IMF-气候变化下自然灾害抗灾投资的宏观经济回报：DSGE方法（英）

cEmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuersonWP/23/138IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.2023*TheauthorswouldliketothankSòniaMuñoz,AndrewBergandtheparticipantsinseminarsattheInternationalMonetaryFundandtheEasternCaribbeanCentralBankforinsightfulcommentsandsuggestions.©2023InternationalMonetaryFundWP/23/138IMFWorkingPaperWesternHemisphereDepartmentTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:ADSGEApproachPreparedbyEmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuerson*AuthorizedfordistributionbyChristophDuenwald,SòniaMuñoz,andAndrewBergJune2023IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement.ABSTRACT:ThispaperpresentsaMarkovswitchingdynamicstochasticgeneralequilibriummodeldesignedtoevaluatethemacroeconomicreturnofadaptationinvestmenttonaturaldisasters(NDs)andtheimpactofclimatechange.WhilethemodelfollowstheexistingliteratureinassumingthatNDsdestroyashareofthepublicandprivatecapitalstocksandagovernmentthatcaninvestinadaptationatanadditionalcost,itaddsseveralfeaturesthatarekeytotheanalysis,bothinthenear(transition)andlong(steadystate)terms.Thoseincludeincompletemarkets,financialfrictionswithcollateralconstraints,foreignremittances,fullmenuoftaxandgovernmentspendinginstruments,andendogenousclimateriskpremium.ThemodeliscalibratedtothecaseofDominica.ItfindsthatNDshavelargeandpersistentnegativeeffectsonoutputandpublicfinances.Italsoshowsthatadaptationinvestmenthaslargereturnsintermsofprivateinvestment,employment,outputandtaxrevenueinthelongterm,especiallyunderclimatechange.JELClassificationNumbers:E44,E62,F35,H54,H63,O23,Q54Keywords:naturaldisasters;climatechange;DSGE;resilientcapital;financialfrictions;Dominica;climateadaptationpoliciesefernandezcorugedo@;agonzalezgomez@;Author’sE-MailAddress:aguerson@IMFWORKINGPAPERSTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:AIMFWORKINGPAPERSINTERNATIONALMONETARYFUND3WORKINGPAPERScPreparedbyEmilioFernandez-Corugedo,AndresGonzalez-Gomez,andAlejandroGuerson11TheauthorswouldliketothankSòniaMuñoz,AndrewBergandtheparticipantsinseminarsattheInternationalMonetaryFundandtheEasternCaribbeanCentralBankforinsightfulcommentsandsuggestions.IMFWORKINGPAPERSTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:AIMFWORKINGPAPERSINTERNATIONALMONETARYFUND4ContentsIntroduction 6ModelDescription 9ModelCalibrationandSolution 11ImpactofClimateEvents 16ClimateAdaptation:ReturnofInvestinginInfrastructureResilienttoNaturalDisasters 18ReturnstoAdaptationInvestmentwithClimateChange 20SensitivityAnalysis:InspectingtheMechanism 24A.IncreasingPublicReconstruction 24B.AlternativeFiscalInstruments:ConsumptionandLaborIncomeTaxes 25C.AlternativeAdjustmentCostsofInvestment 27Conclusion 28References 31AnnexI.FullModelPresentation 34I.Households 34RicardianHouseholds 34WorkerHouseholds 35II.UnionProblem 35III.InvestmentProducers 35PrivateInvestmentProducers 35PublicInvestmentProducers 36IV.ConsumptionGoodProducers 36V.DomesticProducers 37FinalOutput 37VI.Government 38VII.BalanceofPaymentsandExternalSector 39VIII.SummaryoftheFirstOrderConditions 39IX.De-trendedFirstOrderConditions 41X.TheSteadyState 44AnnexII:TechnicalDescriptionoftheToolbox 48BOX1.MacroCriticalclimaterelatednaturaldisasters:thecaseofDominic 12FIGURES1.ModelStructure 10INTERNATIONALMONETARYFUND52.Short-runresponsetoNDevent 173.Short-rungainstoresilientcapitalafterNDevent 204.Short-runimpactofmoreintenseNDeventwithclimatechange 215.Short-rungainsfrommoreresilientcapitalwithmoreintenseNDevents 236.Short-runresponsetoNDeventwithpublicreconstruction 257.Short-runresponsetoNDeventwithalternativefiscalrules 268.Short-runresponsetoNDeventwithalternativecapitaladjustmentcosts 27TABLES1.ModelsincorporatingNDsandAdaptationInvestment 82.Model’sParameters 143.MomentCalibrationSummary 154.Long-runimpactofnonaturaldisasters 185.Long-runestimatesofadaptation 196.Long-runimpactofmoreintensenaturaldisastersvs.baseline 227.Estimatedlong-runbenefitsofadaptation 23IMFWORKINGPAPERSTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:AIMFWORKINGPAPERSINTERNATIONALMONETARYFUND6IntroductionClimate-relatednaturaldisasters(NDs),whichareontrendtogrowwithincreaseintheirintensityandfrequencyunderglobalwarming,recurrentlycausehumanandeconomicloss.Thisimpacthasbeenparticularlycatastrophicinsmallstateslocatedinhighlyvulnerableareas,especiallyintheCaribbeanandinthePacificwhere,giventheirsmallsize,NDsaffecttheentireeconomy,leadingtolargelossesofmacroeconomicproportions(e.g.Raddatz,2009;Mendelsohnandothers,2011;Loayzaandothers,2012,Fombyandothers,2013;Acevedo,2014,Lianandothers,2021,Akyapiandothers,2022amongothers).2Giventhis,manyaffectedeconomiesareplanningextensiveadaptationinvestmenttoachievephysicalandfinancialresiliencetoNDs.However,theseinvestmentsaretypicallysignificantlycostlierthanthenon-resilienttypeand,particularlyinSmallDevelopingStates(SDS),thetotalrequiredamountcanbeverylargerelativetothesizeoftheeconomy.3Itisthereforeimportanttoassesstheextenttowhichthereturntoinvestmentinresilientinfrastructureoutweighitscost,whichisimportanttoevaluatethefinancialsustainabilityofthelargeinvestmentneeds.Thisiscriticalconsideringthatresilientinvestmentsrequirelargeup-frontcostswhilethereturnsmaterializeinthelong-term.Thisassessmentiscriticalforthedesignofmacroeconomicpolicy.Itcanimplytheneedtomobilizeadditionalrevenueandtore-prioritizespendingtocreatespaceforresilientinvestment.Also,itcanprovecriticaltoaccessfinancinganditstermswithinfiscalandexternalsustainabilitybounds.Thispaperpresentsadynamicstochasticgeneralequilibriummodel(DSGE)suitableforthequantificationofthereturnofinvestmentininfrastructureresilienttoNDs-suchascyclones,tornadoes,andfloodsinSDS.Thestochasticpropertiesofthemodelalsomakeitsuitablefortheanalysisofthemacroeconomicimpactofclimatechangegiventheexplicitparametrizationoffrequencyandintensityofnaturaldisasters,whichaffectnotonlythenear-termdynamicresponsesoftheeconomyafterNDsbutalsothelongrunequilibrium(steadystate).Underthestochasticpropertiesofthemodelreflectedinitsmultipleregimes,agentsinternalizethepossibilityoffutureNDswithassociatedoutputlossanddestructionofassets,affectinginvestment,employment,andoutputevenifnoNDhastakenplace.4ThemodeliscalibratedtotheDominicaeconomy,anSDSintheCaribbean.Thecalibrationisusedtoquantifytheshort-runandlong-runimpactofNDsonmacroeconomicoutcomes,includingthereturnofcostlyinvestmentsinresilientstructuresandtheimpactofclimatechange.5ThepaperbuildsonearlierworkthatdevelopDSGEmodelstoassessboththeimpactofNDandclimateadaptation,seekingtoexplainthepropagationchannelsofNDs.BevanandAdam(2016)andMartoand2WhileNDsdohaveanegativeimpactoneconomicactivityonimpact,theevidenceonwhethergrowthissubsequentlyimpactedismixed,withsomeempiricalstudiespointtosubsequentlypositiveimpactsongrowthastheeconomyreboundsfromtheND.Kousky(2014)andLazzaroniandvanBergeijk(2014)providesurveysoneconomicgrowth,SkidmoreandToya(2002)findapositivecorrelationofclimatedisasterswithproductivityandgrowth,Loayzaandothers(2012)andCunadoandFerreira(2014)alsofindpositiveevidenceforthecaseoffloods,andCavalloandothers(2013)donotfindasignificanteffectonlong-rungrowthfromcatastrophicdisasters.Likewise,theliteraturehasfoundthatgeophysicalandmeteorologicaldisastersincreasethesovereignriskpremium,buthydrologicalandclimaticdisastersdonot(Klomp,2015).3Forexample,detailedanalysisinsmallstatesintheCaribbeanindicatesthatthetotalcostoftheresiliencyneedscanbeintherangeof1to5timesthesizeoftheirGDP(seee.g.,DisasterResilienceStrategiesforDominicaandGrenada).4ThiscontrastswithmorestandardDSGEmodelsthatapproximatenaturaldisastershocksthrougheventsthatdestroycapitalorproductivitythroughunanticipatedshocks.Inthatset-up,themodelagentsonlyrespondtoclimateeventsintheaftermathofashock.Inthesetupofthemodelpresentedinthispaper,agentsknowex-antetheprobabilityofclimateeventsandtheirimpactontheeconomyandthereforetheirdecisionrulesincorporatethisinformation.5AsimilarapproachtothatusedinthispaperwasappliedtoBahamas,CostaRica,DominicanRepublic,Grenada,Honduras,Jamaica,Nicaragua,PanamaandSt.VincentandtheGrenadinesandreportedinIMF(2021b).ThelargestimpactandgainsfromadaptationareforDominica.IMFWORKINGPAPERSTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:AIMFWORKINGPAPERSINTERNATIONALMONETARYFUND7others(2018)areearlycontributorstotheliterature.TheytaketheworkofBuffieandothers(2012)asastartingpoint,enrichingthefiscalsectorbyconsideringadditionalsourcesoftaxationandpublicexpenditures,andbyincorporatingNDsshocksthatdestroynon-resilientcapitalstock,reducingoutput.BothpapersconsiderthecostsofreconstructionfollowingaNDandevaluatethegainsofadaptationinvestmentinresilientpubliccapitalundervariousfinancingoptions(i.e.,additionaltaxation,donorcontributions,budgetreallocationofalternativepublicspending).Mendes-Tavares,GuoandGuerson(2022)alsoincludeNDsandthedestructionofpublicinfrastructureincorporatingkeyfeaturesofSDS,includinglabormigrationandremittances,aninformalservicesector,andalternativelaborskills.Theirmodelincludesabroadsetoffiscalpolicyinstruments,sector-specificlaborallocationaccordingtoskillswhichenablestheanalysisofincomedistributionimpactofalternativepolicies.However,thesemodelsincludeNDsshocksasone-offsurprises,whichonlymakesthemsuitabletoexaminethetransitionaldynamicsasopposedtolong-term(steadystate)implicationsofadaptationinvestmentandclimatechange,whicharebasedonexpectedlossesinthefuture.OurworkisclosesttoCantelmoandothers(2019)whoalsostudythetransmissionchannelsofNDsinastochasticenvironmentandfocusontaxpolicyandfinancingforresilientinvestment.Theycalibratetheirmodeltoan“average”small-openeconomy(bothemerginganddeveloped)subjecttoNDshocksandfindsizeable(oversixpercent)andpersistent(overthreeyears)outputeffectsandsignificantincreasesinthepublicdebttoGDPratio,therebyemphasizingtherolefordonorgrantsbothforpost-disasterreconstructionandthefinancingofresilientinvestment.Guerson(2019)findsnet-positivereturnstoinvestmentincostlyresilientcapital,withincreasesinprivateinvestment,thecapitalstock,andemploymentleadingtooutputgainsintherangeof3-11percentforcountriesintheEasternCaribbeanCurrencyUnion(ECCU).However,theypresentasimplifiedmenuoffiscalpolicyinstrumentsandomitthedestructionofprivatecapitalbyNDs.Table1presentsasummaryofthekeyingredientsofthemodelsthathaveevaluatedtheimpactofinvestmentinadaptationtonaturaldisasters.ThekeycommonfeatureoftheexistingmodelsistheexplicitincorporationofNDsthatdestroyashareofpubliccapital,withinasmallopeneconomysetup.Thetablehighlightstheinnovativenatureofthemodelinthispaper,whichincludethefollowingcriticalassumptionsthatmakeitbettersuitedforthequantitativeevaluationofthereturnsofinvestmentinresilientinfrastructure:•AMarkov-SwitchingDSGEtointroduceNDsintheeconomy,resultinginagentsthatfullyinternalizeclimate-relatedriskasrecurrentandformexpectationsaccordingly.Themodelissolvedusingaperturbationmethodforregime-switchingrationalexpectationsmodelsdescribedinMaih(2015).Thismethodologyisfastandefficient,relativelyeasytoimplementandscaleseasilytolargermodels.•IncompletemarketsandfinancialfrictionswithcollateralconstraintsoncreditaccessbyRicardianagents.ThisisimportantintheanalysisoftherecoveryfromNDs,whichdestroycollateralandthereforelimitsborrowing,slowingtherecovery.LendingratestoinvestorsareaffectedbytheriskofNDsandthedestructionofcollateral.Itisalsoimportantinaffectingthesteadystategiventheexpectationsofcollateraldestruction,constraininglending,andinvestment.•Ashareofnon-Ricardian(hand-to-mouth)agents,whichrelyongovernmentsupportafternaturaldisasters.ThisallowsthesimulationoffiscalpressurestosupportthepopulationafterNDs,whichultimatelyimpactstaxexpectationsandeconomicdynamics.INTERNATIONALMONETARYFUND8•Afullmenuoftaxandnon-taxrevenueinstrumentsandgovernmentspendingallocations,includingtransferstotheRicardianandnon-Ricardianagents,inadditiontotheinvestmentinresilientandnon-resilientinfrastructure.Theadditionofnon-taxrevenueisimportantbecauseitcanbecalibratedtocaptureresource-basedrevenueandalsoCitizenship-by-Investmentrevenue,whichissizableinseveralSDSaffectedbyNDs.Thisenablestheinternalizationoftheefficiencyanddistortionaryimplicationsofthetaxmixandthedynamicimpactofthealternativeexpenditureuses,includingacomparisonbetweenex-anteinvestmentinresiliencevs.ex-postreconstructionandsupporttothepopulation(whicharelargerwheninfrastructureisnotresilient).•Foreignremittances,whicharesettovaryaccordingtothestateoftheeconomy.ThisisacrucialfeatureinseveralSDSaffectedbynaturaldisasters,includingintheCaribbean,CentralAmerica,andthePacific,withmaterialimpactontherecoveryfromNDs.TableModelsIncorporatingNDsandAdaptationInvestmentModelFeaturesAdam(2016)Marto,Papageorgiouev(2018)Guerson,Guo,desTavares(2022)Guerson(2019)aandPapageorgiou(2019)rugedoGomezandGuerson(2022)ProductionNDshockdestroyspubliccapitalYesYesYesYesYesYesNDshockdestroysprivatecapitalYesYesNoYesYesYesNDshockaffectsgrowthNoYesNoNoYesYesLabormigrationandremittances1/NoNoYesYesNoYesDisasteraffectslong-termoutputlevelNoNoNoYesYesYesFiscalPolicyFullsetoffiscalinstrumentsYesYesYesNoNoYesGovernmentOptimizesNoNoNoNoNoNoSocialImpact/incomedistribution/informalityNoNoYesNoNoNoSuitableforDebtSustainabilityAnalysisNoYesNoYesNoNoEndogenousriskpremiumYesYesNoNoYesYesSuitableanalysisofclimatechange(stochastic)NoNoNoYesYesYesIncompleteMarkets1/NoYesYesYesNoYesFinancialfrictions1/NoNoNoNoNoYes1/Affectreturnstoadaptationinvestment.Asinthepreviousliterature,NDsarefoundtohavelargeandpersistenteffectsontheeconomy.Thispaper,however,underscorestheimportantamplificationeffectsoftheseshockswithmigration,creditfrictionsandincompletemarkets.Inaddition,theimpactofclimatechangeisassessedbasedonestimatesoftheintensityofnaturaldisasterstoglobalwarmingaswellasthegainsfromadaptation,highlightingtheimportantnonlinearitiesnotedbyCantelmoandothers(2019).IMFWORKINGPAPERSTheMacroeconomicReturnsofInvestmentinResiliencetoNaturalDisastersunderClimateChange:AIMFWORKINGPAPERSINTERNATIONALMONETARYFUND9Therestofthepaperisstructuredasfollows.SectionIIprovidesanon-technicaldescriptionofthemodel.SectionIIIpresentsthecalibrationtoDominica’seconomyandthesolutiontechnique.SectionIVdescribestheimpactofaNDintheshortandthelong-runandexaminesthekeytransmissionchannels.SectionVillustratesthereturnsofresilientinvestment.SectionVIdisplaysacounterfactualclimatechangeexperiment,quantifyingtheimpactofanincreaseintensityofNDsandreassessingthereturnsofadaptationinvestment.SectionVIIshowsasensitivityanalysisoftheresults.SectionVIIIconcludes.Twoappendicesdescribethemodelandthemodelsolutioninmoredetail.ModelDescriptionThemodelcomprisesfoursectors:households,firms,government,andtheexternalsector.Therearetwotypesofhouseholds:investor/saverhouseholdsthatinvestinnon-resilientcapitalandhirelabor,andworkerhouseholdsthatsupplylabor,receiveremittancesbutcannotsave.Allhouseholdsmaximizeutilityovertheirconsumptionandlaborinputbundle.Householdsdelegatelaborandwagedecisionstoaunionthatnegotiateswithfirms.Thelabormarketisassumedtobenon-competitivesuchthatwagesforRicardianandnon-Ricardianareequalandsetinacentralizedmannerbyaneconomy-wideunion.Hoursarethendeterminedbyfirms(ratherthanbeingchosenoptimallybyhouseholds)giventhewagesetbytheunionwithhouseholdswillingtomeetthedemandfromfirms.Suchnon-competitivelabormarketstructureimpliesthatthereisawedgebetweenthemarginalrateofsubstitutionandtherealwage.6Allhouseholdsareaffectedbynaturaldisastereventssincethesetendtoloweroutput,employmentandwagesandhenceaffecttheconsumptionset.Householdspurchaseconsumptiongoodsandpaylump-sumtaxestothegovernment.Theyreceivelaborincome,foreignremittances,andgovernmenttransfers.Inthecaseofremittances,thesearemodelledasexogenouslydeterminedthoughdependentonthemodelregime,suchthatthesearehigherwhenaNDeventhitstheeconomy.7Therearetwotypesoffirms.Finalgoodfirmsproduceahomogenousgoodthatcanbetransformedintoconsumption,investment,andexportgoods.Productionfirmschooselaborandcapitalinputs,takingasgiventhestockofpubliccapital,realwages,andthepriceofoutput.Firmsborrowtofinanceinvestmentandlaborinputexpensesandusethevalueofitscapitalascollateral.FinalgoodfirmsaredirectlyaffectedbyNDssincethesedestroyashareofthepublicandprivatecapitalstocksandarealsoassumedtotemporarilyreducetotalfactorproductivity(TFP).Theypaytaxesontheirprofits.Investmentandconsumptionfirmstransformthefinalgoodtobothinvestmentandconsumptiongoods.Theytakethepriceoffinalgoodsasgivenandcombinethesegoodswithimportedinvestment(consumption)goodstoproducehomogeneousinvestment(consumption)goodsthataresoldtofinalgoodfirms(consumers).Investmentandconsumptionfirmsarenotdirectlyaffectedbynaturaldisasterevents.Thegovernmentcollectsrevenuesfromconsumption,firms’profits,wages,andlump-sumtaxesandreceivesexternalgrants.Itspendsonpurchasesofgoodsandservices,transferstohouseholds,publiccapital,andinterestonpublicdebt.Crucially,publicinvestmentcanbeoftwotypes:resilientandnon-resilienttoNDs.Itisassumedthatinvestmentinresilientpubliccapitaliscostlierrelativetothenon-resilienttype(assumingapremiumof25percentovernon-resilientinvestmentbasedonestimatesinthe6NoskilldifferencesareassumedbetweenRicardianandnon-Ricardianhouseholds.Theunionmechanismthereforemitigatesthewealtheffectofconsumptiononlaborsupply,withhoursdeterminedbylabordemandforagivenwage.7Migrationisnotmodelledandisthusassumedconstant.Anextensionofthismodelwithendogenousmigrationisbeingdeveloped.INTERNATIONALMONETARYFUND10PublicDebtNetPrivateGrantsAssetsConsumptionaxesandotherWorkersInvestorsLabor,Consumptionandlump-sumtaxesProfits,PublicDebtNetPrivateGrantsAssetsConsumptionaxesandotherWorkersInvestorsLabor,Consumptionandlump-sumtaxesProfits,LaborincomeImportedInvestmentGoodsConsumptionProducersImportedConsumptionGoodsConsumptionGoods2017DominicaPostDisasterNeedsAssessmentproducedbytheWorldBank).8Bothtypesofinvestmentareassumedtobeperfectsubstitutesinproduction.Thisimpliesthatbothtypeshavethesamecontributiontooutput,buttheresilienttypeiscostlier—forexample,aresilientbridgeproducesthesameserviceasanon-resilientoneaslongastherearenoNDs.Thisspecificationisparticularlyimportantbecauseitenablestheassessmentofthecost-returntrade-offofinvestmentinresilientinfrastructure.Itisalsotheempiricallyrelevantspecification,astypicallytheconstructionofresilientstructuresimpliesadditionalcostindesign,engineering,andmaterials.9ThegovernmentisdirectlyaffectedbyNDsasnon-resilientpubliccapitalisdestroyedandisindirectlyaffectedastaxrevenuesdecreasewiththedeclineinoutputandlaborincome.Fiscalpolicyisanchoredbyadebtruleanddoesnotfollowanoptimizationprocess.Allgovernmentexpenditures,includingpublicinvestment,aresetasaconstantshareofnominalGDPandmarginaltaxratesareassumedunchangedinresponsetoaND.OtherthantheaforementionedincreaseingrantsinresponsetotheND,(non-distortionary)lump-sumtaxesleviedonhouseholdsareusedtoraiserevenuetoallowtomatchthepublicdebttargetoverthemediumterm.Theuseofnon-distortionarylumpsumtaxestoreturntothedebtlevelsetintheruleallowstheisolationofpureclimateshockimpactwithouttheadditionalcostofdistortionarytaxation.Thesensitivityanalysissectionbelowscrutinizestheadditionalcostsfromdistortionarytaxation.Exporterspurchasefinalgoodsandtransformtheminputexportgoodswhicharesoldtotherestoftheworld,buttheydonotpricetheirgoodstoreflectconditionsinexternalmarkets(i.e.,theydonotpricetomarket).TherelationshipsamongallparticipantsinthemodelispresentedinFigure1.ModelStructureRestofWorldTransfersRemittancesTransfersExportsincomeLincomeCorporateTaxesGovernmentLaborincomeHouseholds ProdtFinalCorporateTaxesGovernmentLaborincomeHouseholdsInvestmentGoodsGoodsInvestmentProducers8The2017DominicaPostDisasterNeedsAssessmentbyTheWorldBankthatwasconductedafterhurricaneMariaincludesestimatesofreplacementcostofdestroyednon-resilientst