Search results for " DEB"
showing 10 items of 528 documents
Is external debt sustainable? A probabilistic approach
2020
Abstract We develop a probabilistic approach to measure a country's external debt sustainability. Using data on international investment position and balance of payments from the International Monetary Fund, we estimate a vector autoregressive model for 38 countries (11 developed and 27 developing). Using the estimated parameters, we perform a Monte Carlo simulation to compute the distribution of the capacity to repay for each country. A large portion of the projected distribution to the right of current debt is a warning indicator, signalling the need for devaluation. We provide simulations for each country. One scenario is where the discount factor is lower than 1. According to the litera…
Determinants of sub-central European government debt
2017
Abstract The aim of this paper is to analyze the determinants of sub-central government debt in Europe (Italy, France, Austria, Germany, Belgium and Spain) through estimation for each State based on corresponding panel data from 1996 to 2010. Furthermore, we estimate the debt model using a joint sample, consolidating conclusions on the most influential variables in terms of public debt. A comparative analysis of institutional frameworks in Europe shows that relationships between central and sub-central tax authorities have common traits, although the extent of change in each country remains unknown. In sum, this study shows that sub-sovereign government budgets are counter-cyclical, that ec…
Financial Integration and Fiscal Policy
2011
The aim of this paper is to assess the impact of financial integration on fiscal policy. Using an unbalanced panel of 31 OECD countries from 1970 to 2009, the paper shows that financial integration has significant disciplinary effects by reducing fiscal deficits and (discretionary) spending volatility. In addition, we find that financial integration affects the composition of government debt and enhances risk-sharing by increasing the share of foreign debt to the total. The results are robust to both de jure and de facto measures of financial integration, different measures of budget balance, and different estimation strategies.
Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?
2017
This paper investigates the presence of time-varying causal linkages in mean and variance between oil price changes and stock returns for six major oil-importing countries (France, Germany, Italy, Spain, the UK and the US) in a multiscale framework that combines wavelet analysis and a modified version of the dynamic causality test of Lu, Hong, Wang, Lai, and Liu (2014). The results show significant bidirectional causal relations between oil and stock markets at the different time horizons for all countries. The causal links tend to be stronger at coarser scales and in periods of financial turmoil, mainly during the recent global financial and European sovereign debt crises. This evidence pr…
Asymmetric decentralisation, economic cycle, regional and local government’s borrowing in Spain
2014
This paper investigates the evolution of sub-central government borrowing in Spain over the period 1996–2011. The arguments and figures provided show that the intense process of political and fiscal decentralisation that took place over the 1990s and 2000s did not lead to higher debt ratios in terms of GDP at these tiers of government until 2007. Although a kind of overspending bias was in effect until the late 2000s, the paper shows that the evolution of GDP and tax revenues provided regional and local governments with enough resources to vigorously pursue their devolved public policy responsibilities and still keep their debt ratios under control. However, since 2008, when the world finan…
Budget burden and benefit visibility of European central level governments
2001
Central levels of government in European Union member countries are different regarding their basic institutions, powers, fiscal systems, accountability, public performance management, financial control bodies, and the like. In spite of this, the economic operation of such levels of government should be analyzed, evaluated, and compared from an efficiency viewpoint. This paper presents general indicators to systematically assess the burden and benefit visibility of public budgets of the International Monetary Fund member countries and specific estimates for the central subsystems of public revenue and expenditure now in force in such European countries. An important policy implication of th…
Financial crises in Spain: lessons from the last 150 years
2012
Financial crises are not unique to current financial systems. Are crises alike? Have they become more frequent, longer lasting and more severe since the 20th century? What does history tell us? The objective of this paper is to study the financial crises that have occurred in Spain over the last 150 years. We consider different types of crises (banking, currency and stock market crises), together with all their possible combinations, estimate their frequency by period and measure their length and depth. The main conclusion we obtain is that Spanish crises have been more frequent than in the rest of the world and have been more severe and more complex since 1973, as the 2007 crisis is confir…
The Deadly Embrace between the Banks and the State in Spain, 1850-2015
2017
espanolEste trabajo analiza las relaciones financieras entre el sector bancario y la Hacienda publica en la Espana contemporanea. Los sistemas fiscales han sido insuficientes, generando un deficit presupuestario cronico. Este forzo una gestion irresponsable de la deuda publica hasta 1987. Ello impidio que los deficits presupuestarios pudiesen financiarse con deuda emitida en las bolsas, y obligo al Estado a recurrir a la banca (publica y privada). La evolucion de las nuevas series de las carteras de deuda publica se explica por la busqueda de rentabilidad de los bancos y por los cambios en la regulacion bancaria y la represion financiera que favorecieron al statu quo bancario. Se analizan l…
Financial stress and sovereign debt composition
2015
"Published online: 19 Oct 2015"
Household debt and labor market fluctuations
2011
Abstract The co-movements of labor productivity with output, total hours, vacancies and unemployment have changed since the mid 1980s. This paper offers an explanation for the sharp break in the fluctuations of labor market variables based on endogenous labor supply decisions following the mortgage market deregulation. We set up a search model with efficient bargaining and financial frictions, in which impatient borrowers can take an amount of credit that cannot exceed a proportion of the expected value of their real estate holdings. When borrowers' equity requirements are low, the impact of a positive technology shock on the marginal utility of consumption is strengthened, which in turn re…