G-7國家的債務維持條件在COVID-19疫情之後是否成立

Is the Public Indebtedness of the G-7 Sustainable in the Aftermath of the COVID-19 Pandemic?

本文重新檢定G-7國家的債務維持條件（debt sustainability）。我們將實證樣本分成1980Q1–2019Q4以及1980Q1–2022Q1，分別探討並比較「未包含疫情」及「包含疫情」兩段樣本期間，G-7國家的債務維持條件是否成立。我們觀察到許多國家的財政支出和債務所得比率（debt-to-GDP ratio）在COVID-19疫情發生後出現明顯的上升現象。可能原因之一是各國政府為了解緩COVID-19對於整體經濟造成的不利影響，進而採取各種紓困政策所導致，因此我們採用考慮結構改變的單根檢定進行實證研究。結構改變單根檢定及追蹤資料單根檢定的結果都顯示，「未包含疫情」及「包含疫情」兩段樣本期間，G-7國家的債務維持條件皆不成立。這隱含G-7國家為了因應疫情，無暇顧及債務維持條件，選擇讓公共債務隨財政支出而進一步上升。雖然「隨時變異參數自我迴轉」（time-varying parameter autoregressive）模型的估計結果和單根檢定結果相異，由於債務維持條件要求債務的現值必須等於預期未來盈餘的淨現值，因此G-7國家的政策制定者對未來的財政收支仍然必須抱持更為謹慎的態度。

This paper tests for debt sustainability of the G-7 countries before and in the aftermath of the COVID-19 pandemic, that is, the pre-COVID era (1980Q1-2019Q4) and including the COVID era (1980Q1-2022Q1). There was a jump in the debt-to-GDP ratios of the G-7 countries due to the COVID- 19 pandemic. In order to characterize this feature, we employ the individual unit root tests considering structural breaks, the panel unit root tests and a time-varying parameter autoregressive (TVP-AR) model. The empirical results of a majority of unit root tests show that public debt of the G-7 countries are not sustainable before and in the aftermath of the COVID-19 pandemic. Even though the results of the TVP-AR model of the G-7 countries are different from the unit root tests considering structural breaks, the authorities of these countries still must be cautious about future deficits because they are required to balance their budgets intertemporally.