As done in Figure 3 for the cyclicality parameter, we first establish some stylized facts for our measures of volatility by comparing them across the two country groups (Figure 4). A few stylized facts emerge. _First_ , as shown in Figure 4A, the volatility of primary expenditures, government consumption, and revenues is much higher for EMDEs than for advanced economies. The difference between the means of the two groups of countries is statistically significant at the 1 percent level. It is interesting that the gap in the volatility of government consumption is larger than that for primary expenditures, highlighting the role of government consumption in the volatility of fiscal policy.

_Second_ , the primary balance volatility is smaller and closer between the two groups compared with the other fiscal policy indicators, but one must be careful in doing a direct comparison to the other two variables. A 1 percent exogenous change in government expenditures for an average EMDE only leads to a change in the primary balance (as a percent of GDP) of about 0.3 percent because government size is about 30 percent on average.<sup>13</sup> If we adjust for this factor the differences between the two indicators (expenditures and the primary balance) are not that large.

_Third_ , as shown in Figure 4B, the group of commodity exporters displays a much larger volatility of fiscal policy compared to non-commodity exporters or to either of the other two groups in Figure 4A. The difference between the means for commodity exporters and non-commodity exporters is significant at the 1 percent level. As in the case of EMDEs, government consumption is more volatile than the other indicators, although by a small margin.

Now we look at how this volatility has changed over the years. We make use of the results from equation (1) and calculate averages of the standard deviation of the residuals over five-year rolling windows. Figure 5 displays the results for the four fiscal policy indicators for the group of EMDEs. While the patterns across the four charts are not identical, there is an overall downward trend in at least three of the indicators: primary expenditures, government consumption, and revenues. The trend for the primary balance indicator is less obvious although there is a clear decline in volatility in the years that followed the GFC which was only interrupted by the volatility associated with the COVID crisis.<sup>14</sup> We reproduce the same analysis now for the group of commodity exporters and also explore the correlation between fiscal volatility and energy prices (Figure 6). The patterns for fiscal volatility indicators are similar, with a clear downward trend in the volatility of government consumption and revenues. The trend is less obvious in the case of primary expenditures or the primary balance although, as in the case of EMDEs, there was a period of low volatility following the GFC and before the pandemic-induced crisis. Further, there does not appear to be any clear relationship between fiscal volatility and energy prices over the sample period although the volatility in primary

> 13 ‘Government size’ is measured as the share of general government total expenditure in GDP (from the IMF WEO database).

> 14 We have reproduced these results for the group of advanced economies, although not shown here for brevity. The pattern is weaker. While there is some decline in the volatility of primary expenditures following the sharp spike in the pre-2000 period, there is almost no decline in volatility for the other three indicators.

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