Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis
This paper relaxes some key assumptions in the probabilistic approach to fiscal sustainability. First, the authors identify structural breaks over the sample period used to estimate the covariance matrix of the shocks to the debt ratios. Second, the assumption of normality of the shocks is dropped by modeling their respective empirical distribution directly, which makes it possible to quantify asymetries and thick tails. Third, the use of fiscal reaction functions is avoided by focusing attention on debt-stabilizing balances.
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dig-okr-1098667762024-08-08T16:36:40Z Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis Frank, Nathaniel Ley, Eduardo AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES This paper relaxes some key assumptions in the probabilistic approach to fiscal sustainability. First, the authors identify structural breaks over the sample period used to estimate the covariance matrix of the shocks to the debt ratios. Second, the assumption of normality of the shocks is dropped by modeling their respective empirical distribution directly, which makes it possible to quantify asymetries and thick tails. Third, the use of fiscal reaction functions is avoided by focusing attention on debt-stabilizing balances. 2012-05-31T19:01:14Z 2012-05-31T19:01:14Z 2008-09 http://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis https://hdl.handle.net/10986/6776 English Policy Research Working Paper No. 4709 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank application/pdf text/plain World Bank, Washington, DC |
| institution |
Banco Mundial |
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DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-okr |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca del Banco Mundial |
| language |
English |
| topic |
AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES |
| spellingShingle |
AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES Frank, Nathaniel Ley, Eduardo Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| description |
This paper relaxes some key assumptions
in the probabilistic approach to fiscal sustainability.
First, the authors identify structural breaks over the
sample period used to estimate the covariance matrix of the
shocks to the debt ratios. Second, the assumption of
normality of the shocks is dropped by modeling their
respective empirical distribution directly, which makes it
possible to quantify asymetries and thick tails. Third, the
use of fiscal reaction functions is avoided by focusing
attention on debt-stabilizing balances. |
| topic_facet |
AVERAGE DEBT BANK POLICY BENCHMARK BOND BOND INDEX BORROWING BORROWING COSTS BUSINESS CYCLE CURRENCY DEPRECIATION DEBT DEBT DYNAMICS DEBT LEVEL DEBT LEVELS DEBT RATIOS DEBT STOCK DEBT SUSTAINABILITY DECREASING DEBT ECONOMIC ANALYSIS EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES EMERGING MARKETS ENDOGENOUS VARIABLES EXCHANGE RATE EXCHANGE RATE MOVEMENTS EXCHANGE RATES FINANCIAL CRISES FINANCIAL DISTRESS FINANCIAL INSTABILITY FISCAL POLICY FISCAL POSITION FISCAL SUSTAINABILITY FORECASTS FOREIGN MARKETS GDP GDP DEFLATOR GOVERNMENT DEBT GROWTH RATES INTEREST RATE INTEREST RATE CHANGES INTEREST RATE SHOCKS INTEREST RATE SPREADS INTEREST RATES INTERNATIONAL BANK LOCAL CURRENCY LONG TERM DEBT LOW INTEREST RATES MATURITY MATURITY STRUCTURE MATURITY STRUCTURES OUTPUT OUTPUT GAP PROBABILITIES PROBABILITY REAL GDP RISK ASSESSMENT RISK EXPOSURE STRUCTURAL CHANGE SUSTAINABILITY ANALYSIS T-BILL T-BILL RATES |
| author |
Frank, Nathaniel Ley, Eduardo |
| author_facet |
Frank, Nathaniel Ley, Eduardo |
| author_sort |
Frank, Nathaniel |
| title |
Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| title_short |
Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| title_full |
Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| title_fullStr |
Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| title_full_unstemmed |
Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis |
| title_sort |
refinements to the probabilistic approach to fiscal sustainability analysis |
| publisher |
World Bank, Washington, DC |
| publishDate |
2008-09 |
| url |
http://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis https://hdl.handle.net/10986/6776 |
| work_keys_str_mv |
AT franknathaniel refinementstotheprobabilisticapproachtofiscalsustainabilityanalysis AT leyeduardo refinementstotheprobabilisticapproachtofiscalsustainabilityanalysis |
| _version_ |
1807158376825618432 |