ABSTRACT

According to standard theoretical frameworks such as Real Business Cycle (RBC’s) models or new-Keynesian theories, the real exchange rate should appreciate in response to an increase in government spending. However, the empirical literature finds mixed results. We offer an answer to this puzzle by analyzing the impact of the composition of the fiscal deficit. Using a dynamic stochastic general equilibrium model with a government and an external sector, we quantify the differential impact on the real exchange rate generated by an increase in public consumption expenditure, public investment, and tax reduction. We calibrate and simulate the model for Argentina and find that the fiscal deficit originated in tax reduction can improve the real exchange rate. In contrast, one generated by an increase in spending deteriorates the real exchange rate. In particular, this depreciation is more significant when the spending is directed toward public consumption than when used for public investment. We argue that quantifying these different effects on the exchange rate within a dynamic stochastic general equilibrium framework is an essential exercise of political economy for highly dollarized emerging economies that exhibit higher inflation pass-through.

摘要

根据实际商业周期（RBC）模型或新凯恩斯主义理论等标准理论框架，实际汇率应随着政府支出的增加而升值。然而，实证文献发现结果好坏参半。我们通过分析财政赤字构成的影响来为这个难题提供答案。使用政府和外部部门的动态随机一般均衡模型，我们量化了公共消费支出、公共投资和减税增加对实际汇率产生的不同影响。我们对阿根廷的模型进行了校准和模拟，发现源于减税的财政赤字可以提高实际汇率。相比之下，由支出增加产生的汇率恶化了实际汇率。特别是，当支出用于公共消费时，这种贬值比用于公共投资时更为显着。我们认为，在动态随机一般均衡框架内量化这些对汇率的不同影响对于表现出更高通胀传递的高度美元化的新兴经济体而言是一项重要的政治经济学实践。