1,218 332 3MB
Pages 283 Page size 432 x 648 pts Year 2011
Innovative Fiscal Policy and Economic Development in Transition Economies
7KLVERRNH[SORUHVWKHSUREOHPVRI¿VFDOSROLF\DVDQLQVWUXPHQWRIHFRQRPLF DQG VRFLDO GHYHORSPHQW LQ WKH PRGHUQ HQYLURQPHQW SULPDULO\ IRFXVLQJ RQ WKH WUDQVLWLRQHFRQRPLHVRI(DVWHUQ(XURSH&DXFDVXVDQG&HQWUDO$VLD(YDOXDWLQJ WKHWUDQVIRUPDWLRQDOH[SHULHQFHLQWKHVHFRXQWULHVWKLVZRUNPHHWVDQHHGIRUD FULWLFDODQDO\VLVLQWKHDIWHUPDWKRIWKHVPDUNHWOLEHUDOL]DWLRQUHIRUPVRI FXUUHQWWUHQGVDQGRXWOLQHVWKHURDGPDSIRUIXWXUHGHYHORSPHQW ,QÀXHQFHGE\PDUNHWUHIRUPVLQWKHLPPHGLDWHSRVW6RYLHWHUDDEUXSW¿VFDO ZLWKGUDZDOIURPWKHHFRQRP\OHGWRDGLYHUVHPL[RI¿QDQFLDOLQGXVWULDODQG VRFLDO SUREOHPV 7RGD\ WZR GHFDGHV RQ WKH WUDQVLWLRQ HFRQRPLHV KDYH JURZQ QHZ VWUXFWXUHV DQG HVWDEOLVKHG D QHZ XQLTXH GHYHORSPHQW PRGHO 7KLV ERRN GLUHFWO\ DGGUHVVHV WKHVH LVVXHV &RPELQLQJ ULJRURXV DQDO\WLFDO GLVFXVVLRQ ZLWK VROLGVWDWLVWLFDOH[DPLQDWLRQWKHDXWKRUXQGHUWDNHVDIXOOPDFURHFRQRPLFUHYLHZ RI WKH &,6 HFRQRPLHV WKURXJK WKH SUHVHQW GD\ LQFOXGLQJ DQDO\VLV RI WUDGH DQG ¿VFDOEDODQFHUHODWLRQV¿VFDOSROLF\VXVWDLQDELOLW\DOWHUQDWLYHVRYHUHLJQ¿QDQFH DQGVRYHUHLJQGHEWDVSHFWVRIODERUPDUNHWH[FKDQJHUDWHG\QDPLFVDFULWLFDO HYDOXDWLRQRIWKHFXUUHQWFULVLVDQGWKHIXWXUHRXWORRN 7KH QRYHOW\ RI WKLV VWXG\ LV LQ LWV PXOWLIDFHWHG DQDO\VLV RI WKH JOREDO WKHPH RI SROLF\ IRU GHYHORSPHQW SLRQHHULQJ LGHDV RI ¿VFDO QHW DQG RIIHULQJ SUDJPDWLF SRVWFULVLVVFHQDULRVDQGSROLF\VROXWLRQVZLWKHPSKDVLVRQ¿VFDODFWLRQ*LYHQLWV URXQGHGDSSURDFKWKHERRNLVRISDUWLFXODUXVHWRVFKRODUVVWXGHQWVUHVHDUFKHUVDQG SUDFWLWLRQHUVLQWHUHVWHGLQHFRQRPLFSROLF\DQGGHYHORSPHQW Aleksandr V. GevorkyanLVDQ(FRQRPLVWDW&DSFRDJOREDO¿QDQFLDOFRQVXOW LQJ ¿UP 'U *HYRUN\DQ DOVR WHDFKHV D UDQJH RI ¿QDQFLDO HFRQRPLFV DQG HFR QRPLF GHYHORSPHQW WRSLFV DW 1HZ &@ )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW*'3>,@ 'HEWVHUYLFH>U%@ 5HIRUPVLQGH[>5()@ 1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVWSURE&KL ޔ +DXVPDQWHVW&KLޔ SURE&KL ޔ
5HJUHVVRUPRGHO
7DEOH([WHQGHGPRGHOUHVXOWVZLWKGHEWVHUYLFHWHUP
± ± ±
OLS-PCSE
RE
±
± ± ±
±
FE
CAi,t c BFBi,t– G Ii,t– LREFi,t W(rBi,t– ) Ei,t
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW *'3>,@ 5HIRUPVLQGH[ >5()@ 1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVWSURE&KL ޔ +DXVPDQWHVW&KLޔ SURE&KL ޔ
5HJUHVVRUPRGHO
±
±
±
±
±
FE
OLS-PCSE
±
±
FE
±
RE
CAi,t c BFBi,t–1 GIi,t–1 LREFt Ei,t
± ± ±
±
RE
OLS-PCSE
OLS-PCSE FE
RE
CAi,t c BFBi,t–1 GIi,t–1 Ei,t
&$i,t c BFBi,t GIi,t Ei,t
7DEOH0DLQDQGH[WHQGHGPRGHOUHVXOWV±VHFRQGUHIRUPVSHULRG
± ±
± ±
± ±
± ±
RE
OLS-PCSE
RE
±
± ±
±
± ±
FE
CAi,t c BFBi,t–1 GIi,t–1 LREFi,t W(rBi,t–1) Ei,t
±
± ± ±
±
± ±
FE
OLS-PCSE
RE
OLS-PCSE
FE
CAi,t c BFBi,t–1 GIi,t–1 W(rBi,t–1) Ei,t
&$i,t c BFBi,t GIi,t W(rBi,t) Ei,t
1RWHV
LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ WVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV
6RXUFHDXWKRU¶VFDOFXODWLRQV
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ ,QYHVWPHQW*'3>,@ 'HEWVHUYLFH>U%@ 5HIRUPVLQGH[>5()@ 1RRIFRXQWULHV>SDQHOV@ 1RRIREVHUYDWLRQV /0WHVWSURE&KL ޔ +DXVPDQWHVW&KLޔ SURE&KL ޔ
5HJUHVVRUPRGHO
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FXUUHQWDFFRXQWEDODQFHHYHQZKHQWHVWHGXVLQJDOWHUQDWLYHWHFKQLTXHV1RWDEO\ WKLVUHVXOWLVREWDLQHGLQWKHVPDOOHUVDPSOHFRYHULQJ± 7KH LPSRUWDQFH RI WKLV ¿QGLQJ DOEHLW ZLWK ORZHU VLJQL¿FDQFH DV HDUOLHU UHVXOWV PXVW EH DVVHVVHG ZLWK FDXWLRQ )LUVW WKH QHJDWLYH UHODWLRQVKLS EHWZHHQ ¿VFDOEDODQFHDQGFXUUHQWDFFRXQWEDODQFHFRQWUDGLFWVWKHWZLQGH¿FLWVDUJXPHQW 6HFRQG WKH IDFW WKDW WKLV RFFXUV LQ WKH VPDOOHU VDPSOH WKDW FRYHUV WKH VHFRQG WUDQVLWLRQ GHFDGH RI PDFURHFRQRPLF QRUPDOL]DWLRQ LQ WKH &,6 UHLQIRUFHV WKH DUJXPHQWDJDLQVWWKHWZLQGH¿FLWVFDXVDOLW\)LQDOO\WKHVHFRQFOXVLRQVPXVWEH WDNHQZLWKDJUDLQRIVDOWGXHWRSRVVLEOHGDWDLVVXHV1HYHUWKHOHVVWKHVHFRQG GHFDGHRIWKHWUDQVLWLRQSURFHVVKDVEHHQFKDUDFWHUL]HGE\LQFUHDVHGPDFURHFR QRPLFVWDELOLW\DQGWKHLQWURGXFWLRQRIUHVSRQVLEOHGHYHORSPHQWSROLF\VSHFL¿ FDOO\IRVWHULQJRIPDUNHWLQVWLWXWLRQDOIUDPHZRUNDQGVXSSRUWRISULYDWHEXVLQHVV DFURVVWKH&,6VSDFHDVZHOODVWKHQHWLPSRUWHUV 7KHIDFWWKDWWKHQHJDWLYHUHODWLRQVKLSLVGHWHFWHGLQWKHQHWLPSRUWHUHFRQRPLHV LVDOVRVLJQL¿FDQWIRUDQRWKHUUHDVRQ5HFDOOWKDWWKHVH¿YHVPDOOHFRQRPLHVDUHQHW UHFLSLHQWV RI ZRUNHUV¶ UHPLWWDQFHV DQG RWKHU ¿QDQFLDO WUDQVIHUV IURP DEURDG VHH &KDSWHUVDQGRIWKLVVWXG\ 2QWKHPLFUROHYHOLQFUHDVLQJWUDQVIHUVWRSULYDWH UHFLSLHQWVDOOHYLDWHVSUHVVXUHVRQ¿VFDODJHQFLHV+HQFH¿VFDOEXGJHWVDUHFXWDQG SXEOLF H[SHQGLWXUH LV DOORFDWHG WRZDUGV RWKHU SULRULWLHV ,Q WKH PHDQWLPH ZLWK GRPHVWLFSURGXFWLYHFDSDFLWLHVUHGXFHGHLWKHUGXHWRLQGXVWULDOXQGHUGHYHORSPHQW RU SULFH FRPSHWLWLRQ IXQGV SURFXUHG YLD SULYDWH WUDQVIHU FKDQQHOV DUH VSHQW RQ SULYDWHFRQVXPSWLRQRILPSRUWHGJRRGVGULYLQJXSWKHFXUUHQWDFFRXQWGH¿FLW7KH ODFNRIDVLJQL¿FDQWUHODWLRQVKLSRIWKH¿VFDOEXGJHWDQGFXUUHQWDFFRXQWPD\DOVREH FDSWXUHGE\FRUUHODWLRQVFDOFXODWHGEDVHGRQWKHVDPHGDWDDVWKHUHJUHVVLRQPRGHOV GHVFULEHGDERYH7KHUHVXOWVRIWKHVHFRUUHODWLRQWHVWVDUHVKRZQLQ7DEOH %DVHGRQUHVXOWVLQ7DEOH¿VFDOEDODQFHWRFXUUHQWDFFRXQWUHODWLRQVKLSLV QHJDWLYHLQTXLWHDIHZFDVHVLQFOXGLQJFRXQWULHVIURPERWKJURXSV2QDYHUDJH WKHDVVRFLDWLRQLVUHODWLYHO\ZHDN +RZHYHULWDSSHDUVWREHVWURQJO\SRVL WLYH LQ WKH FDVH RI 8]EHNLVWDQ $UPHQLD 7XUNPHQLVWDQ DQG $]HUEDLMDQ DQG UHVSHFWLYHO\ 6LPLODUO\ ¿[HG FDSLWDO IRUPDWLRQ WR FXUUHQW DFFRXQWDVVRFLDWLRQLVDOVRZHDNLQWKHVHFRQGWUDQVLWLRQGHFDGHZLWKWKHH[FHS WLRQVRI$UPHQLDDQG8]EHNLVWDQDWDQG 6HYHUDOLVVXHVDULVHIURPWKH FRQGXFWHG HPSLULFDO WHVWV DQG ZH VXPPDUL]H WKRVH LQ WKH FRQFOXGLQJ VHFWLRQ 7KHVHLVVXHVUHODWHHTXDOO\WRHPSLULFDOHVWLPDWLRQPHWKRGVDQGLPSOLHGWKHRUHWL FDOGHULYDWLRQV0RVWLPSRUWDQWO\WKH\LQYROYHFRQVLGHUDWLRQVRISROLF\PHDVXUHV +RZHYHU¿UVWZHDGGUHVVVRPHH[WHQVLRQVWRWKHFRUHDQDO\VLV 3ULYDWHFRQVXPSWLRQUHODWLRQWRFXUUHQWDFFRXQW $QRWKHU LPSRUWDQW H[WHQVLRQ WR WKH FRUH PRGHO LV VWUXFWXUHG DURXQG SULYDWH KRXVHKROGFRQVXPSWLRQ7KLVLVSURPSWHGE\WZRIDFWRUV7KH¿UVWLVGXHWRFRQ VXPSWLRQ EHLQJ D PDMRU FRPSRQHQW RI WKH WRWDO QDWLRQDO LQFRPH DV LQ QDWLRQDO LQFRPH LGHQWLWLHV 7KHQ FXUUHQW DFFRXQW EDODQFH DV LQ WKH HTXDWLRQ LV H[SUHVVHG LQ WHUPV RI QDWLRQDO LQFRPH JRYHUQPHQW H[SHQGLWXUH LQYHVWPHQW DQG SULYDWHFRQVXPSWLRQ
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH&XUUHQW DFFRXQW WR ¿VFDO EDODQFH DQG WR LQYHVWPHQWFRUUHODWLRQ Country
CA–FB
CA–I
$UPHQLD $]HUEDLMDQ %HODUXV *HRUJLD .D]DNKVWDQ .\UJ\]5HSXEOLF 0ROGRYD 5XVVLD 7DMLNLVWDQ 7XUNPHQLVWDQ 8NUDLQH 8]EHNLVWDQ Average
± ± ± ± ± 0.26
± ± ± ± ± ± ± ± ± –0.18
6RXUFHDXWKRU¶VFDOFXODWLRQVEDVHGRQ(%5' :', :RUOG%DQN DQG,)6,0) GDWD Note 5HVXOWVUHÀHFWVLPSOHDYHUDJHIRUWKH±SHULRG
Xt±Mt Yt±Ct±Gt±It
7KLVUHODWLRQLVGHULYHGIURPQDWLRQDOLQFRPHGHFRPSRVLWLRQH[HUFLVHVUHYLHZHG HDUOLHU +\SRWKHWLFDOO\ WKHQ ZLWK JURZLQJ LQFRPH < KROGLQJ JRYHUQPHQW H[SHQGLWXUH DQG LQYHVWPHQW FRQVWDQW D FXUUHQW DFFRXQW VXUSOXV LV QHJDWLYHO\ UHODWHGWRFRQVXPSWLRQ7KLVLPSOLHVWKDWDQ\LQFUHDVHLQFRQVXPSWLRQH[SHQGL WXUHZRXOGUHVXOWLQLQFUHDVLQJLPSRUWVLHFXUUHQWDFFRXQWGH¿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ÀXHQFLQJLQFUHDVHG GHPDQGIRUPRGHUDWHO\SULFHGLPSRUWHGJRRGVRIEHWWHUTXDOLW\DQGUHODWLYHO\HDV\ DFFHVVLELOLW\FRPSDUHGZLWKWKHODFNRIRUGH¿FLHQWKRPHPDGHSURGXFWV
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV Armenia
Azerbaijan
Kazakhstan
Kyrgyz Republic
Tajikistan
Turkmenistan
Belarus
Georgia
150 100 50 0 50 Moldova
Russia
150 100 50 0 50 Ukraine
Uzbekistan
150 100 50 0 50 1990
1995
2000
2005 1990
1995
2000
2005 1990
1995
2000
2005 1990
1995
2000
2005
Year CA
HC
)LJXUH3ULYDWHFRQVXPSWLRQDQGFXUUHQWDFFRXQWE\\HDUE\FRXQWU\VRXUFHDXWKRU¶V FDOFXODWLRQV EDVHG RQ GDWD IURP (%5' DQG :', :RUOG %DQN
7KH VHFRQG IDFWRU SURPSWLQJ DQDO\VLV RI FXUUHQW DFFRXQW LQ FRQQHFWLRQ ZLWK SULYDWHFRQVXPSWLRQLVGHULYHGIURPWKHDERYHVWDWHPHQW7KHQDWXUHRIWUDQVLWLRQ HFRQRPLHV¶GHYHORSPHQWLVVXFKWKDWWKHUHFRQWLQXHVWREHDKLJKGHJUHHRIVXE VWLWXWLRQRIGRPHVWLFDOO\PDGHJRRGVE\EHWWHUTXDOLW\DQGPRUHHI¿FLHQWIRUHLJQ JRRGV'HVSLWHWKHIDFWWKDWVRPHFRXQWULHVUXQFXUUHQWDFFRXQWVXUSOXVHYHQWKH\ VWLOOLPSRUW¿QDOFRQVXPHUSURGXFWV $VKDVEHHQHVWDEOLVKHGLQ&KDSWHUWKRVHZLWKFXUUHQWDFFRXQWVXUSOXVHVDUH PDLQO\ UDZ PDWHULDO H[SRUWHUV 7KHUHIRUH HYHQ LQ WKHVH FDVHV RI ODUJH HFRQR PLHVFRQVXPHUVORRNIRUIRUH[DPSOHIRUHLJQFDUVLPSRUWHGGXUDEOHVFORWKHV DQGFHUWDLQVHUYLFHVHJ¿QDQFLDOVHUYLFHV VLQFHWKHPDQXIDFWXULQJSURGXFWLRQ LQ WKHVH VHFWRUV UHPDLQV DW LWV UXGLPHQWDU\ VWDJHV ,Q FHUWDLQ VPDOOHU FRXQWULHV HJ$UPHQLD*HRUJLDDQG0ROGRYD VKDUHVRIFRQVXPHUJRRGVSURGXFWLRQLV HYHQORZHUWKDQLQWKHODUJHUHFRQRPLHV +RZHYHUWKHGHPDQGIRUFRQVXPHUJRRGVDQGVHUYLFHVPXVWEHVDWLV¿HGDQG WKDW LV GRQH YLD LQÀRZ RI LPSRUWHG JRRGV DQG VHUYLFHV ,Q WKH GHYHORSPHQW FRQWH[WWKLVKDVDPDMRULPSOLFDWLRQLQWHUPVRILQGXVWULDOJURZWKDQGGHYHORS PHQWSROLF\$VPDQ\REVHUYHUVKDYHQRWHGDFRPSOH[LQGXVWULDOSROLF\ODUJHO\ GH¿QHGWKHVXFFHVVHVRIWKH$VLDQ0LUDFOHRUHYHQSRVWZDU:HVWHUQ*HUPDQ\ RU-DSDQVHHIRUH[DPSOH$PVGHQRU&KDQJ &KDSWHUQRWHGWKDW DWWHPSWV WR LPSOHPHQWDWLRQ RI VXFK SROLFLHV YLD VWDWH FRUSRUDWLRQV DUH PDGH LQ WKHWUDQVLWLRQHFRQRPLHV6WLOOWKLVLVDUHFHQWSKHQRPHQRQFKDUDFWHULVWLFRIWKH ODUJHU HFRQRPLHV UDWKHU WKDQ EHLQJ D JHQHUDO WUHQG DFURVV DOO &,6 7KHUHIRUH
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV SULYDWH FRQVXPSWLRQ PD\ EH WKH SULPDU\ GHWHUPLQDQW RI WKH FXUUHQW DFFRXQW GH¿FLWZKLOHWKHJRYHUQPHQWUXQVD¿VFDOGH¿FLWWRVXSSRUWLWVVRFLDOSURJUDPV HJKHDOWKEHQH¿WVDQGHGXFDWLRQDVUHYLHZHGDORQJZLWKRWKHUGRPHVWLFSXEOLF SROLF\SULRULWLHVLQ&KDSWHU 7KLVOHDGVWRWKHFRQFOXVLRQWKDWWKHSULPDU\GHWHUPLQDQWRIFXUUHQWDFFRXQW GH¿FLW LV QRW UHDOO\ WKH ¿VFDO SROLF\ DV WKH WZLQGH¿FLWV WKHRU\ ZRXOG VXJJHVW EXW FRQVXPHU VSHQGLQJ WKDW LV LQÀXHQFHG E\ UHDVRQV RWKHU WKDQ DYDLODELOLW\ RI FUHGLW RU H[SDQVLRQDU\ PRQHWDU\ SROLF\ VRPHWKLQJ PRUH FKDUDFWHULVWLF RI WKH ¿QDQFLDO V\VWHPV RI WKH GHYHORSHG FDSLWDOLVW HFRQRPLHV RI 1RUWK $PHULFD DQG WKH(XURSHDQ8QLRQ ,QWKDWFDVHWKHUHVKRXOGEHDVWURQJQHJDWLYHFRUUHODWLRQ EHWZHHQ FRQVXPSWLRQ VSHQGLQJ DQG FXUUHQW DFFRXQW 7KHVH FRUUHODWLRQV DUH REVHUYHGLQ7DEOH $JDLQ WKH VHSDUDWLRQ EHWZHHQ WKH ¿UVW GHFDGH RI WUDQVLWLRQ UHIRUPV DQG WKH VHFRQG GHFDGH WLPH RI PDFURHFRQRPLF VWDELOL]DWLRQ VRPH JURZWK DQG PRUH .H\QHVLDQSROLFLHV LVUHOHYDQWKHUH7KHFRUUHODWLRQLVJUHDWHULQWKHVHFRQGGHFDGH 7KDW LQGLUHFWO\ VXSSRUWV RXU VWDWHPHQW UHJDUGLQJ QRQFRQVXPHU SURGXFWV RULHQWHG JURZWK²WKDWLVZKLOHHFRQRPLHVJHWULFKHUDQGVSHQGLQJULVHVWKLVLVQRWQHFHVVDU LO\GXHWRDQLQFUHDVHLQFRQVXPHUJRRGVGRPHVWLFPDQXIDFWXULQJ,QRWKHUZRUGV VSHQGLQJ LV GLUHFWHG WRZDUGV EHWWHU TXDOLW\ LPSRUWV UDWKHU WKDQ GRPHVWLF JRRGV ,QGLYLGXDOFRXQWU\UHVXOWVRIIHUVXSSRUWIRUDPXFKVWURQJHUUHODWLRQVKLSDVLQWKH FDVHVRI$UPHQLDDQG8]EHNLVWDQIRUH[DPSOH ,QWKHORQJHUWLPHSHULRGWZHQW\ \HDUV UHVXOWV DUH LQ WKH VHFRQG FROXPQ LQ 7DEOH DERYH WKH UHODWLRQVKLS LV ZHDNHURQDYHUDJHEXWLVVWLOOVLJQL¿FDQWIRUWKHQHWLPSRUWHUFRXQWULHVDQGVRPHQHW H[SRUWHUV&HUWDLQO\RQHPXVWWDNHLQWRFRQVLGHUDWLRQDVZLWKDQ\JHQHUDOL]DWLRQ 7DEOH&RQVXPSWLRQDQGFXUUHQWDFFRXQWFRUUHODWLRQ ±± Country
1989–2008
1999–2008
$UPHQLD $]HUEDLMDQ %HODUXV *HRUJLD .D]DNKVWDQ .\UJ\]5HSXEOLF 0ROGRYD 5XVVLD 7DMLNLVWDQ 7XUNPHQLVWDQ 8NUDLQH 8]EHNLVWDQ Average
± ± ± ± ± ± ± ± –0.25
± ± ± ± ± ± ± ± ± ± ± ± –0.53
6RXUFH DXWKRU¶V FDOFXODWLRQV EDVHG RQ (%5' :', :RUOG%DQN DQG,)6,0) GDWD Note 5HVXOWVUHÀHFWVLPSOHDYHUDJHIRUWKH±SHULRG
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV UHOLDELOLW\ RI WKH DYDLODEOH VWDWLVWLFDO GDWD 6WLOO WKHVH SUHOLPLQDU\ UHVXOWV RIIHU VXSSRUWIRUWKHFRQVXPSWLRQWRFXUUHQWDFFRXQWUHODWLRQGLVFXVVHGDERYH 7RJDLQDGGLWLRQDOFRQ¿UPDWLRQDQHZWHVWLVGHULYHGEHORZIURPWKHLQLWLDO UHJUHVVLRQ PRGHO H[SODLQHG LQ 6HFWLRQ 7KH IRFXV LV RQ WKH UHODWLRQVKLS EHWZHHQ KRXVHKROG FRQVXPSWLRQ HC DQG FXUUHQW DFFRXQW CA LQ WKH FXUUHQW SHULRGDQGZLWKDRQHSHULRGODJ,QDGGLWLRQWKHPRGHOHVWLPDWHVWKHHIIHFWVRI KRXVHKROG FRQVXPSWLRQ DQG RI ¿VFDO EDODQFH FKDQJH RYHU FXUUHQW DFFRXQW VXUSOXV7KHQHZPRGHOLVIRUPDOO\GH¿QHGDVIROORZV
6LPLODUWRWKHORJLFRIWKHHDUOLHUGLVFXVVHGWHVWVGH¿QHGLQ±DQG± WKHHTXDWLRQV WKURXJK WHVWIRUDUHODWLRQVKLSEHWZHHQFXUUHQW DFFRXQWVXUSOXVCA LQWKHFXUUHQWSHULRGDQG KRXVHKROGFRQVXPSWLRQLQWKH FXUUHQW SHULRG HTXDWLRQ KRXVHKROG FRQVXPSWLRQ DQG ¿VFDO EDODQFH FKDQJHLQWKHFXUUHQWSHULRGHTXDWLRQ DQG KRXVHKROGFRQVXPSWLRQDQG ¿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¿W EXW WR LOOXVWUDWH WKH UHODWLRQVKLS ,Q WKDW DOO WHVWVZLWKH[FHSWLRQVLQWKHUHGXFHGQHWLPSRUWHUVFDVHLQGLFDWHH[LVWHQFHRIWKH QHJDWLYHFRUUHODWLRQRIFXUUHQWDFFRXQWVXUSOXVWRKRXVHKROGH[SHQGLWXUH 7KHVHUHVXOWVDUHLQIRUPDWLYHDQGRIIHUVXI¿FLHQWEDVLVWRVXSSRUWWKHGLVFXVVLRQ DERYHUHJDUGLQJWKHQDWXUHRIFRQVXPSWLRQVSHQGLQJDQGWKHQDWXUHRIWKHFXUUHQW DFFRXQWGH¿FLWVLQWKHWUDQVLWLRQHFRQRPLHV7KHVHUHVXOWVKDYHFOHDUSROLF\LPSOL FDWLRQV LQ WHUPV RI PDFURHFRQRP\ DQG GHYHORSPHQW WDUJHWV HVSHFLDOO\ LQ WKH VPDOOHUQHWLPSRUWHUHFRQRPLHVEXWDUHHTXDOO\LPSRUWDQWLQWKHODUJHUQHWH[SRUW LQJHFRQRPLHV6RPHRIWKHVHLPPLQHQWSROLF\LPSOLFDWLRQVDUHDGGUHVVHGEHORZ 6SHFLDOFDVHFRPPRGLWLHVH[SRUWVLQWKHQHWH[SRUWHUVJURXS 7KH¿QDOH[WHQVLRQWRWKHFRUHDQDO\VLVFRPHVDVDVSHFLDOFDVHWRWKHDERYHRXW OLQHGPRGHO+HUHWKHIRFXVLVRQWKHQHWH[SRUWHUVJURXSRQO\$QHZIDFWRULV DGGHGWRWKHPRGHOFRPPRGLWLHVH[SRUWVDVDVKDUHRI*'3&20 7KHLQWXL WLRQEHKLQGWKLVDGGLWLRQLVVLPSOH6LQFHPXFKRIQHWH[SRUWHUV¶FXUUHQWDFFRXQW
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿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¿FLHQW WR DGMXVW WKH SDQHO VHW DQG FDUU\RXWPHDQLQJIXODQDO\VLV 7R VNLS WKURXJK VSHFL¿FV FRYHUHG DW OHQJWK LQ WKH SUHYLRXV VXEVHFWLRQV RI WKLVFKDSWHUWKHDXJPHQWHGPRGHOLVGH¿QHGDORQJIDPLOLDUOLQHV CAi,t c BHCi,t MCOMi,t Ei,t
CAi,t c BHCi,t LFBi,t MCOMi,t Ei,t
CAi,t c B$HCi,t M$COMi,t Ei,t
CAi,t c B$HCi,t L$FBi,t M$COMi,t Ei,t
(TXDWLRQV WKURXJK IROORZDQDOUHDG\IDPLOLDUSDWWHUQZLWKWKHDGGL WLRQRIRQHQHZWHUPLHCOMi,tWKHWHUPIRUWKHFRPPRGLWLHVH[SRUWVDVDVKDUH RI *'3 RI FRXQWU\ i LQ WKH \HDU t $OO YDULDEOHV LQ WKLV PRGHO DUH PHDVXUHG LQ WHUPVRI*'3VKDUHV (TXDWLRQV DQG DOVRUHÀHFWWKHDQQXDOFKDQJHHIIHFWVRIFRQVXPS WLRQ¿VFDOEDODQFHDQGFRPPRGLWLHVH[SRUWVDQGWKHLUUHODWLRQWRFXUUHQWDFFRXQW EDODQFHLQWKHFXUUHQW\HDU7KHLPSOLFDWLRQVRIWKLVDSSURDFKDUHH[SODLQHGEHORZ 8VLQJ FRXQWU\VSHFL¿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¶ WRWDO H[SRUWV ZDUUDQWV WKH WZR HFRQRPLHV¶ LQFOXVLRQ LQ WKH DQDO\VLV IXHO DQG PHWDOH[SRUWVDUHDURXQGSHUFHQWDQGSHUFHQWRIWRWDOH[SRUWVIRU%HODUXV DQG8]EHNLVWDQUHVSHFWLYHO\ 8WLOL]LQJVLPLODUWHFKQLFDOWRROVDVHDUOLHUWRHVWLPDWHHTXDWLRQV WKURXJK UHVXOWVDUHGHULYHGDQGSUHVHQWHGLQ7DEOH7KHVHUHVXOWVFRQ¿UPWKH VWDWHGK\SRWKHVLVRISRVLWLYHUHODWLRQEXWPXVWEHWUHDWHGZLWKFDXWLRQ,QIDFWLW
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV Azerbaijan
Belarus
Kazakhstan
100 50 0 50 Russia
Turkmenistan
Ukraine
100 50 0 50 1995
2000
2005
1995
2000
2005
Uzbekistan 100 50 0 50 1995
2000
2005 Year CA
COM
)LJXUH&RPPRGLWLHV H[SRUWV DQG FXUUHQW DFFRXQW E\ \HDU QHW H[SRUWHUV VRXUFH DXWKRU¶V FDOFXODWLRQV EDVHG RQ 81&7$' (%5' DQG :', :RUOG%DQN
DSSHDUVWKDWGHSHQGLQJRQDQHVWLPDWLRQPHWKRGFKRVHQWKHVLJQRQWKHCOM YDULDEOH FKDQJHG IURP SRVLWLYH WR QHJDWLYH 7KLV LV FOHDUO\ VHHQ LQ WKH UHVXOWV VXPPDU\LQ7DEOH7KLVLVODUJHO\GXHWRWKHGDWDTXDOLW\DQGVPDOOQXPEHU RIREVHUYDWLRQV&RQVLVWHQWDQGVWDWLVWLFDOO\VLJQL¿FDQWFRHI¿FLHQWVZHUHUHWXUQHG E\WKH¿[HGHIIHFWVPHWKRG%RWKFRHI¿FLHQWVRQSULYDWHFRQVXPSWLRQDQG¿VFDO EDODQFHFDPHZLWKVLJQVFRQVLVWHQWZLWKRXUSULRULQYHVWLJDWLRQVHHDERYHGLV FXVVLRQIRUGHWDLOHGDQDO\VLV $V PHQWLRQHG WZR UHODWLRQV LQ WHUPV RI WLPH²FXUUHQW \HDU UHODWLRQV DQG FXUUHQW WR D SULRU \HDU FKDQJH²ZHUH DQDO\]HG LQ WKH HVWLPDWLRQ SURFHGXUH 7KHVH UHVXOWV DUH HDV\ WR ORFDWHLQ 7DEOH E\ IROORZLQJ WKH UHVSHFWLYHHTXD WLRQV7KHUDWLRQDOHIRUORRNLQJLQWRFRPPRGLWLHVH[SRUWV¶FKDQJHVLVDVIROORZV 6LQFHCOMPDNHXSDODUJHSRUWLRQRIQHWH[SRUWVIRUWKHHFRQRPLHVLQTXHV WLRQ FKDQJHV LQ COM LH $COM ZRXOG DOVR LPSO\ SRVLWLYH FKDQJHV LQ WKH FXUUHQW DFFRXQW ,Q IDFW WKDW LV ZKDW ZH ¿QG ZKHQ HVWLPDWLQJ HTXDWLRQV DQG &XULRXVO\ DQG FUXFLDOO\ SULYDWH FRQVXPSWLRQ FRHI¿FLHQWV $HC UHPDLQQHJDWLYH $V SULPDU\ FRPPRGLWLHV IXHO DQG PHWDO H[SRUWV JURZ DFURVV QHW H[SRUWHU FRXQWULHVSULYDWHFRQVXPSWLRQOHYHOVDOVRJURZEXWUHPDLQQHJDWLYHO\FRUUHODWHG WRWKHFXUUHQWDFFRXQW6RIDUDVWKHHYLGHQFHVXJJHVWVVHH&KDSWHU WKLVKDV UHVXOWHGLQDQHWFXUUHQWDFFRXQWVXUSOXV,QWKHHQGLWEHFRPHVWKHUDFHEHWZHHQ DQ HYHULQFUHDVLQJ SULYDWH FRQVXPSWLRQ VDWLDWHG SULPDULO\ E\ EHWWHU TXDOLW\ LPSRUWHG FRQVXPHU JRRGV DQG UHYHQXH IURP WKH SULPDU\ FRPPRGLWLHV H[SRUWV 7KHODWWHUWKHPDLQQHWH[SRUWHUV¶LQFRPHKROGVWKHVHYHQHFRQRPLHVKRVWDJHWR WKHFKDQJHVLQHQHUJ\DQGUDZPDWHULDOVGHPDQG
+DXVPDQWHVW&KLޔ
1RWHV
LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV
6RXUFHDXWKRU¶VFDOFXODWLRQV
SURE&KL ޔ
/0WHVWSURE&KL ޔ
1RRIFRXQWULHV>SDQHOV@
1RRIREVHUYDWLRQV
±
± ±
±
±
&RPPRGLWLHVH[SRUWV ±
*'3>&20@
±
)LVFDOEDODQFH *'3>)%@
+RXVHKROG &RQVXPSWLRQ *'3>+&@
RE
±
OLS-PCSE
±
±
RE
± ±
±
FE
CAi, t c B$HCi, t M$COMi, t Ei, t
± ± ±
FE
OLS-PCSE
OLS-PCSE FE
RE
CAi, t c BHCi, t GFBi, t MCOMi, t Ei, t
&$i, t c BHCi, t MCOMi, t Ei, t
&RQVWDQW>&@
5HJUHVVRUPRGHO
7DEOH2/6UHVXOWVZLWKFRPPRGLWLHVH[SRUWVQHWH[SRUWHUV±
±
±
OLS-PCSE
±
±
±
FE
±
±
RE
CAi, t c B$HCi, t G$FBi, t M$COMi, t Ei, t
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7KH LPPHGLDWH LPSOLFDWLRQ RI WKLV KDV VXUIDFHG LQ WKH UHFHQW PRQWKV DV WKH ¿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¶IRUWXQHVÀLSSLQJFXUUHQWDFFRXQWEDODQFHVIURPVXUSOXVHVWRGH¿FLWV 8OWLPDWHO\WKHUHLVPRUHWRWKHVWRU\RIWZLQGH¿FLWVWKDQPHHWVWKHH\H
2.7 Conclusion $QDO\VLV LQ WKLV FKDSWHU KDV IRFXVHG RQ UHVHDUFKLQJ YDULRXV PRGDOLWLHV RI WKH WZLQGH¿FLWVDUJXPHQWLQWKHWUDQVLWLRQFRQWH[WRIWKH&,6HFRQRPLHV,QWKHDQD O\WLFDOGHVFULSWLRQRIWKHWZLQGH¿FLWVSUREOHPZHLGHQWL¿HGWKHLPSRUWDQFHRI FRXQWU\VSHFL¿FHIIHFWVDQGXVHGDVWUXFWXUDODSSURDFKLQXQGHUVWDQGLQJWKHVLJ QL¿FDQFHRIDQ\HPSLULFDOUHVXOWV$GGLWLRQDOO\WKHFKDSWHUSUHVHQWHGDYDLODEOH HYLGHQFHRQWKHHYROXWLRQRIWKHFXUUHQWDFFRXQWDQGEXGJHWEDODQFHLQDOOWZHOYH HFRQRPLHV LQGLYLGXDOO\ DQG EDVHG RQ WKHLU FODVVL¿FDWLRQ LQ WKH WZR PDLQ VXE JURXSVQHWH[SRUWHUVDQGQHWLPSRUWHUV 3RLQWLQWLPH JUDSKLFDO DQDO\VLV LQGLFDWHG VRPH SHULRGV RI FXUUHQW DFFRXQW DQG¿VFDOEDODQFHMRLQWPRYHPHQWV(VWLPDWLQJWKHPDLQPRGHODQGLWVH[WHQGHG YHUVLRQZLWKGHEWVHUYLFHVXJJHVWHGWKHVDPHSRVLWLYHUHODWLRQVKLSEHWZHHQWKH WZRYDULDEOHV$GGLWLRQDODQDO\VLVFRYHULQJWKHVHFRQGWUDQVLWLRQGHFDGHIRUDOO WZHOYHFRXQWULHVDQGQHWH[SRUWHUHFRQRPLHVRIIHUHGVLPLODUUHVXOWV7KHVH¿QG LQJVZHUHEURXJKWLQWRTXHVWLRQE\ORZFRUUHODWLRQVEHWZHHQ¿VFDOEDODQFHDQG FXUUHQWDFFRXQWDQGPRUHVSHFL¿FDOO\E\WKHQHJDWLYHUHODWLRQVKLSEHWZHHQWKH KRXVHKROG FRQVXPSWLRQ DQG FXUUHQW DFFRXQW VXUSOXV 7KLV LQGLFDWHV D PRUH FRPSOH[VWUXFWXUDOLVVXHWKDWLQÀXHQFHVFXUUHQWDFFRXQWGH¿FLWUDWKHUWKDQDRQH WRRQH ¿VFDO EDODQFH WR FXUUHQW DFFRXQW UHODWLRQVKLS DSSDUHQW IURP QDWLRQDO LQFRPHLGHQWLWLHV&RQVHTXHQWO\EHORZLVDEULHIVXPPDU\RISRWHQWLDOFRQFHUQV IDFLQJIXWXUHVLPLODUH[SORUDWLRQVDVZHOODVSROLF\LVVXHVLQYROYHG )LUVW WKHUH LV D SHUVLVWHQW LVVXH RI GDWD UHOLDELOLW\ DQG ODFN RI REVHUYDWLRQV 0DQDJLQJDURXQGWKLVE\UHO\LQJRQ(%5'GDWDWKLVDQDO\VLVXWLOL]HGDSDQHOGDWDLQ WKHPRGHODOEHLWGLOXWLQJVRPHRIWKHFRXQWU\VSHFL¿FHIIHFWV *LYHQWKHH[LVWHQW GLIIHUHQFHVLQHFRQRP\VL]HDPRQJWKHWZHOYHFRXQWULHVLQWKHVDPSOHDFRPSOLFD WLRQLQWHUPVRIUHVXOWVUHOLDELOLW\PD\RFFXU,QDGGLWLRQWUDQVLWLRQHFRQRPLHVGDWD KDYH VWDUWHG WR EH UHSRUWHG RQ D FRQVLVWHQW EDVLV RQO\ UHFHQWO\ 6HFRQG ZKLOH DQ DWWHPSWZDVPDGHWRUXQVHYHUDO2/6VSHFL¿FDWLRQVWKHXQGHUO\LQJPRGHOLVFOHDUO\ PRUHVWUXFWXUDOLQQDWXUHDQGIXWXUHDQDO\VLVZLOOKDYHWRDFFRXQWIRUFRQVXPSWLRQ SDWWHUQVDQG¿VFDOH[SHQGLWXUHFRPSRVLWLRQDVZHOODVQHWH[SRUWVFRPSRVLWLRQZLWK PRUH GDWD SRLQWV WKDQ FXUUHQWO\ DYDLODEOH 7KLUG RQH VKRXOG H[HUFLVH FDXWLRQ LQ LQWHUSUHWLQJ UHJUHVVLRQ UHVXOWV DV VROLG SUHGLFWRUV RI WKH ¿VFDO EXGJHW RU FXUUHQW DFFRXQWEHKDYLRU7KLVLVVXHOHDGVWRSROLF\LPSOLFDWLRQVRIWKHJLYHQDQDO\VLV
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV ,WLVWHPSWLQJXVLQJDYDLODEOHUHJUHVVLRQUHVXOWVWRGHFODUHUHVWULFWLRQVRQ¿VFDO VSHQGLQJDVPRUHRILWZRXOGSRVVLEO\OHDGWRIXUWKHUFXUUHQWDFFRXQWGHWHULRUDWLRQ 7KLVFRQFOXVLRQWKRXJKRPLWVFRXQWU\VSHFL¿FFRQVLGHUDWLRQV7KHUHLVQRGRXEW WKDWWUDQVLWLRQHFRQRPLHVLQWKHFRXUVHRIWKHLUDSSUR[LPDWHO\WZHQW\\HDUVUHIRU PDWLRQSHULRGKDYHH[SHULHQFHGSURORQJHGLQVWDQFHVRIFXUUHQWDFFRXQWDQG¿VFDO EDODQFHGH¿FLWV7KHFUXFLDOSRLQWLVWRUHDOL]HWKDWWKHVHPRYHPHQWVZHUHSULPDULO\ LPSOLHGE\WKHGUDVWLFDWWHPSWVWRWUDQVIRUPVRFLDOLVWHFRQRPLHVDQGVHWWKHPRQ WKHSDWKWRFDSLWDOLVWGHYHORSPHQW7KHUHIRUHDWOHDVWDWWKLVWLPHWKRVHREVHUYD WLRQVDQGGHULYHGFRQFOXVLRQVPDGHIRUWKHFDVHRIWKHDGYDQFHGHFRQRPLHVZKHUH WKHWZLQGH¿FLWLGHDRULJLQDWHG FDQQRWEHDSSOLHGRQHWRRQH 7KLVYLHZLVUHFRQ¿UPHGE\WKHH[WHQGHGDQDO\VLVSUHVHQWHGLQWKLVFKDSWHU FRQVLGHULQJ KRXVHKROG FRQVXPSWLRQ LQ UHODWLRQ WR FXUUHQW DFFRXQW VXUSOXV E\ LWVHOI DQG LQ FRQQHFWLRQ ZLWK ¿VFDO EDODQFH +RXVHKROG FRQVXPSWLRQ VHUYHG DV WKHSULPDU\GHWHUPLQLQJIDFWRUZKLOH¿VFDOEDODQFHWXUQHGRXWWREHVHFRQGDU\ 5HIRUPDWLRQSDWWHUQVVSHFL¿FWRWKHFRXQWULHVRIWKH&,6KROGWKHNH\WRH[SODLQ LQJVXFKQHJDWLYHO\UHODWHGFRPRYHPHQWVDVFRQVXPHUVWHQGWRFRPSHQVDWHD ODFNRIGRPHVWLFDOO\SURGXFHGJRRGVZLWKUHDVRQDEO\SULFHGDQGKLJKHUTXDOLW\ LPSRUWV ZKLOH JRYHUQPHQWV HQJDJH LQ DGPLQLVWUDWLYH UHVWUXFWXULQJ DQG UDLVLQJ IXQGVIRULQWHUQDOSXEOLFSURMHFWV )LQDOO\WKHH[WHQGHGPRGHOZDVDSSOLHGDVDVSHFLDOFDVHDQDO\VLVWRH[DPLQH WKHQHWH[SRUWHUV¶FLUFXPVWDQFH&RQGXFWHGDQDO\VLVIRXQGVXEVWDQWLDOHYLGHQFHRI SRVLWLYH FRUUHODWLRQV EHWZHHQ SULPDU\ FRPPRGLWLHV IXHO DQG RUHPHWDO H[SRUWV DQG FXUUHQW DFFRXQW 7KH FRUUHODWLRQV VHHP WR EH PRVW SURIRXQG ZKHQ DQQXDO FKDQJHVLQFRPPRGLWLHVH[SRUWVDUHFRQVLGHUHG7KLVUHVXOWWDNHVWKHGLVFXVVLRQ RIWZLQGH¿FLWVLQWKHWUDQVLWLRQHFRQRPLHVDVWHSIXUWKHU6WURQJUHOLDQFHRQUDZ PDWHULDOH[SRUWVFUHDWHVLPPHGLDWHYXOQHUDELOLW\WRWKHHFRQRPLHVWKDWSULPDULO\ UHO\RQUHYHQXHGHULYHGIURPWKHVHH[SRUWV,QPDQ\&,6QHWH[SRUWHUVWDWHVDV GLVFXVVHG LQ &KDSWHU WKDW UHYHQXH JRHV LQWR VWDWH FRIIHUV ZLWK SUR¿WV HLWKHU UHLQYHVWHGLQSXEOLFIXQGVRUVODWHGIRUSXEOLFSURMHFWV&OHDUO\VXFKGHSHQGHQFH RQSULPDU\FRPPRGLWLHVH[SRUWVFRXOGÀLSWKHHFRQRP\¶VIRUWXQHVZLWKGHWULPHQ WDOHIIHFWVRQFXUUHQWDFFRXQWDQG¿VFDOEDODQFHGXHWRWKHDERYHUHDVRQV 7UDQVLWLRQHFRQRPLHV¶JRYHUQPHQWVDUHGHDOLQJZLWKDPXOWLWXGHRILVVXHVLQ WKHLU DWWHPSW WR FUHDWH YLDEOH FRPSHWLWLYH HFRQRPLHV LQWHJUDWHG ZLWK LQWHUQD WLRQDO PDUNHWV 2SHQ ERUGHUV DQG OLEHUDOL]HG WUDGH DQG FDSLWDO DFFRXQWV DUH VKDSLQJ HDFK FRXQWU\¶V LQGLYLGXDO H[WHUQDO SRVLWLRQ 'RPHVWLFDOO\ WKH JRYHUQ PHQWVVKRXOGEHJLYHQDQRSSRUWXQLW\WRLPSOHPHQWDGHYHORSPHQWVWUDWHJ\EHVW ¿WWLQJWKHLUFRXQWU\PRGHO,QDWUDQVLWLRQFRQWH[WWKLVQHFHVVDULO\LQYROYHVVLJ QL¿FDQW LQIUDVWUXFWXUH LQYHVWPHQW KHQFH LQFUHDVHG ¿VFDO H[SHQGLWXUH DQG PRVW OLNHO\ ¿VFDO GH¿FLW +RZ JRYHUQPHQWV REWDLQ WKH QHFHVVDU\ ¿QDQFLQJ DQG ZKHWKHUWKHFXUUHQW¿VFDOSROLF\LVVXVWDLQDEOHJLYHQWKHGHYHORSPHQWWDUJHWVDQG ¿QDQFLDOOLDELOLWLHVLVDVVHVVHGLQWKHIROORZLQJFKDSWHUV )RU QRZ LW LV FOHDU WKDW GHVSLWH LQGLFDWLRQV REWDLQHG YLD UHJUHVVLRQ WHFK QLTXHVFRH[LVWHQFHRIWKHFXUUHQWDFFRXQWGH¿FLWDQG¿VFDOEDODQFHGH¿FLWLVQRW WKHFDVHRIWKHWH[WERRNWZLQGH¿FLWVSUREOHPWKHLVVXHLVPXOWLGLPHQVLRQDO$ PRUH TXDOLWDWLYH DSSURDFK SURPSWV DQ LQYHVWLJDWLRQ IRU DQVZHUV LQ KRXVHKROG
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FRQVXPSWLRQ SDWWHUQV DQG LWV UHODWLRQ WR FXUUHQW DFFRXQW DQG QDWXUH RI ¿VFDO H[SHQGLWXUH 7KDW LV WKH FDVH LQ WKH SRVWVRFLDOLVW WUDQVIRUPLQJ &,6 HFRQRPLHV ZLWKJURZLQJFRQVXPHUVRFLHWLHV
$SSHQGL[
)LJXUHV±$YHUDJH ¿VFDO GH¿FLW DQG FXUUHQW DFFRXQW EDODQFH VKDUH RI *'3 ± VRXUFHDXWKRU¶VFDOFXODWLRQVEDVHGRQGDWDIURP(%5'
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH1HWH[SRUWHUVFRUHDQGH[WHQGHGPRGHOV¶HVWLPDWLRQUHVXOWV FULL SAMPLE–CORE, 1989–2008 5HJUHVVRUPRGHO
&$i,t c BFBi,t GIi,t Ei,t
CAi,t c BFBi,t– G Ii,t– Ei,t
OLSPCSE
OLSPCSE
FE
RE
&RQVWDQW>&@
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
± ± ± ±
FE
CAi,t c BFBi,t– GIi,t– LREFt Ei,t RE
OLSPCSE
FE
RE
±
±
± ±
±
±
±
5HIRUPVLQGH[ >5()@
1RRIFRXQWULHV >SDQHOV@
/0WHVW SURE&KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
1RRI REVHUYDWLRQV
FULL SAMPLE–EXTENDED, 1989–2008 &$i,t c BFBi,t G Ii,t W(rBi,t) Ei,t
CAi,t c BFBi,t– G Ii,t– W(rBi,t–) Ei,t
CAi,t c BFBi,t–1 G Ii,t– LREFi,t W (rBi,t–) Ei,t
OLSPCSE
FE
OLSPCSE
FE
RE
OLSPCSE
&RQVWDQW>&@
±
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
± ± ± ± ± ± ± ±
±
'HEWVHUYLFH >U%@
±
5HJUHVVRUPRGHO
RE
± ±
±
±
±
FE
RE
±
±
±
5HIRUPVLQGH[ >5()@
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
/0WHVW SURE&KL ޔ
+DXVPDQWHVW &KLޔSURE&KL ޔ
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FULL SAMPLE–CORE, 1999–2008 CAi,t c BFBi,t GIi,t Ei,t
CAi,t c BFBi,t– GIi,t– Ei,t
OLSPCSE
FE
RE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
&RQVWDQW>&@
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
± ± ± ± ± ± ± ±
±
Regressor/ PRGHO
CAi,t c BFBi,t– GIi,t– LREFt Ei,t
5HIRUPVLQGH[ >5()@
1RRIFRXQWULHV >SDQHOV@
/0WHVW SURE&KL ޔ
+DXVPDQWHVW &KLޔSURE&KL ޔ
1RRI REVHUYDWLRQV
±
±
±
FULL SAMPLE–EXTENDED, 1999–2008 CAi,t c BFBi,t GIi,t W(rBi,t) Ei,t
CAi,t c BFBi,t–1 GIi,t– W(rBi,t–) Ei,t
CAi,t c BFBi,t– GIi,t– LREFi,t W(rBi,t–) Ei,t
OLSPCSE
FE
RE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
&RQVWDQW>&@
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
± ± ± ± ±
± ± ±
Regressor/ PRGHO
±
± ± ± ±
± ±
±
± ±
'HEWVHUYLFH>U%@ 5HIRUPVLQGH[ >5()@
±
±
±
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
/0WHVWSURE &KL ޔ
+DXVPDQWHVW &KLޔSURE&KL ޔ
6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV
LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH1HWLPSRUWHUVFRUHDQGH[WHQGHGPRGHOV¶HVWLPDWLRQUHVXOWV FULL SAMPLE–CORE, 1989–2008 Regressor/ PRGHO
CAi,t c BFBi,t GIi,t Ei,t
CAi,t c BFBi,t– GIi,t– Ei,t
OLSPCSE
FE
RE
OLSPCSE
&RQVWDQW>&@
±
±
± ±
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
CAi,t c BFBi,t– GIi,t– LREFt Ei,t
FE
RE
OLSPCSE
FE
±
± ± ±
± ±
±
± ±
±
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
+DXVPDQWHVW &KLޔSURE&KL ޔ
±
5HIRUPVLQGH[ >5()@
/0WHVWSURE &KL ޔ
RE
FULL SAMPLE–EXTENDED, 1989–2008 CAi,t c BFBi,t GIi,t W (rBi,t ) Ei,t
CAi,t c BFBi,t– GIi,t– W(rBi,t–) Ei,t
OLSPCSE
FE
RE
OLSPCSE
&RQVWDQW>&@
±
±
± ±
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
±
'HEWVHUYLFH >U%@
±
Regressor/ PRGHO
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV /0WHVWSURE &KL ޔ
+DXVPDQWHVW &KLޔSURE &KL ޔ
RE
OLSPCSE
FE
RE
± ±
±
± ± ± ±
±
± ±
±
5HIRUPVLQGH[ >5()@
FE
CAi,t c BFBi,t- GIi,t– LREFi,t W(rBi,t–) Ei,t
±
±
±
± ±
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV FULL SAMPLE–CORE, 1999–2008 Regressor/ PRGHO
CAi,t c BFBi,t GIi,t Ei,t
CAi,t c BFBi,t– GIi,t–1 Ei,t
CAi,t c BFBi,t– GIi,t– LREFt Ei,t
OLSPCSE
FE
RE
OLSPCSE
FE
RE
OLSPCSE
&RQVWDQW>&@
±
±
±
)LVFDOEDODQFH *'3>)%@
,QYHVWPHQW *'3>,@
± ±
±
±
±
± ± ±
± ± ±
FE
RE
5HIRUPVLQGH[ >5()@
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
FULL SAMPLE–EXTENDED, 1999–2008 CAi,t c BFBi,t GIi,t W(rBi,t) Ei,t
CAi,t c BFBi,t– GIi,t– W(rBi,t–) Ei,t
CAi,t c BFBi,t– GIi,t– LREFi,t W(rBi,t–) Ei,t
OLSPCSE
FE
RE
OLSPCSE
RE
OLSPCSE
&RQVWDQW>&@
±
±
±
)LVFDOEDODQFH *'3>)%@
±
±
±
±
±
,QYHVWPHQW *'3>,@
± ±
±
± ±
± ±
±
±
'HEWVHUYLFH >U%@
±
±
± ±
±
±
±
±
±
±
Regressor/ PRGHO
±
FE
FE
RE
5HIRUPVLQGH[ >5()@
1RRIFRXQWULHV >SDQHOV@
/0WHVWSURE &KL ޔ
+DXVPDQWHVW &KLޔSURE &KL ޔ
1RRI REVHUYDWLRQV
6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV
LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV 7DEOH+RXVHKROGFRQVXPSWLRQWRFXUUHQWDFFRXQWVXUSOXVUHODWLRQHVWLPDWLRQUHVXOWV GLIIHUHQWFRXQWU\JURXSV ALL COUNTRIES: 1989–2008 5HJUHVVRUPRGHO
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@
&$i,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
OLSPCSE
FE
RE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
CAi,t c BHCi,t– GFBi,t– Ei,t
+RXVHKROG &RQVXPSWLRQ *'3>+&@
± ± ± ± ± ± ±
±
±
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
NET EXPORTERS: 1989–2008 Regressor/ PRGHO
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@
CAi,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
OLSPCSE
FE
RE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
CAi,t c BHCi,t– GFBi,t– Ei,t
± ± ± ± ± ± ± ±
±
1RRIREVHUYDWLRQV
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV ALL COUNTRIES: 1999–2008 5HJUHVVRUPRGHO
&RQVWDQW>&@
&$i,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
CAi,t c BHCi,t– GFBi,t– Ei,t
OLSPCSE
OLSPCSE
OLSPCSE
FE
RE
FE
RE
FE
)LVFDOEDODQFH *'3>)%@
+RXVHKROG &RQVXPSWLRQ *'3>+&@
±
± ± ±
± ± ± ±
±
1RRIFRXQWULHV >SDQHOV@
1RRIREVHUYDWLRQV
RE
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
NET EXPORTERS: 1999–2008 5HJUHVVRUPRGHO
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@
&$i,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
CAi,t c BHCi,t– GFBi,t– Ei,t OLSPCSE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
±
± ±
FE
RE
±
± ±
±
±
± ± ±
1RRIREVHUYDWLRQV
± ± ±
±
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
2SHQHFRQRP\¿VFDOSROLF\DQGWZLQGH¿FLWV NET IMPORTERS: 1989–2008 5HJUHVVRUPRGHO
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@
&$i,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
CAi,t c BHCi,t- GFBi,t- Ei,t
OLSPCSE
FE
OLSPCSE
FE
RE
OLSPCSE
±
± ±
RE
± ± ±
± ± ± ±
FE
RE
± ±
1RRIREVHUYDWLRQV
/0WHVWSURE &KL ޔ
+DXVPDQWHVW &KLޔSURE&KL ޔ
NET IMPORTERS: 1999–2008 5HJUHVVRUPRGHO
&RQVWDQW>&@ )LVFDOEDODQFH *'3>)%@ +RXVHKROG &RQVXPSWLRQ *'3>+&@ 1RRIFRXQWULHV >SDQHOV@
&$i,t c BHCi,t Ei,t
CAi,t c BHCi,t GFBi,t Ei,t
CAi,t c BHCi,t– GFBi,t– Ei,t
OLSPCSE
FE
OLSPCSE
FE
RE
OLSPCSE
FE
RE
RE
±
± ±
±
± ± ± ±
1RRIREVHUYDWLRQV
±
/0WHVWSURE &KL ޔ
+DXVPDQWHVW&KLޔ SURE&KL ޔ
6RXUFHDXWKRU¶VFDOFXODWLRQV 1RWHV
LQGLFDWHVLJQL¿FDQFHDWDQGUHVSHFWLYHO\ tVWDWLVWLFDEVROXWHYDOXHVDUHLQSDUHQWKHVHV
3
Fiscal policy sustainability in transition Is it there?
3.1 Introduction $QDO\VLV RI ¿VFDO SROLF\ DQG LWV VXVWDLQDELOLW\ LQ WKH IRUPHU VRFLDOLVW HFRQRPLHV SRVHV QR VLPSOH WDVN (YHQ PRUH FRPSOH[ LV WKH TXHVWLRQ RI SROLF\ LQQRYDWLRQ DGDSWHG WR WKH FKDQJLQJ HFRQRPLF HQYLURQPHQW 7KHUH DUH VHYHUDO REMHFWLYH UHDVRQVIRUWKLV7KHREYLRXVRQHLVWKHODFNRIUHOLDEOHGDWDWKDWZRXOGDOORZJUDQXODUGHFRPSRVLWLRQRIJRYHUQPHQW¿QDQFHV$QRWKHUSUREOHPFRPHVWKURXJKUHFRJQL]LQJ WKH IDFW WKDW WKH )68 HFRQRPLHV KDYH EHHQ JRLQJ WKURXJK SHULRGV RI WXUEXOHQWWUDQVIRUPDWLRQVWKDWSUHFOXGHVWDQGDUGGDWDDJJUHJDWLRQWKDW¿WVSRSXODU UREXVWUHJUHVVLRQPRGHOV7KLVLVGXHQRWWRPDOLFLRXVLQWHQWEXWGXHWRUXGLPHQWDO FRQGLWLRQVRIQDWLRQDODFFRXQWLQJLQWKRVHFRXQWULHV/HVWRQHIRUJHWVWKHLVVXHDW KDQG D VRFLDO DQG HFRQRPLF WUDQVIRUPDWLRQ RI WKH SRVWVRFLDOLVW SODQQHG HFRQRPLHVLQWRGLDOHFWLFDOO\QHZVRFLDOIRUPDWLRQV8QWLOUHFHQWO\WKHWZHOYHHFRQRPLHV LQTXHVWLRQZHUHSDUWRIDELJJHUFHQWUDOL]HGHFRQRP\ZLWKRXWHIIHFWLYHUHJLRQDOO\ LQGHSHQGHQW SROLF\ PHFKDQLVP 7KHUHIRUH DQ\ DQDO\VLV FDQ RQO\ EH VWUXFWXUHG DURXQG WKH SHULRG RI QRPLQDO SROLWLFDO DQG HFRQRPLF LQGHSHQGHQFH RI WKH HDUO\ VXQWLOPLGEHIRUHWKHODWHVWJOREDOFULVLVPDGHDODQGIDOOLQWKH&,6 7KH VRFLDO DQG HFRQRPLF WUDQVIRUPDWLRQ JLYHQ LWV WXUEXOHQW QDWXUH QHFHVVDULO\ FUHDWHV D JDS EHWZHHQ ZKDW RQFH ZDV ZKDW LV DQG VKRXOG EH LQ WKH IRUHVHHDEOHIXWXUH7KHPDWWHULVFRPSOLFDWHGJLYHQWKHXQFOHDUQDWXUHRIWKHGHVWLQDWLRQ SRLQW &RQFHUQV RYHU ¿VFDO SROLF\ LPSHUDWLYHV DUH DW WKH WRS RI WKH GHEDWH6SHFL¿FDOO\KRZGHWDFKHGVKRXOGWKHVWDWHEHIURPWKHHFRQRP\LQWKH FRQWH[WRIWKHSRVWVRFLDOWUDQVLWLRQ" 7KLVFKDSWHUDWWHPSWVWRGHULYHDQDQVZHUWRWKLVTXHVWLRQWKURXJKDQDO\VLVRI WKH &,6 HFRQRPLHV¶ ¿VFDO SROLF\ SHUIRUPDQFH DQG LWV VXVWDLQDELOLW\ ,W VKRXOG EH QRWHGDVVWDWHGHDUOLHULQWKLVVWXG\WKDWPXFKRIWKHZRUNRQWUDQVLWLRQH[SHULHQFH KDVEHHQIRFXVHGDURXQGWKHLVVXHVRIHFRQRPLFJURZWKDQGJURZWKVXVWDLQDELOLW\ $VSHFWVRI¿VFDOSROLF\HQWHUHGWKHPRGHOVDVFRPSOHPHQWDU\EXWQRWQHFHVVDULO\ WKH SULPDU\ IDFWRUV )ROORZLQJ PDFURHFRQRPLF VWDELOL]DWLRQ LQ PRVW RI WKH &,6 HFRQRPLHV ³0XVJUDYH¶V WULORJ\´ DV GHVFULEHG E\ 7DQ]L ²WKH UHGLVWULEXWLYH VWDELOL]DWLRQ DQG HI¿FLHQF\ IXQFWLRQ RI WKH ¿VFDO SROLF\ DV GHVFULEHG LQ 0XVJUDYH ²KDV PRYHG LQWR WKH IURQW SODFH )XUWKHU QHRFODVVLFDO WKHRU\ HJ%HUQKHLP%DUUR EDVHGRQ FRQVXPSWLRQPD[LPL]LQJXWLOLW\
70
Fiscal diamond and policy sustainability
SUREOHP RYHUODSSLQJJHQHUDWLRQVPRGHODQG PDUNHWFOHDULQJSRLQWVRXWWKH GLUHFWHIIHFWRISHUPDQHQWO\LQFUHDVHGJRYHUQPHQWVSHQGLQJRQLQFUHDVLQJLQWHUHVW UDWHV ZKLFK LQ WXUQ FRPSHOV KLJKHU VDYLQJV DQG ORZHU LQYHVWPHQW EXW WKDW DSSURDFKPD\QRWEHHQWLUHO\DSSOLFDEOHLQWKHWUDQVLWLRQFRQWH[W 7KLVVWXG\¶VDSSURDFKLVGLIIHUHQWLQWKDWLWUHYLHZV¿VFDOSROLF\VXVWDLQDELOLW\ ZLWKLQDPRUHJHQHUDODQGLQFOXVLYHFRQWH[WRIVRFLDODQGHFRQRPLFGHYHORSPHQW 7KH FRQFHSW RI WKH ³¿VFDO GLDPRQG´ 5DMDUDP LV RI SDUWLFXODU LQWHUHVW KHUH 7KH RULJLQDO LGHD FRQYH\V D IRXUGLPHQVLRQDO VWRU\ RI SXEOLF H[SHQGLWXUH EDODQFHGE\JRYHUQPHQWWD[UHYHQXHIRUHLJQDLGDQGVRYHUHLJQERUURZLQJ2Q WKHLQQRYDWLYHVLGHZHUHYLHZLQGHWDLO¿VFDOH[SHQGLWXUHFKDQQHOVIRFXVLQJRQ WKRVHWKDWDFWDVDVWLPXOXVWRWKHHFRQRP\6XFKDSSURDFKWR¿VFDOSROLF\LVQHFHVVDU\ QRW RQO\ LQ WLPHV RI FRQWHPSRUDU\ ¿QDQFLDO DQG HFRQRPLF FULVLV EXW DV GH¿QLQJ D FRXQWU\¶V GHYHORSPHQW SDWK 7KLV FKDSWHU PDNHV WKH ¿UVW DWWHPSW LQWURGXFLQJ WKH FRUH FRQFHSWV LQYROYHG 7KH QH[W FKDSWHU ZLOO WDFNOH WKH ³¿VFDO GLDPRQG´ KHDG RQ ZLWK DQ LQWURGXFWLRQ RI LQQRYDWLYH DSSURDFKHV RQ UDLVLQJ VXI¿FLHQWUHYHQXHIRUSXEOLFLQYHVWPHQWDQGH[WHQGLQJWKHPRGHOIXUWKHU 7KHUHVWRIWKLVFKDSWHULVVWUXFWXUHGDVIROORZV7KHQH[WVHFWLRQRXWOLQHV¿VFDO SROLF\WUHQGVDFURVV&,66HFWLRQEULHÀ\GLVFXVVHVUHOHYDQWWKHRUHWLFDODVSHFWV RI ¿VFDO SROLF\ LQ WUDQVLWLRQ 6HFWLRQ SUHVHQWV WKH WKHRUHWLFDO PRGHO DQG UHYLHZVDYDLODEOHGDWD(PSLULFDOUHVXOWVEDVHGRQWKHGHULYHGIRUPDOPRGHODUH DQDO\]HGLQ6HFWLRQ)LQDOO\FRQFOXVLRQVDQGSROLF\LPSOLFDWLRQVDUHVXPPDUL]HGLQ6HFWLRQ7KHFKDSWHUHQGVZLWKDGLVFXVVLRQRISROLF\LPSOLFDWLRQV
7UDQVLWLRQSHULRG¿VFDOSROLF\WUHQGV 7KHDERYHPHQWLRQHGDQDO\WLFDOVHSDUDWLRQEHWZHHQD WKH¿UVWSKDVHRIWKHWUDQVLWLRQSHULRGLHWKHV DQGWKHVHFRQGSKDVHXQWLO DQGE QHW H[SRUWHUVDQGQHWLPSRUWHUVDSSOLHVLQLWVIXOOH[WHQWLQWKHFXUUHQWGLVFXVVLRQRI ¿VFDOSROLF\WUHQGVLQWKH&,67KHIROORZLQJRIIHUVDEULHIRXWOLQHRIWKHJHQHUDO WUHQGVRIHDFKJURXSE\SHULRGLQWHUPVRI¿VFDOSROLF\SHUIRUPDQFH $Q HDUOLHU TXDOLWDWLYH DQDO\VLV RI ¿VFDO SROLF\ SHUIRUPDQFH LQ WKH WUDQVLWLRQ HFRQRPLHV LV IRXQG LQ $ODP DQG 6XQGEHUJ 7KH DXWKRUV GUDZ VSHFLDO DWWHQWLRQ WR LVVXHV RI ¿VFDO HI¿FLHQF\ 7KLV PD\ EH DFKLHYHG LQ WKH DXWKRUV¶ YLHZYLDVWUHQJWKHQLQJRIWKHLQVWLWXWLRQDOFRPSRQHQWRI¿VFDOVWUXFWXUHLQWKH &,6HFRQRPLHVDVZHOODV¿VFDOGLVFLSOLQHDQGLPSURYHGUHVRXUFHDOORFDWLRQDQG XVH3UHOLPLQDU\¿QGLQJVUHSRUWHGLQ&KDSWHUVDQGLQGLFDWHG&,6FRXQWULHV¶ ¿VFDOLPSURYHPHQWRQDYHUDJHFRQVLGHULQJWKHRQJRLQJWUDQVIRUPDWLRQ