從財政僵局到金融壓制：衰落的解剖.pdf

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1、From Fiscal Deadlock to Financial Repression:Anatomy of a FallOlivier JeanneJohns Hopkins UniversityNBER and CEPRIMF Annual Research ConferenceWashington DC,November 15,2024Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallIntroductionFinancial repression has historica

2、lly been used in advanced economies tostabilize or reduce excessive government debt(Reinhart and Sbrancia,2015;Acalin and Ball,2023)Concerns that financial repression could make a comebackThis paper presents a framework to study financial repression scenariosOur framework captures different forms of

3、 financial repressionfrom open-market purchases of government debt to extracting quasi-fiscalrevenue from the banking sectorLiterature:Becker and Ivashina(2018),Chien,Cole and Lustig(2023),Chari,Dovis and Kehoe(2020),Jeanne(2024)Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy

4、 of a FallIntroductionModelUnsustainable government debt dynamics+possibility of fiscal adjustmentFinancial repression:banks purchase government debt and/or providequasi-fiscal revenue to governmentWe characterize the optimal financial repression policiesDataWe benchmark the model against data on go

5、vernment debt and bank balancesheets in advanced economiesOlivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallModelBalance sheets Government dt=bt+t Banks Households mt aht abt mt bt t Debts are realBanking sector consolidates central bank and depository institutionsOliv

6、ier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallModelAssumptionsHousehold utilityU0=E0?Z+0ct+u(mt)ertdt?Government levies fiscal revenue ton households and quasi-fiscal revenue ton banking sector,at costt+tFiscal inertia:Initially constant deficit leading to dt+but there

7、 couldbe a fiscal adjustment(t)with probability Financial repression can raise revenue at any time,but it is more distortivethan regular taxation The government can default at any time on non-bank creditors(bt b),withoutput cost dbanks protected from default(Chari,Dovis and Kehoe,2020)Olivier Jeanne

8、(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallModelOptimal financial repressionFinancial repression policy:conditional paths for government debt purchasesand quasi-fiscal revenue from banks(t,t)t=0,+tdetermines deposits mtThere is a default-preventing financial repression policy

9、 iff d 2.nNow tdeterminesPni=1imitbut not mt=Pni=1mitFinancial repression policy:conditional paths(t,t,mt)t=0,+Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallModelIn the early stage,banks finance their government debt purchases by issuinglow-utility deposits rather

10、than selling illiquid assets(Prop.3)Assets Deposits ab m If deposits unconstrained(n 0),the government debt limit is determinedby the cost of defaulting on banksOlivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallDataDataThe model predicts that in a fiscal deadlock with

11、increasing debtthe banking sector purchases government debt when debt surpasses athreshold(early stage financial repression)when its purchasing capacity becomes constrained,the banking sector providesquasi-fiscal revenue to stabilize the debt(late stage financial repression)the banking sector can fi

12、nance its debt purchases by selling assets(crowdingout)or by expanding depositsOlivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallDataBank-held government debt050100150Domestic bank-held government debt to GDP ratio(%)050100150200250Gov.debt to GDP ratio(%)Japan:2001-20

13、23United States:1989-2023United Kingdom:1998-2023Canada:2001-2023France:1995-2023Italy:1989-2023Germany:1998-2023Source:Arslanalp and TsudaSource:Arslanalp and Tsuda databaseThreshold regressions find a debt threshold between 100%and 120%of GDPOlivier Jeanne(JHU)From Fiscal Deadlock to Financial Rep

14、ression:Anatomy of a FallDataIncreases in bank-held government debt are associated with increases in depositsrather than decreases in bank loans10-year changes in currency and deposits/GDP(lhs)and bank loans/GDP(rhs)vs.10-yearchanges in bank-held government debt.Observations with gov.debt/GDP 110%.S

15、ource:Arslanalp and Tsuda database,OECD and national sources.Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallDataCalibrationThe model with deposit expansion gives upper bounds for non-bank-heldgovernment debt and total government debtb=b+d?1?r+d=b+d?1?r+The data sugg

16、est b 100%and d 250%Consistent calibration(Jeanne,2024)Table:Calibrationbrdd60%2%0.150.256.7%4.7%11.4%33.9%Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a FallConclusionsConclusions:avenues for further researchFinancial repression in the open economyeuro areaFinancial repression and IO of banking industryFinancial repression as manipulation of convenience yield on government debtTHANK YOU!Olivier Jeanne(JHU)From Fiscal Deadlock to Financial Repression:Anatomy of a Fall