Probabilistic Sustainability Of Public Debt
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Probabilistic Sustainability of Public Debt
Author | : Issouf Samaké |
Publisher | : International Monetary Fund |
Total Pages | : 44 |
Release | : 2006-12-01 |
Genre | : Business & Economics |
ISBN | : 1451865554 |
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This paper examines the sustainability of fiscal policy under uncertainty in three emerging market countries, Brazil, Mexico, and Turkey. For each country, we estimate a vector autoregression (VAR) that includes fiscal and macroeconomic variables. Retrospectively, a historical decomposition shows by how much debt accumulation reflects unsustainable policy, adverse shocks, or both. Prospectively, Monte Carlo techniques reveal the primary surplus that is required to keep the debt/GDP ratio from rising in all but the worst 50 percent, 25 percent, and 10 percent of circumstances. Such a value-at-risk approach presents a clearer menu of policy options than currently used frameworks.
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