We find that bond markets charge significantly higher interest rates for deficits due to higher government current spending than for deficits due to higher government investment. Thus, from a sovereign risk perspective, not all government budget deficits are created equal. To show this, we use a panel regression approach on European Commission data for 31 advanced economies from 1990 onwards. Econometrically, we address potential endogeneity by using forecasts of fiscal variables and by instrumental variable methods. Based on our preferred specifications, a higher deficit solely due to higher government investment would in fact decrease long-term government bond yields. These findings suggest that the policy debate about fiscal sustainability and fiscal rules should, at the very least, distinguish budget deficits that are the result of investment from those that are not.

我们发现，与政府投资增加导致的赤字相比，债券市场对因政府经常支出增加而导致的赤字收取的利率要高得多。因此，从主权风险的角度来看，并非所有政府预算赤字都是生而平等的。为了证明这一点，我们对 1990 年以来 31 个发达经济体的欧盟委员会数据使用面板回归方法。在计量经济学上，我们通过使用财政变量的预测和工具变量方法来解决潜在的内生性。根据我们的首选规格，仅由于政府投资增加而导致的更高赤字实际上会降低长期政府债券收益率。这些发现表明，关于财政可持续性和财政规则的政策辩论至少应该