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1、INTERNATIONA1.MONETARYFUNDCostlyIncreasesinPublicDebtwhenrgYongquanCao,VitorGaspar,andAdrianPeralta-AlvaWP/24/10IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(三)anddonotnecessarilyrepr
2、esenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.WoRK-NGPAPER2024JANWP/24/102024InternationalMonetaryFundIMFWorkingPaperFiscalAffairsDepartmentCostlyIncreasesinPublicDebtwhenrgPreparedbyYongquanCao,VitorGaspar,andAdrianPeralta-Alva*AuthorizedfordistributionbyMarcosPoplawski-RibeiroJanuary2024
3、IMFWorkingPapersdescriberesearchinprogressbytheauthor(三)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheathor(三)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:Thispaperquantifiesthecostsofapermanentincreasei
4、ndebttoGDP.Weemployadeterministic,overlappinggenerationsmodelwithtwoassetsandnoriskofdefault.Thetwoassetsarepublicdebtandprivate(productive)capital.Weassumethatthereturnonprivatecapitalequalstheinterestrateonpublicdebtplusanexogenouslygivenspread.Employingaanalyticalversionofthemodelweshowanexamplei
5、nwhichapermanentriseinthepublicdebtratioleadstoasignificantreductioninsteady-stateGDPevenasrg.FollowingMcGrattanandPrescott(2017)weconsideracalibratedmodeloftheUSeconomyincludingarichsetoffeaturesofnationalaccounts,fixedassets,distributionofhouseholdincomesanddemographics.Theintuition(andeventheorde
6、rsofmagnitude)fromthesimpleanalyticalmodelcarriesovertothisricherenvironment:theincreaseinthedebtratio,from60to120percentofGDP,isassociatedwithareductioninthecapitalstockofabout15percentandareductioninsteadystateGDPofabout8percent.RECOMMENDEDCITATION:Cao,Yongquan1VitorGasparandAdrianPeralta-Alva.202
7、4.CostlyIncreasesinPublicDebtwhenrg1IMFWorkingPaperNo.2024/10.JE1.ClassificationNumbers:E43,E62,H63Keywords:Crowdingout;publicdebtAuthorsE-MailAddress:YCao2imf.org,APeralta-Alvaimf.organdVGasparimf.orgIMFWORKINGPAPERSCostlyIncreasesinPublicDebtwhenrgWORKINGPAPERSCostlyIncreasesinPublicDebtwhenrgPrep
8、aredbyYongquanCao,VitorGaspar,andAdrianPeralta-Alva1INTERNATIONA1.MONETARYFUNDI.IntroductionIn2020,acuriousanomalywasapparentinglobalfinancialmarkets:despiterisingandhistoricallyhighdebt-to-GDPratios,sovereignbondyieldsweredecliningtoverylowlevels(even,insomecases,turningnegativeinrealterms).Thisled
9、tothecoincidenceofrecordlevelsofdebtwithverylowdebtservicingcosts.OlivierBlanchardcharacterizesthislandscapeaszunusual,inhisbookFiscalPolicyunder1.owInterestRates,whereheextensivelyexplorestheassociatedfactsandpolicyimplications.Whileonemightbetemptedtodismisstheselow-interestratesasahistoricalaberr
10、ationespeciallyinlightofrecentinflationarypressuresandhighnominalratessuchadismissalmaybepremature.PriortotheCOVID-19pandemic,bothrealandnominalneutralinterestrateshadbeenonadecliningtrajectoryfordecades.Variousstructuralfactors,fromsluggisheconomicgrowthanddemographicchanges,asoutlinedbytheIMF(2023
11、),toaglobalscarcityofsafeassets,asdiscussedbyCaballeroetal.(2017),contributedtothisenduringtrend.Manyofthesefactorsareexpectedtoremainoperatinggoingforward.Hence,asinflationreduces,lowinterestratesarelikelytoreturn.Other,moretemporaryfactors,mighthavealsopayedaroleinkeepinginterestrateslow,including
12、quantitativeeasingpoliciesimplementedbymajorcentralbanks.Determiningtheoverallquantitativeeffectsoftheinterplayofalltheseforcesisbeyondthescopeofthispaper.ThenegativedifferentialbetweeninterestratesandgrowthhasledscholarslikeBlanchard(2023)andBlanchard(2019)toarguethatelevatedlevelsofpublicdebtmayin
13、curminimalfiscalandsocialcosts.Thefocusofourresearchistorigorouslyinvestigatetheconditionsunderwhichpublicdebtdoesimposesignificantcosts,settingasideanyconsiderationofthepotentiallyproductiveusesofsuchdebt.Thelimitationsimposedbyresourcescarcityandfiniteproductioncapacityapplytoallsectors,includingg
14、overnmentalactivities.Theseconstraintsbecomeparticularlyapparentwhenweexplicitlyconsidertheendogeneityoftheconditionr-ggrthatis,whentheeconomyisdynamicallyefficientdespiter-g0?Ouranalysisconfirmsthatsurgingpublicdebtindeedcrowdsoutprivatecapital,thussuppressinglong-termoutput.Second,wequantifythemag
15、nitudeofthesedetrimentaleffects.Itiswellunderstoodthathighdebtlevelsexposecountriestomultipleequilibriathatincludeattacksonsovereigndebt(seeforexampleColeandKehoe(2000)andAguiarandAmador(2021),foracomprehensivesurveyonsovereigndebtanddefaultissues).Wewillabstractawayfromtheseconsiderations.Ourpaperfocusesoncrow
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