というNBER論文をMatthew Rognlieらが上げている。原題は「Excess Savings and Twin Deficits: The Transmission of Fiscal Stimulus in Open Economies」で、著者はRishabh Aggarwal(スタンフォード大)、Adrien Auclert(同)、Matthew Rognlie(ノースウエスタン大)、Ludwig Straub(ハーバード大)。

We study the effects of debt-financed fiscal transfers in a general equilibrium, heterogeneous-agent model of the world economy. In the long run, increases in government debt anywhere raise the world interest rate and increase private wealth everywhere. In the short run, a country with a larger-than-average fiscal deficit experiences both a large increase in private savings (“excess savings”) and a small but persistent current account deficit (a slow-motion “twin deficit”). These patterns are consistent with the evolution of the world’s balance of payments since the beginning of the Covid pandemic.


Our paper refines the original twin deficit hypothesis, according to which fiscal deficits cause (contemporaneous) current account deficits. This hypothesis was popular in the 1980s, when the Reagan tax cuts were followed by a large dollar appreciation and increase in the current account deficit, consistent with the predictions of the Mundell-Fleming model (e.g. Feldstein 1993, Ball and Mankiw 1995). It then fell out of fashion in the 1990s and 2000s, since the Clinton years featured both a fiscal surplus and a current account deficit—a so-called “twin divergence”. Empirically, Bernheim (1988), Chinn and Prasad (2003), and Chinn and Ito (2007) find a generally positive correlation between fiscal deficits and current account deficits in a panel of countries, but it is well understood that the data is driven by many shocks beyond fiscal policy.5 More recent work using identified tax shocks has reached mixed conclusions: using a structural VAR, Kim and Roubini (2008) find evidence for “twin divergence”, while, using narratively-identified tax shocks, Feyrer and Shambaugh (2012) and Guajardo, Leigh and Pescatori (2014) find evidence for the causal twin deficit hypothesis. Our slow-motion twin deficit result can help interpret these findings: it suggests that a causal twin deficit relationship may not be detectable over the short run, where it can be swamped by other shocks in the data, but that it should start to appear as one considers longer horizons.
As mentioned at the top of the paper, the usual open-economy analysis of fiscal policy is conducted in models featuring Ricardian equivalence. In this context, twin deficits emerge only when governments finance government spending, not transfers (e.g. Corsetti and Müller 2006). ...
Finally, our paper contributes to the Heterogeneous-Agent New Keynesian literature. ....To our knowledge, we are the first paper to study fiscal policy in open economies in this class of models, and also the first to write a many-country model of large open economies.
本稿は、オリジナルの双子の赤字仮説を精緻化する。その仮説によれば、財政赤字は(同時期の)経常赤字を引き起こす。この仮説は、マンデル=フレミングモデルの予測に沿う形でレーガン減税後にドルの大幅な増価と経常赤字の増加が生じた1980年代には人気があった(例えばFeldstein 1993、Ball and Mankiw 1995)。その後、1990年代と2000年代には廃れたが、それはクリントン時代には財政黒字と経常赤字の組み合わせ――いわゆる「双子の乖離」――が特徴となったためであった。実証的には、Bernheim (1988)、Chinn and Prasad (2003)、およびChinn and Ito (2007) が各国のパネルにおいて財政赤字と経常赤字の一般的な正の相関を見い出したが、データが財政政策に関係ない多くのショックによって動かされていたことは良く理解されていた*1。税ショックを識別して用いたより最近の研究では、得られた結論は曖昧である。Kim and Roubini (2008) は構造VARを用いて「双子の乖離」の実証結果を得た。一方、文献ベースで識別した税ショックを用いて、 Feyrer and Shambaugh (2012) と Guajardo, Leigh and Pescatori (2014) は因果的な双子の赤字仮説の実証結果を得た。我々のスローモーションの双子の赤字という結果は、こうした発見を解釈するのに役立つ。それは、双子の赤字の因果関係は、データ中の他のショックによって埋もれてしまうために短期的には検出できないかもしれないが、長期的に見れば現れてくるはず、ということを示唆している。
冒頭に記したように、通常の財政政策の開放経済分析は、リカードの等価性を特徴とするモデルで実施されている。その文脈では、政府が財政支出を賄う場合のみ双子の赤字が現れ、移転の場合は現れない(例えばCorsetti and Müller 2006)。・・・

*1:原注:For instance, a business cycle boom typically is associated with a current account deficit as import demand rises, as well as a fiscal surplus due to higher tax revenue and reduced transfer payments.