欧洲央行-财政声明的信号效应（英）

Working Paper Series The signaling effects of fiscal announcements Leonardo Melosi, Hiroshi Morita, Anna Rogantini Picco, Francesco Zanetti Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3110 AbstractAnnouncing a large fiscal stimulus may signal the government’s pessimism about the severityof a recession to the private sector, impairing the stabilizing effects of the policy. Using atheoretical model, we show that these signaling effects occur when the stimulus exceedsexpectations and are more noticeable during periods of high economic uncertainty. Analysisof a new dataset of daily stock prices and fiscal news in Japan supports these predictions.We introduce a method to identify fiscal news with different degrees of signaling effects andfind that such effects weaken or, in extreme cases, even completely undermine the stabilizingimpact of the announcements.Keywords: Fiscal policy, macroeconomic stabilization, uncertainty, imperfect information.JEL classification: E62, E32, D83.ECB Working Paper Series No 31101Non-technical SummaryFiscal policy is widely regarded as a key tool for stabilizing business cycles. During the COVID-19 pandemic, for instance, many countries enacted substantial fiscal packages to support theireconomies amidst the widespread crisis. However, assessing the effectiveness of these stabiliza-tion policies is inherently difficult, as they are typically implemented in response to endogenousdevelopments, such as a recession. Consequently, the size of these interventions likely reflectspolicymakers’ assessments of the economic outlook. This implies that the announcement of alarge fiscal stimulus may be interpreted by the private sector as an indication that the gov-ernment views the recession as particularly severe. Such an interpretation may worsen privatesector expectations about the economic outlook, potentially weakening the stabilizing effects ofthe fiscal intervention. The objective of this paper is to assess whether these signaling effectsare supported by a newly constructed dataset of fiscal news in Japan and to provide the firstquantification of these effects for fiscal policy.We first develop a stylized model to illustrate the theoretical mechanism underlying the sig-naling effects of fiscal policy. This model provides critical insights that inform the design of ourempirical analysis on the signaling role of fiscal policy and yields four central predictions. First,signaling effects emerge when there is asymmetric information between policymakers and theprivate sector, and when policy actions are interpreted as responses to evolving economic con-ditions. Second, the magnitude of signaling effects increases with the level of prior uncertaintyheld by the private sector. Third, signaling effects dampen (or magnify) the impact of a policyaction if the private sector expe