Can fiscal consolidations announcements help anchor inflation expectations?

IF 2.8 2区 经济学 Q2 BUSINESS, FINANCE
Antonio C. David, Samuel Pienknagura, Juan F. Yépez
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Abstract

Using quarterly economic data and a comprehensive database on fiscal policy consolidation announcements for a sample of advanced economies and emerging markets, we quantify the effects of fiscal tightening on inflation expectations. We find that fiscal consolidation announcements reduce inflation expectations over the medium-term (three and five-years ahead), but not in the short-term (one-year ahead). There is also some evidence that consolidation announcements reduce “disagreement” about expected future inflation at longer horizons. The inflation anchoring role of consolidation announcements is enhanced by the strength of a country's fiscal and monetary frameworks, and when fiscal and monetary policy work in tandem. In addition, we find that initial conditions matter—inflation expectation's response to consolidation announcements is larger in periods of high contemporaneous inflation. With these results in hand, we show that the effectiveness of fiscal consolidation in limiting realized inflation depends greatly on the response of inflation expectations to consolidation announcements. These results show that fiscal policy is crucial to anchor inflation expectations and a key element of a credible disinflationary process.
财政整顿公告能帮助稳定通胀预期吗?
我们利用季度经济数据和以发达经济体和新兴市场为样本的财政政策巩固公告综合数据库,量化了财政紧缩对通胀预期的影响。我们发现,财政整顿公告降低了中期(未来3年和5年)的通胀预期,但短期(未来1年)不会降低通胀预期。还有一些证据表明,财政整顿公告减少了人们对未来长期通胀预期的“分歧”。一国财政和货币框架的实力,以及财政和货币政策的协同工作,会增强财政整顿公告锚定通胀的作用。此外,我们发现初始条件很重要——通胀预期对合并公告的反应在同期高通胀时期更大。有了这些结果,我们表明财政整顿在限制已实现通胀方面的有效性在很大程度上取决于通胀预期对财政整顿公告的反应。这些结果表明,财政政策对于稳定通胀预期至关重要,也是可信的反通胀过程的关键因素。
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来源期刊
CiteScore
4.20
自引率
4.00%
发文量
141
期刊介绍: Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.
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