A stochastic indicator for sovereign debt sustainability
We propose a stochastic indicator to assess government debt sustainability. This indicator combines the effect of economic uncertainty –represented by stochastic simulations of interest and growth rates– with the expected fiscal response that provides information on the long-term country specific at...
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ftunivutrecht:oai:dspace.library.uu.nl:1874/337002 2023-07-23T04:19:57+02:00 A stochastic indicator for sovereign debt sustainability Lukkezen, J.H.J. Rojas-Romagosa, Hugo Econometrie en kwantitatieve methoden UU LEG Research UUSE Multidisciplinary Economics UU LEG Research USE Tjalling C. Koopmans Institute 2016 image/pdf https://dspace.library.uu.nl/handle/1874/337002 en eng 0015-2218 https://dspace.library.uu.nl/handle/1874/337002 info:eu-repo/semantics/OpenAccess public debt fiscal policy debt sustainability stochastic simulations Economics Econometrics and Finance(all) SCI and SSCI Journals Article 2016 ftunivutrecht 2023-07-02T01:48:58Z We propose a stochastic indicator to assess government debt sustainability. This indicator combines the effect of economic uncertainty –represented by stochastic simulations of interest and growth rates– with the expected fiscal response that provides information on the long-term country specific attitude towards fiscal sustainability. We apply our framework on post-war data for nine OECD countries and find that our indicator –the potential increase in debt in bad states of the world– distinguishes countries that have sustainability concerns: Italy, Spain, Portugal and Iceland, from those that do not: United States, United Kingdom, Netherlands, Belgium and Germany. Article in Journal/Newspaper Iceland Utrecht University Repository |
institution |
Open Polar |
collection |
Utrecht University Repository |
op_collection_id |
ftunivutrecht |
language |
English |
topic |
public debt fiscal policy debt sustainability stochastic simulations Economics Econometrics and Finance(all) SCI and SSCI Journals |
spellingShingle |
public debt fiscal policy debt sustainability stochastic simulations Economics Econometrics and Finance(all) SCI and SSCI Journals Lukkezen, J.H.J. Rojas-Romagosa, Hugo A stochastic indicator for sovereign debt sustainability |
topic_facet |
public debt fiscal policy debt sustainability stochastic simulations Economics Econometrics and Finance(all) SCI and SSCI Journals |
description |
We propose a stochastic indicator to assess government debt sustainability. This indicator combines the effect of economic uncertainty –represented by stochastic simulations of interest and growth rates– with the expected fiscal response that provides information on the long-term country specific attitude towards fiscal sustainability. We apply our framework on post-war data for nine OECD countries and find that our indicator –the potential increase in debt in bad states of the world– distinguishes countries that have sustainability concerns: Italy, Spain, Portugal and Iceland, from those that do not: United States, United Kingdom, Netherlands, Belgium and Germany. |
author2 |
Econometrie en kwantitatieve methoden UU LEG Research UUSE Multidisciplinary Economics UU LEG Research USE Tjalling C. Koopmans Institute |
format |
Article in Journal/Newspaper |
author |
Lukkezen, J.H.J. Rojas-Romagosa, Hugo |
author_facet |
Lukkezen, J.H.J. Rojas-Romagosa, Hugo |
author_sort |
Lukkezen, J.H.J. |
title |
A stochastic indicator for sovereign debt sustainability |
title_short |
A stochastic indicator for sovereign debt sustainability |
title_full |
A stochastic indicator for sovereign debt sustainability |
title_fullStr |
A stochastic indicator for sovereign debt sustainability |
title_full_unstemmed |
A stochastic indicator for sovereign debt sustainability |
title_sort |
stochastic indicator for sovereign debt sustainability |
publishDate |
2016 |
url |
https://dspace.library.uu.nl/handle/1874/337002 |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
0015-2218 https://dspace.library.uu.nl/handle/1874/337002 |
op_rights |
info:eu-repo/semantics/OpenAccess |
_version_ |
1772183507413499904 |