Search results for "Debt-to-GDP ratio"

showing 6 items of 16 documents

A wavelet analysis of US fiscal sustainability

2015

Abstract In this paper, we reassess the relationship between primary deficit and lagged debt to GDP ratio (Bohn, 1998), to test for US debt sustainability over the period 1795–2012. Our analysis is rooted in the wavelet domain enabling the detection of interesting patterns and otherwise hidden information. We find evidence of long term fiscal sustainability but only up until 1995 and also we show that governments tend to respond more vigorously to budget deficits when the level of debt is high rather than low.

MacroeconomicsEconomics and EconometricsWavelet coherencemedia_common.quotation_subjecteducationDebt-to-GDP ratioPrimary deficitSettore SECS-P/05 - EconometriahumanitiesTerm (time)WaveletDebtSustainabilityEconomicsWavelet coherence Public debt sustainability Time–frequency decompositionFiscal sustainabilityhealth care economics and organizationsmedia_common
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Fiscal sustainability in the EU: From the short-term risk to the long-term challenge

2015

Abstract The paper analyses fiscal sustainability of public debt using a dynamic computable general equilibrium model. First, we identify the short-term risk for fiscal stress at country level; second, we investigate the assumption of convergence towards the government debt threshold (medium-term challenge); and, third, the requirement that debt projections do not show unsustainable trends (long-term challenge). The empirical implementation includes 18 EU Member States. Our findings show that the constant tax rate that stabilizes the public debt converges to 50 percentage of GDP for all the sample countries and tax revenues are the main driving forces for fiscal sustainability. Also our fin…

MacroeconomicsEconomics and Econometricsmedia_common.quotation_subjectPublic debt.Debt-to-GDP ratioGovernment debtGovernment expenditureTax rateTax revenueDynamic computable general equilibrium modelSettore SECS-P/03 - Scienza Delle FinanzeDebtEconomicsGDP growthInternal debtDebt levels and flowsFiscal sustainabilitymedia_commonConstant tax rate
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Can re-regulation of the financial sector strike back public debt?

2015

This paper analyzes the impact of financial sector policy changes on the dynamics of public debt. Using a panel of 89 countries from 1973 to 2005, we find that while the implementation of (large) financial liberalisation policies significantly raises the public debt growth rate, the adoption of financial re-regulation measures leads to a mild reduction of public debt. Looking at the different typologies of financial sector policy changes, we show that stricter banking supervision, privatisations and restrictions to international capital flows contribute to a fast decline of the growth rate of public debt. In contrast, the removal of entry barriers and the elimination of interest rate contro…

MacroeconomicsEconomics and Econometricsmedia_common.quotation_subjecteducationDebt-to-GDP ratioSocial SciencesFinancial ratioMonetary economicsFinancial re-regulationDebt0502 economics and businessFinancial analysisEconomics050207 economicsDebt levels and flowshealth care economics and organizationsFinancial liberalisation050205 econometrics media_commonPublic debtReform05 social sciencesCiências Sociais::Economia e Gestão1. No povertySettore SECS-P/02 Politica EconomicaExternal debthumanitiesReformsReversalDebt-to-equity ratioReversals8. Economic growth:Economia e Gestão [Ciências Sociais]Internal debt
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Implicit Public Debt Thresholds: An Empirical Exercise for the Case of Spain

2017

We extend previous work that combines the Value at Risk approach with estimation of the correlation pattern of the macroeconomic determinants of public debt dynamics by means of Vector Auto Regressions (VARs). These estimated models are used to compute the probability that the public debt ratio exceeds a given threshold, by means of Monte Carlo simulations. We apply this methodology to Spanish data and compute time-series probabilities to analyse the possible correlation with market risk assessment, measured by the spread over the German bond. Taking into account the high correlation between the probability of crossing a pre-specified debt threshold and the spread, we go a step further and …

Market riskFinancial economicsBondDebtmedia_common.quotation_subjectMonte Carlo methodDebt-to-GDP ratioEconomicsEconometricsDebt ratioGearing ratioValue at riskmedia_commonSSRN Electronic Journal
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Risk Management Optimization for Sovereign Debt Restructuring

2015

Abstract Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed conditional Debt-at-Risk. A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, m…

RestructuringFinancial economicsmedia_common.quotation_subjectGeography Planning and DevelopmentRecourse debtDebt-to-GDP ratioMonetary economicsDevelopmentportfolio optimizationstochastic programmingsovereign debtSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Debt0502 economics and businessEconomics050207 economicsDebt levels and flowsRisk managementmedia_common050208 financebusiness.industryconditional Value-at-RiskValue-at-RiskRisk metric05 social sciencesscenario analysiGreek crisiExternal debtExpected shortfallDebt restructuringdebt restructuringInternal debtPortfolio optimizationbusinessGeneral Economics Econometrics and FinanceValue at riskSenior debtJournal of Globalization and Development
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Sub-central Governments and Debt Crisis in Spain over the Period 2000–2011

2013

This chapter studies the quantitative evolution of sub-central sovereign debt in Spain over the period 2000–2011 and compares it with the evolution of central debt. As an intense process of political and fiscal decentralization has taken place since the mid eighties, the paper examines whether this drive to decentralization has been paralleled by any fiscally undisciplined behavior on the part of Spanish sub-central governments over the period considered. Some key formal legal rules and informal behavioral norms present at sub-central politics in Spain are examined, including legal controls on borrowing by sub-central governments. The empirical analysis will be based on the internationally …

biologyEconomic policymedia_common.quotation_subjectDebt-to-GDP ratioEurosExternal debtbiology.organism_classificationDebtCentral governmentBusinessInternal debtDebt crisismedia_commonPublic finance
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