汇率变动对政府杠杆率影响的机理与效应——来自全球158个经济体的证据

Mechanisms and Effects of Exchange Rate Movements on Government Leverage——Evidence from 158 Global Economies

本文基于跨期账户分析方法,构建一个包含家庭和财政部门的小国开放经济模型,通过居民融资约束建立汇率变动与政府杠杆率之间的联系,揭示了汇率变动通过经常账户渠道影响政府杠杆率的传导机制,并使用全球158个经济体的宏观数据对国家和地区广义政府杠杆率进行实证检验。结果显示,汇率变动对政府杠杆率存在显著影响,该效应在不同类型经济体之间保持稳健。进一步分析表明,该效应存在异质性,且政府杠杆率的变动程度受到融资约束与金融发展水平的影响。在机制检验中,本文验证了经常账户是汇率变动影响政府杠杆率水平的一个重要中介渠道。本文从理论和实证两个方面证明了汇率变动对政府债务决策的重要影响,为政府部门“去杠杆”提供有益参考。

After the global financial crisis in 2008,government leverage has been increasing in many countries(regions)around the world,with high level government debt becoming increasingly common and severe.Many developing countries debt has reached alarming levels,making an in-depth study of government leverage more important nowadays.Based on the intertemporal approach analysis,this paper constructs an open economy model for small countries containing households and fiscal authorities,establishing the link between exchange rate movements and government leverage through the resident financing constraint,and reveals the mechanism through which exchange rate changes affect government leverage through the current account channel.Then macro data for 158 economies worldwide are used to conduct empirical testing on general government leverage.The results show that exchange rate movements have a significant effect on government leverage,which remains robust across different types of economies.Further analysis shows that the effect is heterogeneous and the degree of variation in government leverage is influenced by financing constraints and the financial development level.In the mechanism test,we also verify that the current account is an important mediating channel through which exchange rate movements affect the level of government leverage.This paper has three important implications for government debt decisions.Firstly,it is important to pay attention to the“leveraging”effect that a country’s exchange rate changes may bring to the government sector through the current account.Secondly,in order to“develop a higher level of open economy”and“build a modern economic system”,the development and integrity of the financial system is essential.Thirdly,the further development of Chinese enterprises cannot be achieved without the support of the international financial market,which puts higher demands on the management level of government departments and monetary authorities,and the reform of exchange rate formation mechanism and other macro-control policies should be carried out in line with the times.