Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
A Stochastic Framework For Public Debt Sustainability Analysis
Download A Stochastic Framework For Public Debt Sustainability Analysis full books in PDF, epub, and Kindle. Read online A Stochastic Framework For Public Debt Sustainability Analysis ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis A Stochastic Framework for Public Debt Sustainability Analysis by : C. Gabriel Di Bella
Download or read book A Stochastic Framework for Public Debt Sustainability Analysis written by C. Gabriel Di Bella and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a framework for public debt sustainability analysis (DSA) that is complementary to that generally used by IFIs. The DSA in this paper has three components: (i) an integrated and consistent accounting framework for the Consolidated Public Sector (CPS); (ii) the estimation of an appropriate, and country-specific debt threshold, following the approach proposed by Reinhart, Rogoff and Savastano (2003); and (iii) a method for the calculation of the CPS primary balance to achieve the desired debt targets, without resorting to ad-hoc assumptions for the values of the macroeconomic variables during the planning horizon, in the spirit of Garcia and Rigobon (2004) and Celasun, Debrun and Ostry (2006). The paper uses this approach to analyze the sustainability of the Dominican Republic's Public Debt.
Book Synopsis A Stochastic Framework for Public Debt Sustainability Analysis by : Gabriel Di Bella
Download or read book A Stochastic Framework for Public Debt Sustainability Analysis written by Gabriel Di Bella and published by International Monetary Fund. This book was released on 2008-03 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a framework for public debt sustainability analysis (DSA) that is complementary to that generally used by IFIs. The DSA in this paper has three components: (i) an integrated and consistent accounting framework for the Consolidated Public Sector (CPS); (ii) the estimation of an appropriate, and country-specific debt threshold, following the approach proposed by Reinhart, Rogoff and Savastano (2003); and (iii) a method for the calculation of the CPS primary balance to achieve the desired debt targets, without resorting to ad-hoc assumptions for the values of the macroeconomic variables during the planning horizon, in the spirit of Garcia and Rigobon (2004) and Celasun, Debrun and Ostry (2006). The paper uses this approach to analyze the sustainability of the Dominican Republic's Public Debt.
Book Synopsis Quantifying the Sustainability of Public Debt by : Cansın Kemal Can
Download or read book Quantifying the Sustainability of Public Debt written by Cansın Kemal Can and published by Cambridge Scholars Publishing. This book was released on 2021-06-09 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite its beneficial aspects, public debt can be hazardous for macroeconomic performance should it reach unrepayable levels as a consequence of snowballing explosive trends. Failure to monitor the existing trend in public debt in order to detect such divergences from the stable path, and the lack of an adaptive public financial management can potentially culminate in a public debt crisis whose disruptive economic impacts can permeate all sectors of the economy very swiftly. However, public debt sustainability is a vague concept with no straightforward operational definitions. In addition, its multi-faceted nature is an impediment for the implementation of real-world appraisal of the fiscal posture from a stability viewpoint. As such, quantifying the public debt sustainability is essential for overhauling the fiscal policies so as to avoid a potential debt crisis stemming from malfunctioning fiscal policies. This book provides the reader with a practical and straightforward framework that outlines a tool for undertaking public debt sustainability analysis. In order to guide further empirical investigations, the discussion in this book is underpinned by a real-world application of the model which highlights the practical aspects of the tool with reference to time-varying empirical evidence from a developing country.
Book Synopsis A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon by : Julian di Giovanni
Download or read book A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon written by Julian di Giovanni and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-04-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives "fan charts" to depict the probability distribution of the government debt to GDP ratio under a medium-term adjustment scenario, as a result of shocks to GDP growth and interest rates. The distribution of shocks is derived from the past shocks to these variables and the related variance covariance. Because we are interested in assessing the sustainability of a particular policy scenario, we do not consider independent fiscal policy shocks or the endogenous policy response to shocks.
Book Synopsis Public Debt Sustainability and Management in a Compound Option Framework by : Mr.Jorge A. Chan-Lau
Download or read book Public Debt Sustainability and Management in a Compound Option Framework written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2010-01-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces the Asset and Liability Management (ALM) compound option model. The model builds on the observation that the public sector net worth in a multi-period setting corresponds to the value of an option on an option on total government assets. Hence, the ALM compound option model is better suited for analyzing and evaluating the risk profile of public debt than existing one-period models, and is especially useful for analyzing the soundness of exit strategies from the large fiscal expansions undertaken by G-20 countries in the wake of the recent financial crisis. As an illustration, the model is used to analyze the risk profile and sustainability of Australia's public debt under different policies.
Book Synopsis A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon by : Julian di Giovanni
Download or read book A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon written by Julian di Giovanni and published by . This book was released on 2014 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives quot;fan chartsquot; to depict the probability distribution of the government debt to GDP ratio under a medium-term adjustment scenario, as a result of shocks to GDP growth and interest rates. The distribution of shocks is derived from the past shocks to these variables and the related variance covariance. Because we are interested in assessing the sustainability of a particular policy scenario, we do not consider independent fiscal policy shocks or the endogenous policy response to shocks.
Book Synopsis Public Debt Sustainability Under Uncertainty by : Rossen Rozenov
Download or read book Public Debt Sustainability Under Uncertainty written by Rossen Rozenov and published by International Monetary Fund. This book was released on 2017-03-13 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper offers an approach to assessing the sustainability of public debt taking into account the effect of fiscal policy on output, as well as uncertainty in the model parameters and system dynamics. Uncertainty is specified in general terms, and the analysis is based on the notion of invariant sets. Examples are provided to illustrate how the method can be applied in practice.
Book Synopsis Public Debt Sustainability in Developing Asia by : Benno Ferrarini
Download or read book Public Debt Sustainability in Developing Asia written by Benno Ferrarini and published by . This book was released on 2015 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Risk-Based Debt Sustainability Framework by : Ms.Elena Loukoianova
Download or read book A Risk-Based Debt Sustainability Framework written by Ms.Elena Loukoianova and published by International Monetary Fund. This book was released on 2008-02-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a new framework for the analysis of public sector debt sustainability. The framework uses concepts and methods from modern practice of contingent claims to develop a quantitative risk-based model of sovereign credit risk. The motivation in developing this framework is to provide a clear and workable complement to traditional debt sustainability analysis which-although it has many useful applications-suffers from the inability to measure risk exposures, default probabilities and credit spreads. Importantly, this new framework can be adapted for policy analysis, including debt and reserve management.
Book Synopsis Assessing Public Debt Sustainability in Mauritania with a Stochastic Framework by : William Baghdassarian
Download or read book Assessing Public Debt Sustainability in Mauritania with a Stochastic Framework written by William Baghdassarian and published by . This book was released on 2014 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a stochastic framework for assessing public debt sustainability and applies it to the case of Mauritania. The sustainability assessment projects solvency and liquidity indicators -- public debt stock and gross financing needs relative to GDP -- for 2014-23. The analysis uses deterministic scenarios and stochastic simulations to analyze policy options and fiscal risks. The study relies on simple econometric models to generate forecasts of key macroeconomic variables driving the public debt dynamics and to compute debt-distress probabilities and debt thresholds. The study builds on basic techniques to determine optimal portfolios suitable as benchmarks for public debt management. A main result is that, if Mauritania maintains a strong growth performance and pursues sound policies to balance the budget and take advantage of concessional financing opportunities, it could reduce the public debt from 74 percent of GDP in 2013 to 30 percent by 2023, and the gross financing needs from 12 percent of GDP to 4 percent. Further scaling up capital spending is likely to deteriorate public debt sustainability because the estimated (marginal) growth-dividend is small. A more promising avenue would be to improve the quality of public investment and institutions, as opposed to the volume of capital expenditure. Different debt strategies can significantly affect the liquidity needs and the on-budget interest bill. But it is the fiscal policy geared toward balanced budgets that ultimately would permit Mauritania to improve the solvency indicators, and thus the public debt sustainability.
Book Synopsis Assessing Public Debt Sustainability in Mauritania with a Stochastic Framework by : William Baghdassarian
Download or read book Assessing Public Debt Sustainability in Mauritania with a Stochastic Framework written by William Baghdassarian and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a stochastic framework for assessing public debt sustainability and applies it to the case of Mauritania. The sustainability assessment projects solvency and liquidity indicators -- public debt stock and gross financing needs relative to GDP -- for 2014-23. The analysis uses deterministic scenarios and stochastic simulations to analyze policy options and fiscal risks. The study relies on simple econometric models to generate forecasts of key macroeconomic variables driving the public debt dynamics and to compute debt-distress probabilities and debt thresholds. The study builds on basic techniques to determine optimal portfolios suitable as benchmarks for public debt management. A main result is that, if Mauritania maintains a strong growth performance and pursues sound policies to balance the budget and take advantage of concessional financing opportunities, it could reduce the public debt from 74 percent of GDP in 2013 to 30 percent by 2023, and the gross financing needs from 12 percent of GDP to 4 percent. Further scaling up capital spending is likely to deteriorate public debt sustainability because the estimated (marginal) growth-dividend is small. A more promising avenue would be to improve the quality of public investment and institutions, as opposed to the volume of capital expenditure. Different debt strategies can significantly affect the liquidity needs and the on-budget interest bill. But it is the fiscal policy geared toward balanced budgets that ultimately would permit Mauritania to improve the solvency indicators, and thus the public debt sustainability.
Book Synopsis Assessing Debt Sustainability in Emerging Market Economies Using Stochastic Simulation Methods by : Doug Hostland
Download or read book Assessing Debt Sustainability in Emerging Market Economies Using Stochastic Simulation Methods written by Doug Hostland and published by World Bank Publications. This book was released on 2006 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies stochastic simulation methods to assess debt sustainability in emerging market economies and provide probability measures for projections of the external and public debt burden over the medium term. The vulnerability of public debt to adverse shocks is determined by a number of interrelated factors, including the volatility of output, financial fragility, the endogenous response of the risk premium, and sudden stops in private capital flows. The vulnerability of external debt is sensitive to the determination of the exchange rate and to the pricing of traded goods. We show that fiscal policy can act in a preemptive manner to prevent the debt burden from rising significantly over the medium term. This requires flexibility in fiscal planning, which many emerging market economies lack. Emerging market economies therefore face a difficult trade-off between managing the risk of a debt crisis and pursuing other important fiscal policy objectives.
Book Synopsis Debt Sustainability Analysis for Euro Area Sovereigns by :
Download or read book Debt Sustainability Analysis for Euro Area Sovereigns written by and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The euro area sovereign debt crisis has highlighted the importance of reducing public debt levels and building up sufficient fiscal buffers during normal and good times. It has also reaffirmed the need for a thorough debt sustainability analysis (DSA) to act as a warning system for national policies. This paper introduces a comprehensive DSA framework for euro area sovereigns that could be used for analysis of fiscal risks and vulnerabilities. Specifically, this framework consists of three main building blocks: (i) a deterministic DSA, which embeds debt simulations under a benchmark and various narrative shock scenarios; (ii) a stochastic DSA, providing for a probabilistic approach to debt sustainability; and (iii) other relevant indicators capturing liquidity and solvency risks. The information embedded in the three main DSA blocks can be summarised in a heat map, which can provide guidance on the overall assessment of risks to debt sustainability. This method reflects the need to have a broad-based assessment, cross-checking information and perspectives from various sources with a view to deriving a robust debt sustainability assessment.
Book Synopsis Debt Sustainability Analysis for Euro Area Sovereigns by : Othman Bouabdallah
Download or read book Debt Sustainability Analysis for Euro Area Sovereigns written by Othman Bouabdallah and published by . This book was released on 2017 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The euro area sovereign debt crisis has highlighted the importance of reducing public debt levels and building up sufficient fiscal buffers during normal and good times. It has also reaffirmed the need for a thorough debt sustainability analysis (DSA) to act as a warning system for national policies. This paper introduces a comprehensive DSA framework for euro area sovereigns that could be used for analysis of fiscal risks and vulnerabilities. Specifically, this framework consists of three main building blocks: (i) a deterministic DSA, which embeds debt simulations under a benchmark and various narrative shock scenarios; (ii) a stochastic DSA, providing for a probabilistic approach to debt sustainability; and (iii) other relevant indicators capturing liquidity and solvency risks. The information embedded in the three main DSA blocks can be summarised in a heat map, which can provide guidance on the overall assessment of risks to debt sustainability. This method reflects the need to have a broad-based assessment, cross-checking information and perspectives from various sources with a view to deriving a robust debt sustainability assessment.
Book Synopsis Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies by : Philippe D Karam
Download or read book Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies written by Philippe D Karam and published by International Monetary Fund. This book was released on 2006-12 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which allow assessment of external and public debt in a unified framework; public and external debt, which both have an explicit maturity structure along with a distinction between denomination in domestic versus foreign currency to facilitate debt management analysis; monetary and fiscal policy, which are endogenous and specified using explicit forward-looking policy rules; an endogenous risk premium on public and external debt; and a mechanism for invoking a sudden stop in private capital flows. The paper provides an overview of the basic structure of the model, outlines the methodology used to calibrate the parameters, and illustrates the key properties of the model with reference to dynamic responses of selected variables to shocks of interest.
Book Synopsis Stochastic Debt Sustainability Analysis for Sovereigns and the Scope for Optimization Modeling by : Andrea Consiglio
Download or read book Stochastic Debt Sustainability Analysis for Sovereigns and the Scope for Optimization Modeling written by Andrea Consiglio and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitiuous, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the proposed models.
Book Synopsis Public Debt Sustainability in Developing Asia by : Benno Ferrarini
Download or read book Public Debt Sustainability in Developing Asia written by Benno Ferrarini and published by Routledge. This book was released on 2012 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addressing the global financial crisis has required fiscal intervention on a substantial scale by governments around the world. The consequent buildup of public debt, in particular its sustainability, has moved to center stage in the policy debate. If the Asia and Pacific region is to continue to serve as an engine for global growth, its public debt must be sustainable. Public Debt Sustainability in Developing Asia addresses this issue for Asia and the Pacific as a whole as well as for three of the most dynamic economies in the region: the People’s Republic of China, India, and Viet Nam. The book begins with a discussion of the reasons for increased attention to debt-related issues. It also introduces fiscal indicators for the Asian Development. Bank’s developing member countries and economies. The sustainability of their debt is assessed through extant approaches and with the most up-to-date data sources. The book also surveys the existing literature on debt sustainability, outlining the main issues related to it, and discusses the key implications for the application of debt sustainability analysis in developing Asia. Also highlighted is the importance of conducting individual country studies in view of wide variations in definitions of public expenditure, revenues, contingent liabilities, government structures (e.g., federal), and the like, as well as the impact of debt on interest rates. The book further provides in-depth debt sustainability analyses for the People’s Republic of China, India, and Viet Nam. Public Debt Sustainability in Developing Asia offers a comprehensive analytical and empirical update on the sustainability of public debt in the region. It breaks new ground in examining characteristics that are crucial to understanding sustainability and offers richer policy analysis that should prove useful for policymakers, researchers, and graduate students.
