent of cross-country historical distribution. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.
注：ELB = 有效下限。松弛定义为产出缺口低于零； ELB 对应于跨国历史分布中底部 25% 的短期利率。提出了对总体财政冲击的应对措施。各个来源国的冲击被标准化为平均 GDP 的 1%。¹Normal times refer to average of no slack and no ELB in both source and recipient countries.
¹ 正常时间是指来源国和接收国均无松弛且无 ELB 的平均时间。²Average estimates for conditions in source countries and conditions in recipient countries.
² 对来源国情况和接收国情况的平均估计。

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Spillovers can be even larger when monetary policy is constrained by the effective lower bound, either in the source or the recipient country (Figure 4.7, panels 1 and 2). For example, subject to a 1 percent of GDP overall fiscal shock in an average major advanced economy, the response of recipient-country output can be more than four times greater when its interest rate is exceptionally lower than in normal times.²¹ Monetary policy constraints in source countries have a similar effect on spillovers, as they can amplify the domestic impact of fiscal shocks. Although slack and the effective lower bound have distinct mechanisms to amplify spillovers, it is often difficult to clearly distinguish the two states in empirical estimation because they can coincide in practice, as has occurred in recent years.²² This caveat should be kept in mind when interpreting the results.
当货币政策受到有效下限（无论是在货币来源国还是在接受国）时，溢出效应可能会更大（图 4.7，第 1 和 2 部分）。例如，在主要发达经济体平均受到占GDP 1%的总体财政冲击的情况下，当受援国的利率异常低于正常时期时，其产出的反应可能会高出四倍多。 ²¹ 来源国的货币政策约束对溢出效应具有类似的影响，因为它们可以放大财政冲击的国内影响。尽管松弛和有效下限具有不同的放大溢出机制，但在经验估计中通常很难清楚地区分这两种状态，因为它们在实践中可能会重合，就像近年来发生的那样。 ²² 在解释结果时应牢记这一警告。

The response of GDP components under monetary policy constraints offers further insights into how a fiscal shock is transmitted to recipient countries (Figure 4.8). Faced with a positive fiscal shock from abroad, consumption—and particularly investment—in a recipient country responds much more strongly when the domestic nominal interest rate is close to the effective lower bound, likely reflecting declining real interest rates associated with higher expected inflation. This is consistent with results from theoretical models (see section on factors affecting transmission) and is confirmed by the results of the model-based simulations presented in the next section. The responses of exports to and imports from the source countries are also stronger when monetary policy accommodates the fiscal shock, in line with the domestic response of investment.
货币政策约束下 GDP 组成部分的反应进一步揭示了财政冲击如何传导至受援国（图 4.8）。面对来自国外的积极财政冲击，当国内名义利率接近有效下限时，受援国的消费（尤其是投资）反应更为强烈，这可能反映出与预期通胀上升相关的实际利率下降。这与理论模型的结果一致（参见影响传输的因素部分），并由下一节中基于模型的模拟结果证实。当货币政策适应财政冲击时，来源国的出口和进口反应也更强，与国内投资反应一致。

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Dynamic Reponses of Components of Recipient Countries’ Output under Normal Times and Effective Lower Bound in Recipient Countries

(Percent of output; quarters on x-axis)

Source: IMF staff calculations.Note: Normal times = no effective lower bound. t = 0 is the quarter of the shock. Solid red lines denote point estimates under different conditions; dashed red lines denote 90 percent confidence bands; and solid blue lines represent the unconditional response. Effective lower bound corresponds to short-term interest rates in the bottom 25 percent of cross-country historical distribution. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.

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Dynamic Reponses of Components of Recipient Countries’ Output under Normal Times and Effective Lower Bound in Recipient Countries
正常时期受援国产出组成部分的动态响应及受援国有效下限

(Percent of output; quarters on x-axis)
（产出百分比；x 轴上的四分之一）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: Normal times = no effective lower bound. t = 0 is the quarter of the shock. Solid red lines denote point estimates under different conditions; dashed red lines denote 90 percent confidence bands; and solid blue lines represent the unconditional response. Effective lower bound corresponds to short-term interest rates in the bottom 25 percent of cross-country historical distribution. Responses to an overall fiscal shock are presented. Shocks are normalized to an average of 1 percent of GDP across source countries.
注意：正常时间 = 无有效下限。 t = 0 是冲击的四分之一。红实线表示不同条件下的点估计；红色虚线表示 90% 的置信区间；蓝色实线代表无条件响应。有效下限对应于跨国历史分布中底部 25% 的短期利率。提出了对总体财政冲击的应对措施。各个来源国的冲击被标准化为平均 GDP 的 1%。

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Exchange Rate Regime 汇率制度

As discussed in the section on factors affecting transmission, the exchange rate regime can also impact the size of fiscal spillovers. To investigate this question, this section analyzes whether the impact of a fiscal shock in the United States varies for recipient countries with fixed and flexible exchange rate regimes vis-à-vis the US dollar. The United States—with its global currency and systemic trade importance—is a suitable source country for this exercise. Countries do not typically peg to the British pound or the Japanese yen. In the case of the euro, Germany’s and France’s trade importance is mostly within Europe, where most sample countries are either euro area members or peg to the euro, not allowing for enough variation in the data to identify the effect for those with flexible regimes.
正如影响传导因素部分所讨论的，汇率制度也会影响财政溢出效应的规模。为了研究这个问题，本节分析了美国财政冲击的影响对于采用固定美元汇率制度和灵活汇率制度的受援国来说是否有所不同。美国因其全球货币和系统性贸易重要性而成为这项活动的合适来源国。各国通常不与英镑或日元挂钩。就欧元而言，德国和法国的贸易重要性主要集中在欧洲内部，其中大多数样本国家要么是欧元区成员国，要么与欧元挂钩，不允许数据有足够的变化来确定对那些拥有灵活制度的国家的影响。

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Dynamic Reponses of Recipient Countries’ Output to US Spending Shock under Various Exchange Rate Regimes

(Impact on output, percent; quarters on x-axis)

Source: IMF staff calculations.Note: t = 0 is the quarter of the shock. Solid red lines denote point estimates conditional on exchange rate regime; dashed red lines denote 90 percent confidence bands; and solid blue lines represent the unconditional estimates. Shocks are normalized to an average of 1 percent of GDP across source countries (note that this represents a less than 1 percent of US GDP shock).

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Dynamic Reponses of Recipient Countries’ Output to US Spending Shock under Various Exchange Rate Regimes
不同汇率制度下受援国产出对美国支出冲击的动态反应

(Impact on output, percent; quarters on x-axis)
（对产出的影响，百分比；x 轴上的四分之一）

Source: IMF staff calculations.
资料来源：国际货币基金组织工作人员的计算。Note: t = 0 is the quarter of the shock. Solid red lines denote point estimates conditional on exchange rate regime; dashed red lines denote 90 percent confidence bands; and solid blue lines represent the unconditional estimates. Shocks are normalized to an average of 1 percent of GDP across source countries (note that this represents a less than 1 percent of US GDP shock).
注：t = 0 是冲击的四分之一。红实线表示以汇率制度为条件的点估计；红色虚线表示 90% 的置信区间；蓝色实线代表无条件估计。各个来源国的冲击被标准化为平均 GDP 的 1%（请注意，这代表着美国 GDP 冲击的不到 1%）。

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The empirical framework is again modified to allow for regime dependence of the fiscal shock—now originating only in the United States—where the regime definition is based on the prevailing bilateral exchange rate arrangement between the United States and the recipient country in a particular period. Specifically, a “fixed” exchange rate regime is defined as encompassing de facto pegs or crawling pegs, classified using two alternative methods: (1) Reinhart and Rogoff (2004) updated by Ilzetzki, Reinhart, and Rogoff (2017a, 2017b)—henceforth called “Reinhart-Rogoff” classification; and (2) the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions (“IMF” classification).²³ More details are provided in Annex 4.1.
经验框架再次被修改，以允许财政冲击的制度依赖性（现在仅起源于美国），其中制度的定义基于特定时期美国与受援国之间现行的双边汇率安排。具体而言，“固定”汇率制度被定义为涵盖事实上的钉住汇率制或爬行钉住汇率制，并使用两种替代方法进行分类：(1) Reinhart 和 Rogoff (2004)，由 Ilzetzki、Reinhart 和 Rogoff (2017a、2017b) 更新——此后称为“Reinhart-Rogoff”分类； (2) 国际货币基金组织关于外汇安排和外汇限制的年度报告（“国际货币基金组织”分类）。 ²³ 附件 4.1 提供了更多详细信息。

The evidence suggests that a government spending shock in the United States generates stronger and more persistent impacts on countries whose exchange rates are pegged to the US dollar than on those whose exchange rates are more flexible (Figure 4.9). This is the case regardless of which exchange regime classification is used. The difference in the output responses between fixed and flexible regimes is statistically significant on impact under both classifications and also during the second year under the Reinhart-Rogoff classification. At the same time, no difference in spillovers is observed between fixed and flexible regimes from an overall fiscal shock or a tax shock (not shown). Taken at face value, this result seems to point to relatively weak expenditure switching effects in the transmission of spending shocks. This weakness could reflect that, for a significant portion of the sample, US monetary policy was constrained by the effective lower bound, limiting interest rate and hence exchange rate movements. Another possibility is that, as discussed earlier, trade integration may be stronger under pegs—beyond what can be captured by the simple import ratios used in weighting the shocks.
有证据表明，与汇率更加灵活的国家相比，美国政府支出冲击对汇率与美元挂钩的国家产生的影响更大、更持久（图4.9）。无论使用哪种交换制度分类，情况都是如此。固定制度和灵活制度之间的产出响应差异在两种分类下以及莱因哈特-罗格夫分类下的第二年的影响上具有统计显着性。与此同时，在整体财政冲击或税收冲击（未显示）中，固定制度和灵活制度之间的溢出效应没有差异。从表面上看，这一结果似乎表明支出冲击传导中的支出转换效应相对较弱。这种弱点可能反映出，对于很大一部分样本来说，美国货币政策受到有效下限的限制，从而限制了利率，从而限制了汇率变动。另一种可能性是，正如前面所讨论的，在钉住汇率制的情况下，贸易一体化可能会更强——超出了用于衡量冲击的简单进口比率所能捕捉到的程度。

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Impact of Fiscal Shocks on Global GDP Based on Various Instruments

(Two-year average impact, percent)

Source: IMF, G20 Model (G20MOD) simulations.Note: All shocks are 1 percent of source-country GDP, lasting two years.

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Impact of Fiscal Shocks on Global GDP Based on Various Instruments
基于各种工具的财政冲击对全球 GDP 的影响

(Two-year average impact, percent)
（两年平均影响，百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: All shocks are 1 percent of source-country GDP, lasting two years.
注：所有冲击均为来源国 GDP 的 1%，持续两年。

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Spillovers on Output: Fiscal Instruments and Policy Accommodation
产出溢出：财政工具和政策调整

The model simulations confirm substantial spillovers from government spending shocks. Specifically, they show that spending shocks have larger spillover effects than do tax shocks.²⁶ This coincides with results from the empirical analysis described in this chapter. However, structural models offer insights into the impact of specific fiscal instruments as well, as shown in Figure 4.10:
模型模拟证实了政府支出冲击的巨大溢出效应。具体来说，他们表明支出冲击比税收冲击具有更大的溢出效应。 ²⁶ 这与本章描述的实证分析的结果一致。然而，结构模型也可以洞察特定财政工具的影响，如图 4.10 所示：

• Spending instruments: Government investment shocks in the G20 Model have larger domestic and spillover effects than shocks to government consumption. This is because government investment increases the public capital stock, which is assumed to increase private sector productivity, stimulating private investment and labor demand and in turn raising wages and labor income. By contrast, government consumption does not affect private sector productivity.
  支出工具：G20 模式中的政府投资冲击比政府消费冲击具有更大的国内效应和溢出效应。这是因为政府投资增加了公共资本存量，这被认为可以提高私营部门的生产力，刺激私人投资和劳动力需求，进而提高工资和劳动收入。相比之下，政府消费并不影响私营部门的生产率。

• Tax instruments: Model simulations suggest that temporary changes in consumption taxes have the largest domestic and spillover effects among tax instruments. Unlike cuts in labor income or corporate taxes, where benefits can be saved, households must increase their current-period spending to take advantage of temporarily lower consumption taxes.²⁷ In addition, because investment decisions have a long planning horizon and investment can be costly to adjust (Christiano, Eichenbaum, and Evans 2005), the impact of temporary corporate income tax changes is smaller than that of temporary labor income tax changes—the latter affect liquidity-constrained households, which fully adjust consumption in response.
  税收工具：模型模拟表明，消费税的临时变化在税收工具中具有最大的国内效应和溢出效应。与可以节省福利的削减劳动收入或企业税不同，家庭必须增加当期支出才能利用暂时较低的消费税。 ²⁷ 此外，由于投资决策的规划周期很长，而且调整投资的成本可能很高（Christiano、Eichenbaum 和 Evans 2005），临时企业所得税变化的影响小于临时劳动力的影响所得税的变化——后者会影响流动性受限的家庭，从而充分调整消费。

Consistent with the empirical analysis, model simulations show that spillovers on output can vary widely, depending on the response of monetary policy, in both source and recipient countries. Figure 4.11 depicts the impact of the same temporary two-year US government spending and tax shocks considered in Figure 4.10—using the average across spending and tax instruments—on recipient-country GDP under different monetary policy assumptions: (1) a rule-based response in both source and recipient countries, (2) accommodation in the United States during the first two years following the fiscal shock, (3) accommodation in recipient countries during the first two years, and (4) accommodation in both the United States and recipient countries during the same period. Spillovers vary markedly depending on the response of monetary policy—for example, they can be about four times larger if monetary policy in recipient countries fully accommodates the shock, as compared with when monetary policy follows the inflation-forecast targeting rule in each country.^28,29 These results are closely aligned with the empirical analysis presented in Figure 4.7—when interest rates in the recipient country are at or near the effective lower bound, spillover effects are estimated to be about four times larger than they are during normal times.
与实证分析一致，模型模拟表明，产出溢出效应可能存在很大差异，具体取决于来源国和接受国货币政策的反应。图 4.11 描绘了图 4.10 中考虑的相同临时两年期美国政府支出和税收冲击（使用支出和税收工具的平均值）在不同货币政策假设下对受援国 GDP 的影响：(1) 基于规则的来源国和受援国的应对措施；(2) 财政冲击后头两年在美国的住宿安排；(3) 受援国头两年的住宿安排；(4) 美国和受援国的住宿安排同一时期的受援国。溢出效应根据货币政策的反应而显着变化，例如，如果受援国的货币政策完全适应冲击，与货币政策遵循各国的通胀预测目标规则时相比，溢出效应可能会大四倍左右。 ^28,29 这些结果与图 4.7 中的实证分析密切相关——当接受国的利率处于或接近有效下限时，溢出效应估计约为实际水平的四倍平时。

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Spillovers from US Fiscal Shocks with and without Monetary Accommodation

(Two-year average impact on rest of the world GDP, percent)

Source: IMF, G20 Model (G20MOD) simulations.Note: Normal response of monetary policy is a rule-based response, in countries without fixed exchange rate regimes, where monetary policy responds to an increase in expected future inflation by increasing nominal interest rates to reduce demand and return inflation to target.

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Spillovers from US Fiscal Shocks with and without Monetary Accommodation
有或没有货币宽松的美国财政冲击的溢出效应

(Two-year average impact on rest of the world GDP, percent)
（对世界其他地区 GDP 的两年平均影响，百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: Normal response of monetary policy is a rule-based response, in countries without fixed exchange rate regimes, where monetary policy responds to an increase in expected future inflation by increasing nominal interest rates to reduce demand and return inflation to target.
注：在没有固定汇率制度的国家，货币政策的正常反应是基于规则的反应，货币政策通过提高名义利率来减少需求并使通胀回到目标水平，以应对预期未来通胀的上升。

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Model-based simulations can also offer insights in terms of regional patterns of the impact of fiscal shocks. Spillovers from stimulus in the United States have the broadest global reach—due to the large size of the US economy and its moderately strong trade links with most regions (Figure 4.12).³⁰ Spillovers from the United States are largest on countries in Latin America and Canada—all of which account for significant shares of US import demand. For shocks from France and Germany, spillovers are largest on Europe, given deep trade integration, but relatively small on other regions. Finally, fiscal measures in China have meaningful spillovers on each region due to the size and openness of the Chinese economy. By region, spillovers are slightly larger on countries in Asia—given strong trade links—though spillovers on Europe, Canada, and Latin America are not trivial. China’s economy, given its growing global clout, is playing an important role in driving spillovers onto neighboring countries through the trade channel and the impact of fluctuations in demand on commodity prices (IMF 2016).
基于模型的模拟还可以提供有关财政冲击影响的区域模式的见解。由于美国经济规模庞大且与大多数地区的贸易联系较强，美国刺激措施的溢出效应具有最广泛的全球影响力（图 4.12）。 ³⁰ 来自美国的溢出效应对拉丁美洲和加拿大国家的影响最大，这些国家在美国进口需求中都占很大份额。对于来自法国和德国的冲击，鉴于贸易一体化的深入，对欧洲的溢出效应最大，但对其他地区的溢出效应相对较小。最后，由于中国经济的规模和开放程度，中国的财政措施对每个地区都有显着的溢出效应。从地区来看，由于贸易联系紧密，亚洲国家的溢出效应略大，但欧洲、加拿大和拉丁美洲的溢出效应也不容忽视。鉴于其日益增长的全球影响力，中国经济在通过贸易渠道推动对邻国的溢出效应以及需求波动对大宗商品价格的影响方面发挥着重要作用（国际货币基金组织，2016）。

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Regional GDP Impact of Government Spending Shocks from the United States, Europe, and China

(Two-year average impact, percent)

Source: IMF, G20 Model (G20MOD) simulations.Note: EU = European Union; Lat. Am. = Latin America (Argentina, Brazil, Mexico). Europe shock refers to France and Germany shocks. Shock to government spending is equivalent to 1 percent of GDP, lasting two years. Average level impact over two years with no monetary accommodation in any country is presented.

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Regional GDP Impact of Government Spending Shocks from the United States, Europe, and China
美国、欧洲和中国政府支出冲击对地区 GDP 的影响

(Two-year average impact, percent)
（两年平均影响，百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: EU = European Union; Lat. Am. = Latin America (Argentina, Brazil, Mexico). Europe shock refers to France and Germany shocks. Shock to government spending is equivalent to 1 percent of GDP, lasting two years. Average level impact over two years with no monetary accommodation in any country is presented.
注：EU = 欧盟；纬度。是。 = 拉丁美洲（阿根廷、巴西、墨西哥）。欧洲冲击指的是法国和德国的冲击。对政府支出的冲击相当于GDP的1%，持续两年。列出了任何国家在没有货币宽松的情况下两年内的平均水平影响。

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Macroeconomic Adjustment and the Role of Financial Variables
宏观经济调整与金融变量的作用

Model simulations can give a richer description of the macroeconomic dynamics behind fiscal spillovers. In particular, simulations allow for an examination of the dynamics of interest rates and exchange rates—because these variables are forward-looking in nature, they respond to changes in the expected future state of the economy, so when a change in fiscal policy is announced or expected, these variables react immediately. This makes it difficult to capture their behavior in empirical exercises using structural shocks, which typically assess the impact of the implementation of fiscal changes.³¹ The chapter uses both model-based analysis and an alternative empirical approach that isolates anticipation effects to assess the impact of fiscal shocks on exchange rates and external positions in recipient countries.
模型模拟可以更丰富地描述财政溢出效应背后的宏观经济动态。特别是，模拟可以检查利率和汇率的动态——因为这些变量本质上是前瞻性的，它们对预期的未来经济状况的变化做出反应，因此当宣布财政政策变化时或预期，这些变量会立即做出反应。这使得很难在使用结​​构性冲击的实证研究中捕捉他们的行为，而结构性冲击通常评估实施财政改革的影响。 ³¹ 本章使用基于模型的分析和隔离预期效应的替代实证方法来评估财政冲击对受援国汇率和外部头寸的影响。

To shed light on the dynamics of adjustment following fiscal shocks, Figure 4.13 presents the response of several variables in the United States and the global economy to a temporary government spending increase in the United States. Given the importance of the monetary policy reaction, it presents a two-year stimulus scenario under both a normal monetary policy response (blue line) and monetary policy accommodation in all countries (red line).
为了阐明财政冲击后的调整动态，图 4.13 展示了美国和全球经济的几个变量对美国政府支出临时增加的反应。鉴于货币政策反应的重要性，它提出了所有国家正常货币政策反应（蓝线）和货币政策宽松（红线）下的两年刺激情景。

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Dynamic Reponses to a US Government Spending Shock

(Percent deviation from baseline)

Source: IMF, G20 Model (G20MOD) simulations.Note: Red lines denote the response to a 1 percent of GDP US government spending shock lasting two years with monetary accommodation in both source and recipient countries lasting two years, and blue lines represent the response to the same shock without monetary accommodation in any country.¹Increase represents appreciation.

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Dynamic Reponses to a US Government Spending Shock
对美国政府支出冲击的动态反应

(Percent deviation from baseline)
（与基线的偏差百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: Red lines denote the response to a 1 percent of GDP US government spending shock lasting two years with monetary accommodation in both source and recipient countries lasting two years, and blue lines represent the response to the same shock without monetary accommodation in any country.
注：红线表示美国政府对持续两年的 GDP 的 1% 支出冲击的反应，来源国和受援国均实施货币宽松政策，持续两年；蓝线表示任何国家在没有货币宽松的情况下对相同冲击的反应。¹Increase represents appreciation.
¹ 增加代表升值。

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• Monetary policy response: Following the fiscal shock, policy rates increase to curb inflationary pressures from the demand shock both in the United States and in recipient countries. The uncovered interest parity condition implies that bilateral nominal exchange rates in relation to the US dollar depreciate in the short term given that the response of US monetary policy is more pronounced than elsewhere—being the source of the shock, inflationary pressures are greater there. The increase in US external demand and the nominal exchange rate depreciation in recipient countries induce a modest increase in exports from the rest of the world, and thus a slight improvement in the corresponding trade balances. However, the increase in world interest rates reduces consumption and investment in the rest of the world. The net effect on GDP is small but positive.
  货币政策反应：财政冲击之后，政策利率上升，以抑制美国和受援国需求冲击带来的通胀压力。未覆盖利率平价条件意味着，鉴于美国货币政策的反应比其他地方更为明显，即美国作为冲击的根源，那里的通胀压力更大，短期内双边名义汇率相对于美元会贬值。美国外需增加和受援国名义汇率贬值导致世界其他国家出口小幅增长，​​相应贸易差额略有改善。然而，世界利率的上升减少了世界其他地区的消费和投资。对 GDP 的净影响虽小，但却是积极的。

• Monetary accommodation: In this scenario, the positive impact on inflation goes unchecked, causing real interest rates to decline. This triggers a strong positive response in both consumption and investment in the rest of the world as the cost of capital and current-period consumption declines. The contrast between the dynamics of consumption and investment under monetary accommodation, as opposed to normal times, is consistent with the empirical findings shown in Figure 4.8. Monetary accommodation also implies a much larger impact on both exports—due to stronger external demand conditions—and imports, due to stronger domestic activity in recipients. The expenditure switching channel operates in the opposite direction under monetary accommodation, with recipient countries’ real exchange rates appreciating against the US dollar. This occurs because the negative impact on US real interest rates is more pronounced than elsewhere. Recipients’ trade balances still improve because of the strong increase in demand from the United States. Overall, as shown in Figure 4.11, the cumulative effect on global GDP is amplified under monetary accommodation.
  货币宽松：在这种情况下，对通胀的积极影响不受控制，导致实际利率下降。随着资本成本和当期消费的下降，这引发了世界其他地区消费和投资的强烈积极反应。货币宽松条件下消费和投资动态与正常时期的对比与图 4.8 所示的实证结果一致。货币宽松还意味着对出口（由于外部需求条件增强）和进口（由于接收国国内活动增强）产生更大的影响。支出转换渠道在货币宽松的情况下向相反的方向运作，受援国的实际汇率兑美元升值。出现这种情况是因为对美国实际利率的负面影响比其他地方更为明显。由于美国需求强劲增长，受援国的贸易平衡仍在改善。总体而言，如图4.11所示，货币宽松对全球GDP的累积效应被放大。

If the term premium increases following a fiscal impulse—capturing potential concerns about debt sustainability or higher future inflation—and monetary policy responds normally, the impact of stimulus in the United States is reduced and spillovers are marginally smaller (Figure 4.14). In this case, higher interest rates than in the baseline scenario discourage investment and consumption in the United States. Therefore, the net effect on GDP in the rest of the world is slightly smaller, illustrating the potential for an adverse reaction of financial markets to an increase in spending to reduce spillovers.³² This possibility underscores the importance of having a credible medium-term macroeconomic framework, which gives market participants confidence that inflation will be held in check because debt dynamics are sustainable.
如果期限溢价随着财政刺激而增加——考虑到对债务可持续性或未来通胀上升的潜在担忧——并且货币政策反应正常，那么美国刺激措施的影响就会减弱，溢出效应也会小一些（图4.14）。在这种情况下，高于基准情景的利率会抑制美国的投资和消费。因此，对世界其他地区GDP的净影响略小，这说明金融市场可能会对增加支出以减少溢出效应产生不利反应。 ³² 这种可能性强调了建立可靠的中期宏观经济框架的重要性，该框架使市场参与者相信，由于债务动态是可持续的，通货膨胀将受到控制。

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Spillovers from US Spending Shock with and without a US Term-Premium Increase

(Percent deviation from baseline)

Source: IMF, G20 Model (G20MOD) simulations.Note: Red lines denote the response to a 1 percent of GDP US government spending shock lasting two years, with a 25 basis point increase in the US term premium and subsequent spillovers to term premiums in other countries. Blue lines represent the response to the same spending shock with no term-premium increase. No monetary accommodation is assumed for any country.

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Spillovers from US Spending Shock with and without a US Term-Premium Increase
无论美国定期保费增加与否，美国支出冲击的溢出效应

(Percent deviation from baseline)
（与基线的偏差百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: Red lines denote the response to a 1 percent of GDP US government spending shock lasting two years, with a 25 basis point increase in the US term premium and subsequent spillovers to term premiums in other countries. Blue lines represent the response to the same spending shock with no term-premium increase. No monetary accommodation is assumed for any country.
注：红线表示美国政府对持续两年的占 GDP 1% 的支出冲击的反应，美国期限溢价增加 25 个基点，随后对其他国家的期限溢价产生溢出效应。蓝线代表对相同支出冲击的反应，但期限保费没有增加。任何国家都没有货币宽松的假设。

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An empirical examination of how exchange rates and external positions respond to fiscal shocks is presented in Box 4.1. To capture anticipation effects, the analysis constructs fiscal shocks based on the methodology of Forni and Gambetti (2016), which identifies these shocks at announcement dates, as captured by changes in professional forecasts. It shows that an increase in government spending in the United States leads to a real appreciation of the dollar and a worsening of the US trade balance, as predicted by standard macroeconomic models.
专栏 4.1 对汇率和外部头寸如何应对财政冲击进行了实证检验。为了捕捉预期效应，该分析根据 Forni 和 Gambetti（2016）的方法构建了财政冲击，该方法通过专业预测的变化来识别公告日期的这些冲击。它表明，正如标准宏观经济模型所预测的那样，美国政府支出的增加导致美元实际升值和美国贸易平衡恶化。

Budget-Neutral Corporate Income Tax Reform
预算中性的企业所得税改革

The direct spillovers of a (simultaneous) budget-neutral reduction in corporate income tax rates in France, Germany, and the United States—the “source” countries in this scenario—would be slightly negative.³³ The scenario’s main assumptions are that corporate tax rates are reduced by 15 percentage points, consumption-tax rates rise to offset the revenue loss, and monetary policy responds normally.³⁴ The direct impact of the reform is captured by the blue lines in Figure 4.15. As shown in the figure,
法国、德国和美国（这种情况下的“来源”国）企业所得税税率（同时）预算中性降低的直接溢出效应将略有负面。 ³³ 该情景的主要假设是企业税率降低15个百分点，消费税率上升以抵消收入损失，货币政策反应正常。 ³⁴ 改革的直接影响如图 4.15 中的蓝线所示。如图所示，

• Real GDP increases gradually as lower corporate income tax rates raise the return to capital in the source countries, stimulating investment. This positive effect on reform-country GDP is only partly counteracted by the increase in the consumption tax rate, which depresses consumption. Although these reforms are initially budget neutral, the expansion of investment increases tax revenues over time, which reduces the deficit and the debt stock in source countries.³⁵ Their trade balances deteriorate slightly due to investment-driven import demand.
  随着企业所得税率的降低提高了来源国的资本回报率，刺激了投资，实际GDP逐渐增长。这种对改革国家GDP的积极影响仅部分被消费税率的提高所抵消，消费税率的提高抑制了消费。尽管这些改革最初是预算中性的，但随着时间的推移，投资的扩大会增加税收收入，从而减少来源国的赤字和债务存量。 ³⁵ 由于投资驱动的进口需求，它们的贸易平衡略有恶化。

• Given the lack of fiscal stimulus in the short term, the direct spillovers on recipient countries are limited. Over the medium term, GDP in recipient countries is slightly reduced, as recipient countries are now at a competitive disadvantage with respect to their return to capital, and real interest rates are slightly higher—implying lower investment. This negative impact more than offsets the small impetus to exports associated with increased demand from source countries.
  由于短期内缺乏财政刺激，对受援国的直接溢出效应有限。从中期来看，受援国的国内生产总值略有下降，因为受援国目前在资本回报方面处于竞争劣势，而且实际利率略高，这意味着投资减少。这种负面影响远远抵消了来源国需求增加对出口的小幅推动。

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Spillovers from Corporate Income Tax Reduction Financed by an Offsetting Increase in Value-Added Tax

(Percentage-point deviation from baseline, unless noted otherwise)

Sources: IMF, G20 Model (G20MOD) simulations; and IMF staff estimates.Note: Blue lines denote the response to CIT/VAT reforms only, red lines denote the response to CIT/VAT reforms plus assumptions on investment shift, and yellow lines denote the response to CIT/VAT reforms plus assumptions on profit and investment shift. No monetary accommodation is assumed for any country. For rest of the world, no reforms are assumed. CIT = corporate income tax; VAT = value-added tax.

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Spillovers from Corporate Income Tax Reduction Financed by an Offsetting Increase in Value-Added Tax
企业所得税减免的溢出效应由增值税的抵消性增长提供资金

(Percentage-point deviation from baseline, unless noted otherwise)
（与基线的百分比偏差，除非另有说明）

Sources: IMF, G20 Model (G20MOD) simulations; and IMF staff estimates.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟；和国际货币基金组织工作人员的估计。Note: Blue lines denote the response to CIT/VAT reforms only, red lines denote the response to CIT/VAT reforms plus assumptions on investment shift, and yellow lines denote the response to CIT/VAT reforms plus assumptions on profit and investment shift. No monetary accommodation is assumed for any country. For rest of the world, no reforms are assumed. CIT = corporate income tax; VAT = value-added tax.
注：蓝线表示仅对企业所得税/增值税改革的响应，红线表示对企业所得税/增值税改革的响应加上投资转移的假设，黄线表示对企业所得税/增值税改革的响应加上利润和投资转移的假设。任何国家都没有货币宽松的假设。对于世界其他地区来说，没有任何改革的假设。 CIT=企业所得税； VAT=增值税。

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However, beyond this direct effect, fiscal reforms may also affect investment and profit-reporting decisions. As discussed in Devereux (2008) and De Mooij and Ederveen (2008), corporate tax rates influence both intensive and extensive (discrete or location) decisions of firms, suggesting that multinational companies may relocate operations when faced with significant changes in relative tax rates in different jurisdictions. In addition, both studies note that it is feasible for multinational companies to shift profits between countries. In the scenario, the lower corporate income tax rates prompt these firms to shift operations—both investment and the jurisdiction in which profits are reported—to source countries, to the detriment of recipients.
然而，除了这种直接影响之外，财政改革还可能影响投资和利润报告决策。正如 Devereux (2008) 以及 De Mooij 和 Ederveen (2008) 所讨论的，公司税率影响公司的密集型和广泛型（离散或地点）决策，这表明跨国公司在面临相对税率的重大变化时可能会重新定位业务。不同的司法管辖区。此外，两项研究都指出，跨国公司在国家之间转移利润是可行的。在这种情况下，较低的企业所得税率促使这些公司将业务（包括投资和报告利润的管辖区）转移到来源国，这对接收国造成损害。

The effect of investment and profit shifting are illustrated by the red (investment shifting only) and yellow (investment and profit shifting together) lines of Figure 4.15. Based on estimates in the literature on profit and investment shifting, the scenario assumes that foreign direct investment in countries not pursuing reforms could decline by about $400 billion—this loss is assumed to be distributed equally across all countries as a share of GDP.³⁶ By contrast, the countries pursuing reforms are assumed to benefit by a similar amount, above and beyond the immediate impact on investment from the corporate income tax reduction discussed above.³⁷ Profit shifting is assumed to be a pure fiscal revenue gain for source countries and a corresponding loss for other countries.³⁸
投资和利润转移的影响如图 4.15 中的红线（仅投资转移）和黄线（投资和利润转移一起转移）所示。根据有关利润和投资转移的文献中的估计，该情景假设不进行改革的国家的外国直接投资可能会减少约 4000 亿美元——假设这一损失作为 GDP 的一部分平均分配给所有国家。 ³⁶ 相比之下，追求改革的国家被认为将获得类似的收益，超出了上述企业所得税减免对投资的直接影响。 ³⁷ 利润转移被假定为来源国的纯粹财政收入收益和其他国家的相应损失。 ³⁸

The results suggest that investment shifting and profit shifting could trigger more significant spillovers on activity and affect fiscal positions. Activity in source countries would be considerably higher—with GDP increasing by almost 4 percent after 10 years—although significantly reduced elsewhere, by about 1 percent. Corresponding changes in trade balances would imply a material deterioration for corporate-tax-reforming countries—as import demand rises significantly—and an improvement for the rest of the world, due to import compression and export growth. Both investment shifting and profit shifting can also have an impact on fiscal positions, improving the primary balance of source countries and undermining the balance of others, above and beyond the direct effects of the corporate income tax reform itself. The marginal impact of profit shifting on public debt stocks can be seen by comparing the red and yellow lines in panels 3 and 4 of Figure 4.15—it is clear that the impact of investment shifting (measured by comparing the blue and the red lines) is much larger than that of profit shifting.³⁹
结果表明，投资转移和利润转移可能引发更显着的经济活动溢出效应，并影响财政状况。来源国的活动将大幅增加——10年后GDP增长近4%——尽管其他地方的活动大幅减少，约1%。贸易平衡的相应变化将意味着企业税改革国家的情况将出现实质性恶化（因为进口需求大幅上升），而世界其他国家则将因进口压缩和出口增长而有所改善。投资转移和利润转移也会对财政状况产生影响，改善来源国的基本平衡并破坏其他国家的平衡，这超出了企业所得税改革本身的直接影响。利润转移对公共债务存量的边际影响可以通过比较图 4.15 的图 3 和图 4 中的红线和黄线看出——很明显，投资转移的影响（通过比较蓝线和红线来衡量）是远大于利润转移。 ³⁹

Budget-Neutral Permanent Increase in Public Investment
预算中性的公共投资永久增加

Compared with corporate income tax reforms that trigger investment and profit shifting, a budget-neutral permanent increase in public investment would have very modest spillovers.⁴⁰ The scenario assumes a ½ percent of GDP increase in public investment in the five large economies considered in the empirical exercise—France, Germany, Japan, the United Kingdom, and the United States—which is financed by an increase in consumption taxes. Such a reform would boost the capital stock in source countries, thereby increasing output permanently—the increase in investment resulting from the higher productivity associated with an expansion of the public capital stock outweighs the negative impact on domestic consumption of higher consumption taxes. However, as shown in Figure 4.16, although there would be some modest cross-border impact due to expenditure shifting, the impact would be muted by an exchange rate depreciation in source countries, implying that the expenditure switching channel will eventually offset the positive effect.⁴¹ The impact on recipient countries’ trade balances is small, but negative.
与引发投资和利润转移的企业所得税改革相比，预算中性的公共投资永久性增长只会产生非常有限的溢出效应。 ⁴⁰ 该情景假设实证研究中考虑的五个大型经济体（法国、德国、日本、英国和美国）的公共投资占 GDP 增幅的 0.5%，其资金来源是消费税增加。这样的改革将提高来源国的资本存量，从而永久性地增加产出——公共资本存量扩张带来的生产率提高所带来的投资增加，超过了更高消费税对国内消费的负面影响。然而，如图4.16所示，虽然支出转移会产生一些适度的跨境影响，但来源国汇率贬值会减弱这种影响，这意味着支出转移渠道最终将抵消积极影响。 ⁴¹ 对受援国贸易平衡的影响虽小，但却是负面的。

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Spillovers from Increase in Government Investment in Five Major Economies

(Percent deviation from baseline)

Source: IMF, G20 Model (G20MOD) simulations.Note: Spillovers from a permanent 0.5 percent of GDP increase in government investment in five major economies (France, Germany, Japan, United Kingdom, United States) financed via value-added tax. No monetary accommodation is assumed for any country.

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Spillovers from Increase in Government Investment in Five Major Economies
五主要经济体政府投资增加的溢出效应

(Percent deviation from baseline)
（与基线的偏差百分比）

Source: IMF, G20 Model (G20MOD) simulations.
资料来源：国际货币基金组织、G20 模型 (G20MOD) 模拟。Note: Spillovers from a permanent 0.5 percent of GDP increase in government investment in five major economies (France, Germany, Japan, United Kingdom, United States) financed via value-added tax. No monetary accommodation is assumed for any country.
注：五个主要经济体（法国、德国、日本、英国、美国）通过增值税融资的政府投资永久增加 GDP 0.5% 所产生的溢出效应。任何国家都没有货币宽松的假设。

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