بررسی آثار روش‌های تامین مالی کسری بودجه دولت بر متغیرهای کلان به روش تعادل عمومی پویای تصادفی(DSGE)

Introduction:

Statistical and historical evidence shows that the Iranian government utilizes four main channels to increase its resources. These four scenarios are taxes, oil revenue, bonds and an exchange rate increase. Each of the financing scenarios affects the nominal and real variables of the economy through different channels.The aim of this article is to examine the impact of different government financing methods on macroeconomic variables.

Methodology:

This study employs a Dynamic Stochastic General Equilibrium (DSGE) model to analyze the effects of four distinct government revenue shocks. Furthermore, an effort has been made to compare the loss functions resulting from these shocks. The model incorporates six representative agents: households, intermediate goods-producing firms, the trade sector (covering both non-oil exports and imports), the oil sector, the government, and the central bank. The data series used for the simulation, spanning from 1989 to 2021, was obtained from the Time Series Information Database of the Central Bank of Iran and the Statistical Center of Iran. Parameters were calibrated based on prior studies and the geometric means of the variables.

Results and Findings:

Exchange Rate Shock:

An increase in the exchange rate leads to a decline in the import of consumption goods, capital goods, and intermediate inputs. This decline is more significant for consumption goods, as production firms cannot immediately and fully reduce their reliance on imported intermediate inputs. Over time, as domestic prices rise and inflationary pressures build, the value of imported goods gradually stabilizes across all categories.

The higher relative price of imported goods pushes inflation above its equilibrium level. On the other hand, a positive exchange rate shock improves the competitiveness of non-oil exports by reducing the export price index, resulting in an increase in export volumes beyond their equilibrium level. Output initially falls due to rising marginal costs for firms, but gradually recovers as both domestic and foreign demand for local products increases.

Foreign exchange reserves at the Central Bank rise by approximately 4%, leading to an expansion in the monetary base. However, this expansion is temporary, and the monetary base eventually returns to its equilibrium level. Overall, the exchange rate shock contributes to a reduction in the government’s budget deficit and public debt.

Oil Revenue Shock:

An increase in oil revenues—of which a significant portion is sold to the Central Bank—initially raises the Bank’s foreign exchange reserves by about 3% above its equilibrium level. This rise in net foreign assets leads to an expansion of the monetary base. At the same time, the nominal exchange rate declines due to the higher availability of foreign currency. As the monetary base grows, inflation increases. Meanwhile, the appreciation of the nominal exchange rate causes a decline in the real exchange rate, which reduces the competitiveness of non-oil exports and boosts imports. Consequently, imports of consumption goods, capital goods, and intermediate inputs all increase.

On the supply side, the positive oil shock raises prices and incentivizes greater production in the non-oil sector. As a result, intermediate goods producers demand more labor and capital. However, due to a limited labor supply, firms raise wages, which also pushes up capital rents.

Given the heavy reliance of the government budget on oil revenues, higher oil income leads to a reduction in the fiscal deficit. Additionally, the government increases its investment spending, which, alongside higher imports, further stimulates investment in the economy.

Tax Shock:

An increase in taxes leads to a reduction in household income, which in turn lowers the consumption of both domestic and imported goods. This decline in consumption reduces aggregate demand, resulting in decreased output and employment. Lower production implies less utilization of production inputs, including capital, labor, and intermediate inputs. At the same time, inflation rises due to decreased supply, which causes a decline in the real return on capital.

Moreover, the tax increase reduces labor supply and work incentives, contributing to a 0.15% rise in wages. This shock increases government revenues, thereby reducing the budget deficit and lowering public debt. In response to higher revenues, the government also increases its consumption expenditures.

Government Bond Shock:

A shock from government bond issuance reallocates resources from the private sector to the public sector. Initially, this shift reduces household consumption (of both domestic and imported goods) and investment, which leads to a decline in total output. However, as government spending increases, public sector demand rises and gradually drives output back toward its long-run equilibrium level.

When the government issues bonds and sells them to the central bank, the monetary base expands, pushing inflation above its equilibrium level.

The loss function is a weighted sum of the volatility of key macroeconomic variables in response to a shock. The results indicate that the exchange rate shock results in a higher loss function compared to other shocks.

Conclusion:

Based on the results of the modeling, exchange rate shocks impose the highest welfare loss compared to other shocks. This finding stems from the dual nature of the exchange rate’s impact on the economy: on one hand, it affects demand through changes in consumption, imports, and exports; on the other hand, it influences supply by impacting production costs via imported inputs. This broad and simultaneous effect makes the exchange rate one of the most significant sources of economic instability.