A note on debt sustainability in Argentina

关于阿根廷债务可持续性的说明

2019/04/28 06:08
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本月早些时候发布了最新的阿根廷国际货币基金组织(IMF)计划文件 - 第三次评论。该文件阐明了支持该计划的公共债务可持续性分析(DSA)的驱动因素。由于阿根廷债务可持续性问题将在即将举行的总统选举后重演,因此值得一提的是:假设是什么......

THE LATEST International Monetary Fund (IMF) program document for Argentina—the 3rdReview—was published earlier this month. This document sheds light on the drivers of the public debt sustainability analysis (DSA) that underpin the program.

本月早些时候发布了最新的阿根廷国际货币基金组织(IMF)计划文件 - 第三次评论。该文件阐明了支持该计划的公共债务可持续性分析(DSA)的驱动因素。

Since the issue of debt sustainability in Argentina will recur after the upcoming Presidential elections, it’s worth asking: What are the assumptions that underpin the latest IMF document? Do they make sense? And what does this imply for investors?

由于阿根廷的债务可持续性问题将在即将举行的总统选举后重演,因此值得一提的是:支持最新国际货币基金组织文件的假设是什么?他们有道理吗?这对投资者意味着什么?

Let’s start with the evolution of projected public debt since program initiation in June 2018. At the time of program initiation in June 2018, debt-to-GDP was expected to peak below 65% in 2018 before falling below 55% in 2o23. The latest review has debt-to-GDP peaking above 85% in 2018 though falling to below 60% in 2024. The convenience of extending the forecast horizon a year allows the economically meaningless though apparently optically necessary 60% debt-threshold to be met by 2024. (When will the IMF disabuse us of this meaningless number?)

让我们从2018年6月启动计划以来预计公共债务的演变开始。在2018年6月启动计划时,债务与GDP预计在2018年达到峰值65%以下,然后在2月23日跌至55%以下。最新的评论显示,债务与GDP在2018年达到85%以上,但在2024年跌至60%以下。延长预测期一年的便利性使得经济上毫无意义但通过光学上必要的60%债务门槛得以满足(国际货币基金组织何时会将这个毫无意义的数字推翻我们?)

What has changed over these different reviews? The most important recent driver of the debt stock relative to GDP is the valuation adjustment of foreign currency-denominated debt given nominal exchange rate depreciation. As of end-2017, 68% of public debt was denominated in foreign currencies (largely dollars); by end-2018, with program borrowing and another dollar bond issued in 2018Q1, 76% of public debt was fx denominated.

这些不同的评论有什么变化?最近债务存量相对于GDP的最重要驱动因素是给予名义汇率折旧的外币计价债务的估值调整。截至2017年底,68%的公共债务以外币计价(主要是美元);到2018年底,由于计划借款和2018年第一季度发行的另一美元债券,76%的公共债务以外汇计价。

It’s useful therefore to review the exchange rate assumptions that underpinned the respective documents. Now, the precise exchange rate assumptions are hidden deep within the documents. But we can back out the implied USDARS exchange rate from the national income (period average) and monetary account tables (end of period). The left side in the chart below shows the expected year average exchange rates implicit at program initiation, where ARS was expected to depreciate only 56½% against USD from 2016 through 2023, with most of this deprecation happening by 2019. Instead, the nominal exchange rate adjustment was much sharper, with USDARS reaching 38 by end-2018, well above that initially expected for 2023; the valuation adjustment on the stock of fx denominated debt therefore drove up the stock of public debt up by about 30 percentage points of GDP, considerably above that anticipated only last June.

因此,审查支持各自文件的汇率假设是有用的。现在,精确的汇率假设隐藏在文件的深处。但我们可以从国民收入(期间平均值)和货币账户表(期末)中撤销隐含的USDARS汇率。下图中的左侧显示了计划启动时隐含的预期年平均汇率,其中ARS预计从2016年到2023年仅对美元贬值56.5%,其中大部分贬值发生在2019年。相反,名义汇率调整幅度更大,到2018年底,USDARS达到38,远高于最初预期的2023年;因此,对外汇债券存量的估值调整将公共债务存量提高了约30个百分点,大大高于去年6月的预期。

Perhaps most interesting, the latest review further revises the exchange rate over the forecast horizon. Instead of ARS reaching 46 in 2023 as at the 1stand 2nd Reviews, it is now expected to depreciate to touch 63 on average that year and 67 by end-2024. Thus, from ARS depreciation of 15% from 2019 to 2023, the latest review builds in a 33% depreciation over this period against USD. This is a substantial revision to the projected nominal exchange rate path, especially given the high share of fx-denominated debt and the extraordinarily tight monetary policy that has been initiated under the program— including zero base money growth, substantially negative in real terms.

也许最有趣的是,最新的评论进一步修正了预测范围内的汇率。而不是ARS在2023年达到46,而在1号第2评论中,现在预计当年平均贬值63,到2024年末贬值67。因此,从2019年到2023年的ARS折旧率为15%,最新的评估在此期间对美元的折旧率为33%。这是对预计的名义汇率路径的实质性修正,特别是考虑到以外汇计价债务的高比例以及在该计划下启动的极其紧缩的货币政策 - 包括零基础货币增长,实质上显着为负。

The assumed nominal exchange rate depreciation means the large share of USD-denominated public debt will continue to increase over the forecast horizon when measured in local currency, contributing to deteriorating debt dynamics. How then is the program document able to show a declining stock of public debt when measured relative to GDP? The answer is in large upward revisions to nominal GDP in local currency—mostly coming from upward revisions to expected inflation as measured by the GDP-deflator. Again, while the original program assumed NGDP to grow 17% on average per year from 2016 to 2023, the latest program has growth of 26%—given the lower path of real GDP since initiation, the program now implies much higher average inflation rate. The compounding of higher nominal GDP growth therefore drives GDP to above ARS44 trillion by 2024, though in USD terms only slightly higher than the 2017 flow of USD650 billion.

假定的名义汇率折旧意味着以当地货币计量的美元计价公共债务的大部分将在预测范围内继续增加,从而导致债务动态恶化。那么,相对于国内生产总值来衡量,该计划文件如何能够显示公共债务的下降?答案是对当地货币名义GDP的大幅上调 - 主要来自GDP平减指数衡量的预期通胀的向上修正。同样,虽然原计划假设NGDP从2016年到2023年平均每年增长17%,但最新计划的增长率为26% - 从启动以来实际GDP的下限,该计划现在意味着更高的平均通货膨胀率。因此,较高名义GDP增长的复合因此推动GDP在2024年达到ART44万亿以上,但以美元计算仅略高于2017年的6,500亿美元流量。

Again, in contrast to the extraordinarily tight monetary policy agreed for 2019 under the program, the Fund now assumes continued nominal exchange rate depreciation as well as large GDP-deflator inflation over the forecast horizon. The expected higher inflation and exchange rate weakness also coincides with base money growth picking after 2019—so recent control of base money is apparently not expected to last.

同样,与2019年根据该计划达成的非常紧缩的货币政策相反,基金现在假设持续的名义汇率贬值以及预测期内的大量GDP-平减指数通胀。预期较高的通货膨胀率和汇率疲软也与2019年后的基础货币增长回升相吻合 - 因此近期对基础货币的控制显然不会持续。

To assess the two factors side-by-side, the next chart shows the cumulative growth in nominal GDP, GDP deflator, and ARSUSD from 2016. Note, the latter measures the percent change in the number of local currency units that can be bought with 1 dollar; this represents a 77% depreciation properly measured against USD over the horizon.

为了并排评估这两个因素,下一个图表显示了2016年名义GDP,GDP平减指数和ARSUSD的累积增长。注意,后者衡量的是可以购买的当地货币单位数量变化百分比1美元;这意味着77%的折旧与美元在地平线上的适当衡量。

Crucially, while the nominal exchange rate has “overshot” through 2019, the program has NGDP growth racing ahead of the weaker exchange rate to bring down the stock of debt-to-GDP—with about ¼ of this is due to the GDP deflator. For this reason, the program document emphasizes “projected real peso appreciation in 2019 will improve debt dynamics.” The 3rd Review does not reveal that this is not expected to materialize alongside continued nominal peso depreciation, with inflation catch up and surge ahead of the exchange rate adjustment. Of course, the real exchange rate proper will be impacted in addition by the average inflation rate amongst trading partners, so these comments leave out this important aspect. But it demonstrates the key contributors to falling debt-to-GDP—namely cumulative NGDP growth, including due to the GDP deflator, running ahead of the weaker exchange rate from 2018.

至关重要的是,虽然名义汇率在2019年已经“超过”,但该计划在汇率走弱之前推动NGDP增长,以降低债务与GDP之比 - 其中约1/4是由于GDP平减指数所致。出于这个原因,该计划文件强调“2019年预计的实际比索升值将改善债务动态。”第三次审查并未显示预期这不会与持续的名义比索贬值一起实现,通货膨胀在交易所之前赶上并飙升费率调整。当然,除了贸易伙伴之间的平均通货膨胀率之外,适当的实际汇率也会受到影响,因此这些评论忽略了这一重要方面。但它证明了债务与GDP之间下降的关键因素 - 即NGDP的累积增长,包括由于GDP平减指数,在2018年汇率走弱之前。

Put another way, the IMF’s DSA hinges on “financial repression”—or, negative real interest rates for investors in both local and foreign currency debt when measured with respect to the local GDP.

另一方面,国际货币基金组织的每日生活津贴依赖于“金融抑制” - 或者就当地国内生产总值衡量的本地和外币债务投资者的负实际利率。

How realistic is that local investors will continue to finance the rollover of domestic debt at substantially negative real yields? Given the risk of default, will non-residents continue to fund Argentina—including the roll-off of IMF funding—at manageable rates? Is the implied nominal interest over the forecast horizon reasonable?

当地投资者将继续为实际收益率大幅下降的国内债务延期提供资金,这是多么现实?鉴于违约风险,非居民是否会继续为阿根廷提供资金 - 包括以可控费率偿还国际货币基金组织的资金?预测范围内的隐含名义利息是否合理?

Here’s where the challenge of interpreting debt sustainability gets messy for Argentina. It crucially hinges on the definition of Federal government and the portfolio choices of non-Federal-government public sector. In short, there’s a lot hanging on the definition of government. The original program document focussed on “gross federal government debt, which includes intra-public-sector debt” including debt owed to the central bank (BCRA, apparently at effectively zero interest), social security (ANSES), and other public sector entities (including provinces). As of end-2017, 48% of Federal debt was owed to other public sector bodies; as of the latest program “About 35 percent of the federal government’s debt is held by other public-sector entities and provinces. Nearly 70 percent of this intra-public-sector debt is denominated in US$, and within this, the majority are low-interest Letras Intransferiblesheld by the BCRA.”

这就是阿根廷解释债务可持续性的挑战变得混乱的地方。它至关重要取决于联邦政府的定义和非联邦政府公共部门的投资组合选择。简而言之,政府的定义很多。最初的计划文件侧重于“联邦政府债务总额,其中包括公共部门内债务”,包括欠中央银行的债务(BCRA,显然实际上是零利息),社会保障(ANSES)和其他公共部门实体(包括省)。截至2017年底,48%的联邦债务欠其他公共部门机构;截至最新计划“联邦政府约35%的债务由其他公共部门实体和省份持有。这种公共部门内部债务中近70%以美元计价,其中大部分是BCRA持有的低息Letras Intransferible。

Against this, when it comes to presenting the Federal government fiscal balance, the interest paid to other public sector entities is removed—see footnote 4 of Table 4 on page 32, where the interest paid “excludes all interest paid to other public sector entities, in line with authorities’ definition.”

与此相反,在提交联邦政府财政平衡时,支付给其他公共部门实体的利息被取消 - 见第32页表4的脚注4,其中支付的利息“不包括支付给其他公共部门实体的所有利息,符合当局的定义。“

So, the Federal debt stock includes intra-public sector holdings, while the Federal fiscal balance strips out public sector interest flows—so the interest flows in the DSA have to add back the interest paid to other public sector entities. Fortunately, the DSA template includes the effective interest rate paid on Federal debt, including to other public sector bodies, as shown in the chart below (page 50).

因此,联邦债务存量包括公共部门内部的持股,而联邦财政平衡剥夺了公共部门的利息流 - 因此,DSA中的利息流量必须增加支付给其他公共部门实体的利息。幸运的是,DSA模板包括联邦债务的实际利率,包括其他公共部门机构,如下图所示(第50页)。

The effective interest rate, “defined as interest payments divided by debt stock (excluding guarantees) at the end of previous year,” dips to 5.1% in 2019, before increasing to 8.2% at the end of the forecast horizon. It is not clear why the effective nominal interest rate dips this year. At program initiation, the effective interest rate for 2019 was pencilled in at 8.6%, though admittedly with lower expected IMF purchases. Regardless, using the debt stock anticipated over the program (Table 7, page 40) we can back out the implied interest paid on Federal debt, including that to other public-sector entities. And the effective interest rate paid increases to ARS2.0 trillion in 2024 (8.2% of ARS24.7 trillion debt as of end-2023) which compares to interest of only ARS0.9 trillion according to the fiscal balance. The document therefore appears to imply an ever-greater share of interest on Federal debt will be paid to other public sector bodies, including the central bank and social security fund. Indeed, by 2024 it seems to imply about 2% of GDP in interest will be paid to other public sector bodies. Regardless, since the program assumes non-Federal public sector rollover of debt—including capitalization of interest by non-financial public sector bodies—sustainability hinges on a high inflation and therefore a negative real effective interest, much to other public sector bodies, through 2024.

实际利率“定义为利息支付除以上年末的债务存量(不包括担保),”在2019年下降至5.1%,然后在预测期限结束时增加至8.2%。目前尚不清楚为什么今年有效名义利率会下降。在启动计划时,2019年的实际利率为8.6%,尽管国际货币基金组织的预期购买量较低。无论如何,使用预期的债务存量(表7,第40页),我们可以撤销对联邦债务支付的隐含利息,包括对其他公共部门实体的利息。 2024年支付的实际利率增加到2.0万亿卢比(截至2023年末,ARS24.7万亿债务的8.2%),而根据财政平衡,这一利率仅为0.1万亿卢比。因此,该文件似乎意味着联邦债务的利息份额将越来越大,将支付给其他公共部门机构,包括中央银行和社会保障基金。实际上,到2024年,它似乎意味着大约2%的GDP利息将支付给其他公共部门机构。无论如何,由于该计划假设非联邦公共部门的债务转期 - 包括非金融公共部门机构的利息资本化 - 可持续性取决于高通胀,因此对其他公共部门机构来说,实际上是负实际实际利益,到2024年。

There is much more that can be said about Argentina’s program—looking at the balance of payments, monetary accounts, and likely future path of GDP. But narrowing in on the DSA is enough to get a smell-check as to the realism of the program. And there are substantial problems with the sustainability analysis. But future adjustment will likely take a different form—with larger compression of domestic demand, greater current account adjustment, and a surplus of domestic saving that can be used to finance public sector in outer years as the economy stabilises.

关于阿根廷的计划,可以说更多的是关于国际收支,货币账户以及可能的未来GDP路径。但是,缩小DSA就足以对程序的真实性进行嗅觉检查。可持续性分析存在实质性问题。但未来的调整可能采取不同的形式 - 国内需求压缩较大,经常账户调整幅度较大,国内储蓄过剩可用于在经济稳定时为外部公共部门提供资金。

But it is most likely that nominal and real interest rates will be higher, and the stock of debt stuck at a higher level for longer—but the economy will stabilise and inflation moderate. This will raise the prospect of debt restructuring after the elections in October, once the IMF narrows in on more sensible macroeconomics. In the meantime, the greater damage to real incomes that will be materialise creates the possibility of a less outward-looking and more populist government. Will the IMF agree to rollover the program with a permanently higher stock of debt under a Macri government? Or will the IMF look to restructure debt in an orderly way? Or will Cristina decide to turn away from financial markets, creating a disorderly resolution to Argentina’s external debt challenge once more? A sensible view of the DSA suggests any of these outcomes could materialise.

但最有可能的是名义利率和实际利率会更高,债务存量更长时间处于更高水平 - 但经济将趋于稳定,通胀温和。一旦国际货币基金组织缩小了更明智的宏观经济学,这将提高10月大选后债务重组的前景。与此同时,对实际收入的更大损害将会实现,这样就有可能形成一个不那么外向和更民粹主义的政府。国际货币基金组织是否会同意在Macri政府下以永久性更高的债务存量来推翻该计划?或者国际货币基金组织是否会有秩序地重组债务?或者克里斯蒂娜是否会决定放弃金融市场,再次对阿根廷的外债挑战进行无序解决? DSA的合理观点表明,任何这些结果都可能实现。

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