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Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis

This paper relaxes some key assumptions in the probabilistic approach to fiscal sustainability. First, the authors identify structural breaks over the sample period used to estimate the covariance matrix of the shocks to the debt ratios. Second, th...

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Bibliographic Details
Main Authors: Frank, Nathaniel, Ley, Eduardo
Language:English
Published: World Bank, Washington, DC 2012
Subjects:
AVERAGE DEBT
BANK POLICY
BENCHMARK
BOND
BOND INDEX
BORROWING
BORROWING COSTS
BUSINESS CYCLE
CURRENCY DEPRECIATION
DEBT
DEBT DYNAMICS
DEBT LEVEL
DEBT LEVELS
DEBT RATIOS
DEBT STOCK
DEBT SUSTAINABILITY
DECREASING DEBT
ECONOMIC ANALYSIS
EMERGING MARKET
EMERGING MARKET COUNTRIES
EMERGING MARKET ECONOMIES
EMERGING MARKETS
ENDOGENOUS VARIABLES
EXCHANGE RATE
EXCHANGE RATE MOVEMENTS
EXCHANGE RATES
FINANCIAL CRISES
FINANCIAL DISTRESS
FINANCIAL INSTABILITY
FISCAL POLICY
FISCAL POSITION
FISCAL SUSTAINABILITY
FORECASTS
FOREIGN MARKETS
GDP
GDP DEFLATOR
GOVERNMENT DEBT
GROWTH RATES
INTEREST RATE
INTEREST RATE CHANGES
INTEREST RATE SHOCKS
INTEREST RATE SPREADS
INTEREST RATES
INTERNATIONAL BANK
LOCAL CURRENCY
LONG TERM DEBT
LOW INTEREST RATES
MATURITY
MATURITY STRUCTURE
MATURITY STRUCTURES
OUTPUT
OUTPUT GAP
PROBABILITIES
PROBABILITY
REAL GDP
RISK ASSESSMENT
RISK EXPOSURE
STRUCTURAL CHANGE
SUSTAINABILITY ANALYSIS
T-BILL
T-BILL RATES
Online Access:http://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis
http://hdl.handle.net/10986/6776

Internet

http://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis
http://hdl.handle.net/10986/6776

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