پایداری بدهی دولت در ایران: شواهد جدید از تابع واکنش مالی

اقتصاد پولی مالی

مقاله 1، دوره 24، شماره 13، فروردین 1396، صفحه 1-29   

نوع مقاله: پژوهشی

شناسه دیجیتال (DOI): 10.22067/pm.v24i14.57593

نویسندگان

سعید کریمی پتانلار؛ احمد جعفری صمیمی؛ جلال منتظری شورکچالی^*

دانشگاه مازندران

چکیده

بحران بدهی سال 2008-2007 و هزینه ناشی از اصلاح سیاست‌های مالی، بیش از پیش بر اهمیت بحث "پایداری بدهی دولت" در ادبیات اقتصادی افزوده است. بر این اساس، مطالعه حاضر تلاش کرده است با استفاده از روش هم‌انباشتگی جوهانسن - جوسیلیوس و داده‌های دوره زمانی 2014-1971 اقتصاد ایران، به بررسی پایداری بدهی دولت در قالب "تابع واکنش مالی" بپردازد. بر اساس تابع واکنش مالیِ برآورد شده، واکنش دولت به هر سه نوع بدهی(بدهی دولت به بانک مرکزی، بدهی دولت به بانک‌ها و مؤسسات اعتباری غیربانکی و بدهی خارجی دولت) به صورت ضعیف و قابل اغماض پایدار بوده است. به عبارت دیگر، دولت نسبت به افزایش در سطح بدهی‌ها از طریق کاهش کسری (یا افزایش مازاد) بودجه واکنش محسوسی نشان نداده، که این مسئله با توجه به تأثیرپذیری رشد اقتصادی از سطح بدهی دولت از طریق کانال‌های متعدد، می‌تواند زنگ هشداری برای تصمیم‌گیران و سیاست-گذاران کشور باشد. همچنین، نتایج نشان دادکه سیاست‌های مالی دولت در واکنش به نوسانات رشد تولید ناخالص داخلی رویکرد موافق چرخه‌ای داشته است. بنابراین توصیه می‌شود که با هدف تدوین یک چارچوب مشخص و باثبات برای سیاست‌های مالی دولت، چرخه‌های تجاری و انباشت بدهی به عنوان دو مؤلفه اصلی در تابع هدف سیاست‌های مالی دولت لحاظ شوند.

کلیدواژه‌ها

پایداری بدهی؛ تابع واکنش مالی؛ سیاست مالی؛ هم انباشتگی؛ ایران

مراجع

[1] Adedeji, O. and Williams, O. (2007). Fiscal Reaction Functions in the CFA Zone: An Analytical Perspective. IMF Working Paper, No. 232.

[2] Akyüz, Y. (2007). Debt Sustainability in Emerging Markets: A Critical Appraisal. DESA Working Paper. No. 61.

[3] Alfons, J. and Zimmer, J. (2014). Euro Membership and Fiscal Reaction Functions. International Tax and Public Finance, 21 (4), 598-613.

[4] Asiama, J., Akosah, N. and Owusu-Afriyie E. (2014). An Assessment of Fiscal Sustainability in Ghana. Working Paper, No. 9.

[5] Baldi, G. and Staehr, K. (2013). The European Debt Crisis and Fiscal Reaction Functions in Europe 2000-2012. German Institute for Economic Research Discussion Papers, No. 1295.

[6] Barhoumi, K., Cherif, R. and Rebei, N. (2016). Stochastic Trends, Debt Sustainability, and Fiscal Policy. IMF Working Paper, No. 59.

[7] Burnside, C. (2004). Assessing New Approaches to Fiscal Sustainability Analysis. Working Paper, No. 1.

[8] Bohn, H. (1995). The Sustainability of Budget Deficits in a Stochastic Economy. Journal of Money, Credit and Banking, 27(1), 257-271.

[9] (1998). The Behaviour of US Public Debt and Deficits. The Quarterly Journal of Economics, 113 (3), 949-963.

[10] (2007). Are Stationary and Cointegration Restrictions Really Necessary for the Intertemporal Budget Constraint? Journal of Monetary Economics, 54, 1837-1847.

[11] Budina, N. and Wijnbergen, S. V. (2008). Quantitative Approaches to Fiscal Sustainability Analysis: A Case Study of Turkey since the Crisis of 2001. World Bank Economic Review, 23(1), 119-140.

[12] Burger, P., Stuart, I., Jooste, C. and Cuevas, A. (2011). Fiscal Sustainability and the Fiscal Reaction Function for South Africa. IMF Working Paper, No. 69.

[13] Checherita, C. and Rother, P. (2010). The Impact of High and Growing Government Debt on Economic Growth: An Empirical Investigation for the Euro Area. Working Paper Series, No. 1237.

[14] Cizkowicz, P., Rzonca, A. and Trzeciakowski, R. (2015). Membership in the Euro Area and Fiscal Sustainability: Analysis through Panel Fiscal Reaction Functions. MPRA Paper, No. 61560.

[15] Croce, E., and V. H. Juan-Ramon (2003). Assessing Fiscal Sustainability: A Cross-Country Comparison. IMF Working Paper, No. 145.

[16] Darvas, Z. (2010). The Impact of the Crisis on Budget Policy in Central and Eastern Europe. OECD Journal on Budgeting, 3(10), 1-42.

[17] De Mello, L. (2005). Estimating a Fiscal Reaction Function: The Case of Debt Sustainability in Brazil. Working Paper, No. 423.

[18] Égert, B. (2010). Fiscal Policy Reaction to the Cycle in the OECD: Pro- or Counter-Cyclical? OECD Economics Department. Working Paper, No. 763.

[19] Eller, M. and Urvova, J. (2012). How Sustainable are Public Debt Levels in Emerging Europe? Focus on European Economic Integration. Oesterreichische Nationalbank, 4(12), 48-79.

[20] Enders, W. (2004). Applied Econometric Time Series. University of Alabama.

[21] Englmann, F. C. (2015). Can Public Debt be Sustainable? A Contribution to the Theory of the Sustainability of Public Debt. IVR Working Paper, No. 1.

[22] Fatahi, S. Heydari Dizgarani, A. and Askari, E. (2014). The Study of Government Debt Sustainability in Iran’s Economy. Quarterly Journal of Fiscal and Economic Policies, 2 (6), 67-86. (In Persian)

[23] Fatas, A. (2002). The Effects of Business Cycles on Growth. Working Paper, No. 156.

[24] Friedman, B. (2006). Deficits and Debt in the Short and Long Run, in Kopcke, R., Tootell, G. and Triest, R. (eds.): The Macroeconomics of Fiscal Policy. Cambridge MA: MIT Press.

[25] Gali, J. and Perotti, R. (2003). Fiscal Policy and Monetary Integration in Europe. Economic Policy, 18(37), 533–572.

[26] Khalid, M., Malik, W. S. and Sattar, A. (2007). The Fiscal Reaction Function and the Transmission Mechanism for Pakistan. The Pakistan Development Review, 46(4), 435-447.

[27] Khiabani, N., Karimi-Petanlar S. and Motameni, M. (2012). Analyzing Iranian Government Fiscal Stability through Multicointegration. The Journal of Planning and Budgeting, 17 (1), 73-89. (In Persian)

[28] Manasse, P. (2015). Debt Sustainability and Economic Convergence of Euro-Area Member States: Challenges and Solution. Working Paper DSE, No. 1035.

[29] Medeiros, J. (2012). Stochastic Debt Simulation Using VAR Models and a Panel Fiscal Reaction Function: Results for a Selected Number of Countries. Working Paper ECE, No. 459.

[30] Milani, F. (2010). Political Business Cycles in the New Keynesian Model. Economic Inquiry, 48(4), 896-915.

[31] Mousavi Mohseni, R. and Taheri, H. (2010). Assessing Fiscal Sustainability of Government in Iran. Economic Research, 13(41), 123-137. (In Persian)

[32] Nordhaus, W. (1975). The Political Business Cycle. Review of Economic Studies, 42(2), 169-190.

[33] Paloviita, M. (2012). Real Time Uncertainty in Fiscal Planning and Debt Accumulation in the Euro Area. Bank of Finland Research. Discussion Papers, No. 34.

[34] Penalver, A. and Thwaites, G. (2006). Fiscal Rules for Debt Sustainability in Emerging Markets: the Impact of Volatility and Default risk. Bank of England Working Paper, No. 307.

[35] Plödt, M. and Reicher, C. (2014). Estimating Simple Fiscal Policy Reaction Functions for the Euro Area Countries. Kiel Institute for the World Economy. Working Paper, No. 1899.

[36] Ravn, M. and Uhlig, H. (2002). On Adjusting the Hodrick–Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics, 84 (2): 371-379.

[37] Sorensen, B. E. and Yosha, O. (2001). Is State Fiscal Policy Asymmetric Over the Business Cycle? Federal Reserve Bank of Kansas City, 86(3), 43-64.

[38] Staehr, K. (2008). Fiscal Policies and Business Cycles in an Enlarged Euro Area. Economic Systems, 32(1), 46–69.

[39] Sutherland, D., Hoeller, P., Egert, B. and Rohn, O. (2010). Counter-Cyclical Economic Policy. OECD Economics Department. Working Paper, No. 760.

[40] Turrini, A. (2008). Fiscal Policy and the Cycle in the Euro Area: The Role of Government Revenue and Expenditure. Economic Papers, No. 323.

[41] Van Dijk, D. (1999). Smooth Transition Models: Extensions and Outlier Robust Inference. PhD Thesis. Erasmus University Rotterdam.

[42] Van Dijk, D., Trasvirta, T. and Franses, P. H. (2000). Smooth Transition Autoregressive Models-a Survey of Recent Developments. Econometric Reviews, 21(1), 1-47.

[43] Westphal C. and Ždarek, V. (2015). Fiscal Reaction Function and Fiscal Fatigue in the Euro Area. Working Paper. European Central bank.

[44] Zdravković, A., Zubović, J. and Martinović, A. B. (2013). Fiscal Reaction Function: Evidences from CESEE Countries. Industrija, 41(4), 7-21.