Fiscal Sustainability in a New Keynesian Model
Fiscal Sustainability in a New Keynesian Model
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DOI：
10.2139/ssrn.941120
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发表时间：
2006-03
期刊：
影响因子：
--
通讯作者：
C. Leith;S. Wren‐Lewis
中科院分区：
文献类型：
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作者：
C. Leith;S. Wren‐Lewis
最近有大量工作利用基于名义惯性的新古典综合(NNCS)模型推导出最优货币政策。这类模型通常从货币政策对政府财政的影响中抽象出来，假设消费者是无限活的，税收是一次性支付的，因此李嘉图等价成立。在本文中，在粘性价格NNCS模型的背景下，我们假设政府必须调整支出和/或扭曲税收以满足其跨期预算约束。然后，我们在面对技术、偏好和成本推动冲击的情况下，在相机抉择和承诺的情况下考虑最优的货币和财政政策。我们发现，最优的提前承诺政策意味着在稳态债务水平上的随机游走，推广了早期只涉及单一财政工具的结果。在负面财政冲击的情况下，这意味着永久性地提高税收，降低产出和政府支出，以支持新的稳定状态债务存量，但这些变量的最佳组合将确保承诺的零通胀率。我们还发现，最优提前承诺政策的时间不一致性使得政府在考虑到通胀预期的情况下，受到诱惑而提高税收，以减少它们需要偿还的最终债务负担。由于税收是一种扭曲的劳动所得税，这种激进的增税提高了企业的边际成本，并加剧了通胀。我们证明，只有在冲击之后，新的稳态债务等于原始的、第一好的债务水平，这种诱惑才会被消除。这意味着，在可自由支配的政策下，随机游走的结果被推翻：即使政府的目标函数中没有明确的债务目标，债务也总是会回到最初的稳定状态。在一系列数值模拟中，我们发现，对于提前承诺政策，引入债务的福利后果可以忽略不计，但对于可自由支配的政策，债务的福利后果可能是显著的。
There has been a wealth of recent work deriving optimal monetary policy utilising New Neo-Classical Synthesis (NNCS) models based on nominal inertia. Such models typically abstract from the impact of monetary policy on the government’s finances, by assuming that consumers are infinitely-lived and taxes are lump-sum such that Ricardian Equivalence holds. In this paper, in the context of a sticky-price NNCS model, we assume that the government must adjust spending and/or distortionary taxation to satisfy its intertemporal budget constraint. We then consider optimal monetary and fiscal policies under discretion and commitment in the face of technology, preference and cost-push shocks. We find that the optimal precommitment policy implies a random walk in the steady-state level of debt, generalising earlier results that involved only a single fiscal instrument. In the case of negative fiscal shocks this implies permanently higher taxation and lower output and government spending to support the new steady-state debt stock, but the optimal combination of these variables will ensure a zero rate of inflation under commitment. We also find that the time-inconsistency in the optimal precommitment policy is such that governments are tempted, given inflationary expectations, to raise taxation to reduce the ultimate debt burden they need to service. Since taxation is a distortionary labour income tax, this aggressive raising of taxation raises firms’ marginal costs and fuels inflation. We show that this temptation is only eliminated if following shocks, the new steady-state debt is equal to the original, first-best, debt level. This implies that under discretionary policy the random walk result is overturned: debt will always be returned to this initial steady-state even although there is no explicit debt target in the government’s objective function. In a series of numerical simulations we show that the welfare consequences of introducing debt are negligible for precommitment policies, but can be significant for discretionary policy.