When fiscal consolidation meets private deleveraging - iiw

WHEN FISCAL CONSOLIDATION MEETS PRIVATE DELEVERAGING Javier Andrés, Óscar Arce and Carlos Thomas

Documentos de Trabajo N.º 1622

2016

WHEN FISCAL CONSOLIDATION MEETS PRIVATE DELEVERAGING

WHEN FISCAL CONSOLIDATION MEETS PRIVATE DELEVERAGING (*)

Javier Andrés (**) UNIVERSITY OF VALENCIA

Óscar Arce (**) and Carlos Thomas (**) BANCO DE ESPAÑA

(*) Disclaimer: The views expressed herein are those of the authors and not necessarily those of the Banco de España or the Eurosystem. We thank Michal Andrle and participants in the Banco de España-Barcelona GSE conference “Fiscal Sustainability: XXI Century”, as well as seminar participants at the Banco de España and the International Monetary Fund, for their helpful comments and suggestions. (**) Andrés: [email protected]. Arce: [email protected]. Thomas: [email protected].

Documentos de Trabajo. N.º 1622 2016

The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.

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Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. © BANCO DE ESPAÑA, Madrid, 2016 ISSN: 1579-8666 (on line)

Abstract

We analyze the interaction between fiscal consolidation and private-sector deleveraging in an economy within a monetary union. Pre-existing long term collateralized private debt – a core ingredient of the deleveraging process – plays a critical role in shaping fiscal multipliers. By buffering the short-run fall in debtors’ spending capacity, long-run private debt reduces the short-run multipliers of aggressive (large and/or fast) consolidations. However, absent credibility concerns, aggressive consolidations raise the intensity and length of private deleveraging, causing higher output losses over the medium run. In terms of discounted output losses and welfare, this latter effect dominates, so that larger and faster consolidations are relatively costlier than smaller and more gradual ones. Also, in this environment, alternative budgetary instruments generate sizable differences in terms of their incidence on private deleveraging dynamics and, hence, on the overall output costs of fiscal consolidations. Keywords: fiscal consolidations, long term private debt, financial shock. JEL classification: E62, E44.

Resumen

En este documento se analiza la interacción entre la consolidación fiscal y el desapalancamiento del sector privado en una economía perteneciente a una unión monetaria. La existencia de deuda privada de largo plazo colateralizada —que es un ingrediente esencial en los procesos de desapalancamiento— desempeña un papel crucial a la hora de determinar los multiplicadores fiscales. Al facilitar una cierta suavización de la caída en la capacidad de gasto de los agentes endeudados, la deuda privada a largo plazo reduce los multiplicadores de corto plazo asociados a consolidaciones fiscales más agresivas (esto es, aquellas que presentan una magnitud o/y una velocidad del ajuste elevada). Sin embargo, y en ausencia de problemas de credibilidad acerca de la senda de ajuste fiscal, las consolidaciones más agresivas aumentan la duración y la intensidad del proceso de desapalancamiento de hogares y empresas, lo que produce un retraso en la recuperación económica, causando mayores pérdidas de actividad en el medio plazo. En términos de pérdidas de PIB descontadas y de bienestar, este último efecto es determinante, de forma que consolidaciones más intensas o rápidas son relativamente más costosas que otras más pequeñas o graduales. Además, en el modelo, distintos instrumentos fiscales tienen un impacto muy desigual sobre la dinámica del desapalancamiento privado y, por tanto, sobre los costes económicos de la consolidación fiscal. Palabras clave: consolidación fiscal, deuda privada de largo plazo, perturbación financiera. Códigos JEL: E62, E44.



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