While realising the macroeconomic significance of oil price fluctuations, this research examines the role of fiscal policy under changing dynamics of energy market for selected oil-exporting countries. We specify a non-linear threshold structural vector autoregression model which constitutes policy variables such as general government expenditures and primary fiscal balance and macroeconomic indicators such as real GDP growth and the inflation rate. To capture the energy market dynamics, this research selects Brent crude oil price as threshold variable and segregates the sample period 1991-2019 as ‘high’ and ‘low’ oil price regimes. While using non-linear generalised impulse response functions, we find that under higher oil price regime, an increase in government expenditures and reduction in fiscal deficit have larger multiplier effect to enhance output growth in most of the sampled countries. In addition, this research identifies larger inflationary effects of an increase in government expenditures and fiscal deficit under higher oil price regime for all countries except Canada. However, under a higher oil price regime, a fiscal deficit induced output growth, and under a lower oil price regime, a reduction in government expenditure brings inflation in Saudi Arabia. Furthermore, this research provides an alternative measure of threshold crude oil price for the sampled countries to their accounting-based concept of fiscal break-even price.

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能源市场动态和石油出口国财政政策的作用：TVAR 方法

在意识到油价波动的宏观经济意义的同时，本研究考察了财政政策在能源市场动态变化下对选定的石油出口国的作用。我们指定了一个非线性阈值结构向量自回归模型，该模型构成了一般政府支出和初级财政平衡等政策变量以及实际 GDP 增长和通货膨胀率等宏观经济指标。为了捕捉能源市场动态，本研究选择布伦特原油价格作为阈值变量，并将 1991-2019 年的样本期划分为“高”和“低”油价制度。在使用非线性广义脉冲响应函数时，我们发现在较高的油价制度下，在大多数抽样国家，政府支出的增加和财政赤字的减少对促进产出增长具有更大的乘数效应。此外，这项研究还确定了除加拿大以外的所有国家在高油价制度下政府支出和财政赤字增加的更大通胀影响。然而，在高油价体制下，财政赤字导致产出增长，而在低油价体制下，政府支出减少导致沙特阿拉伯出现通货膨胀。此外，这项研究为抽样国家提供了一种替代基于会计的财政收支平衡价格概念的原油门槛价格衡量标准。该研究确定了除加拿大以外的所有国家在高油价制度下政府支出和财政赤字增加的更大通胀影响。然而，在高油价体制下，财政赤字导致产出增长，而在低油价体制下，政府支出减少导致沙特阿拉伯出现通货膨胀。此外，这项研究为抽样国家提供了一种替代基于会计的财政收支平衡价格概念的原油门槛价格衡量标准。该研究确定了除加拿大以外的所有国家在高油价制度下政府支出和财政赤字增加的更大通胀影响。然而，在高油价体制下，财政赤字导致产出增长，而在低油价体制下，政府支出减少导致沙特阿拉伯出现通货膨胀。此外，这项研究为抽样国家提供了一种替代基于会计的财政收支平衡价格概念的原油门槛价格衡量标准。