Fiskalni multiplikatorji in nauki za sedanjo krizo

Auerbach & Gorodnichenko sta v dveh študijah (2010, 2011) pokazala, da so fiskalni multiplikatorji (torej, kako BDP reagira na povečanje/zmanjšanje trošenja države) odvisni od stanja gospodarskega cikla. V recesijah so večji, v dobrih časih pa manjši. Kar pomeni, da je v krizah fiskalna politika bolj pomembna. V pravkar objavljeni študiji na NBER “Procyclical and Countercyclical Fiscal Multipliers” pa so Riera-Crichton, Vegh & Vuletin (2014) naredili še korak naprej, in sicer so upoštevali smer fiskalne politike, torej ali je v času recesije fiskalna politika ekspanzivna ali restriktivna. Na podlagi podatkov za OECD države so pokazali, da ima smer fiskalne politike velik vpliv: če je v času krize ekspanzivna (kontraciklična) doseže multiplikator vrednost 2.3, brez upoštevanja smeri pa znaša povprečni multiplikator 1.3.

Riera-Crichton, Vegh & Vuletin (2014) pa so naredili še drugi korak naprej v debati in analizirali, ali so v času ekstremnih kriz multiplikatorji drugačni kot v času tipičnih kriz. Z intuitivnega vidika ne preseneča njihova empirična ugotovitev, da se v času ekstremne recesije multiplikatorji povečajo tudi do 3.2.

In še ena novost njihove študije: v času ekstremne recesije, kot jo doživlja evro območje, so veliki tudi takojšnji (impact) multiplikatorji (vrednost 1.2). Z drugimi besedami: varčevanje v času ekstremne recesije takoj zmanjša BDP in poveča dolg glede na BDP. Še bolj enostavno povedano, javno varčevanje takoj poslabša (poveča) javni dolg (in ne obratno). Do tega seveda pride zaradi negativnega takojšnjega učinka zmanjšanja javnih izdatkov na BDP v času, ko je agregatno povpraševanje že tako depresivno.

For the United States, Auerbach and Gorodnichenko (2010) conclude that the spending multiplier is around zero in expansions and 1.5-2.0 in recessions. Using a linear model, the estimate would be around one, thus underestimating it for recessions and overestimating it for expansions. In Auerbach and Gorodnichenko (2012), […] [T]hey conclude, for a panel of OECD countries, that the multiplier reaches a maximum of 3.5 during recessions and essentially zero during expansions.

This paper tackles the same question (do fiscal multipliers depend on the state of the business cycle?) but brings into the picture a new dimension, which we believe is critical for evaluating the size of fiscal multipliers in good and bad times. The new dimension is whether government spending is going up or down. To understand intuitively why this may be a critical dimension, notice that when we talk about fiscal multipliers in good and bad times, the implicit world that we have in mind is one in which fiscal policy is countercyclical (i.e.., government spending increases in bad times and falls in good times), as has traditionally been the case for industrial countries.

The table 1 thus tells us that industrial countries spend, on average, 56 percent of the time in countercyclical states of the world […]. The rest of the time (44 percent), government spending is either going down in bad times or going up in good times, which would constitute procyclical fiscal policy. Hence, when we compute a multiplier for bad times, we are putting in the same bag very different situations: the case of government spending going up in bad times (which we will refer to as “countercyclical fiscal multiplier”) and the case of government spending going down in bad times (or “procyclical fiscal multiplier”). If government spending going up or down did not matter for the size of the multiplier, then this would not be a problem. If it does matter (as we will show), then we would be biasing our estimate.

Our results confirm our intuition. When we compute multipliers for OECD countries for each of the four states of the world […], we find that the largest multiplier (after 2 and 4 semesters) corresponds to 2.3 after four semesters. In other words, the countercyclical fiscal multiplier in bad times is the largest of the four possible multipliers. If we ignore the distinction of government spending going up or down, the resulting multiplier is just 1.3. The bias comes from the fact that the long-run multiplier is not significantly different from zero. Hence, ignoring whether government spending is going up or down implicitly gives us an “average”; that is, an average of the countercyclical and procyclical fiscal multipliers in bad times.

All the results reported so far refer to fiscal multipliers computed for the “median” expansion and recession. We also looked, however, at what happens in “extreme” booms and recessions. We find that the multiplier in extreme recessions is much larger than in typical recessions (almost 70 percent higher). In extreme recessions, the long-run multiplier reaches 3.1.

Maybe more subtle — yet very important both for expansionary and contractionary fiscal policy — is the distinction between typical and extreme recessions. In particular, the long-run multiplier for a typical recession and government spending going up is 2.3 compared to 3.2 when focusing on an extreme recession. Moreover, while cutting spending during typical recessions reduces output by less than one, doing so in extreme recessions reduces output by more than one (at the very least in the short and medium run). Applied to the current debate on austerity in the Eurozone, this would imply that debt to GDP ratios would increase in response to cuts in fiscal spending.

But perhaps the most striking result when considering extreme recessions is that the impact multiplier is 1.2. In terms of the current debate on austerity in the Eurozone, this would imply that, as a result of a fiscal contraction, debt to GDP ratios would actually increase on impact.

Vir: Riera-Crichton, Vegh & Vuletin (2014)

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