Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries [electronic resource] : A ""Fan-Chart"" Approach, Celasun, Oya.

Celasun, Oya.
Washington, D.C. : International Monetary Fund, 2006.
IMF eLibrary
IMF Working Papers; Working Paper No. 06/67.
IMF Working Papers; Working Paper No. 06/67
Government document
1 online resource (54 p.)
Local subjects:
Arithmetic. (search)
Budget constraint. (search)
Budget surplus. (search)
Calibration. (search)
Calibrations. (search)
Causation. (search)
Confidence interval. (search)
Confidence intervals. (search)
Constant term. (search)
Correlation. (search)
Correlations. (search)
Covariance. (search)
Covariances. (search)
Debt. (search)
Debt Management. (search)
Deficit. (search)
Difference equation. (search)
Dummy variable. (search)
Dummy variables. (search)
Dynamic models. (search)
Econometrics. (search)
Emerging markets. (search)
Empirical model. (search)
Equation. (search)
Equations. (search)
Estimation of equation. (search)
Financial statistics. (search)
Fiscal adjustment. (search)
Fiscal adjustment efforts. (search)
Fiscal affairs. (search)
Fiscal affairs department. (search)
Fiscal affairs departments. (search)
Fiscal authorities. (search)
Fiscal balance. (search)
Fiscal balances. (search)
Fiscal behavior. (search)
Fiscal contractions. (search)
Fiscal cost. (search)
Fiscal costs. (search)
Fiscal data. (search)
Fiscal disturbance. (search)
Fiscal disturbances. (search)
Fiscal economists. (search)
Fiscal effort. (search)
Fiscal expansions. (search)
Fiscal expenditures. (search)
Fiscal management. (search)
Fiscal performance. (search)
Fiscal policies. (search)
Fiscal Policy. (search)
Fiscal policy adjustments. (search)
Fiscal policy process. (search)
Fiscal policy recommendations. (search)
Fiscal policy response. (search)
Fiscal policy responses. (search)
Fiscal reaction. (search)
Fiscal reaction function. (search)
Fiscal reaction functions. (search)
Fiscal reactions. (search)
Fiscal reforms. (search)
Fiscal response. (search)
Fiscal rule. (search)
Fiscal rules. (search)
Fiscal shocks. (search)
Fiscal solvency. (search)
Fiscal studies. (search)
Fiscal surpluses. (search)
Fiscal sustainability. (search)
Fiscal variables. (search)
Fixed effects estimator. (search)
Forecasting. (search)
Foreign debt. (search)
Frequency distribution. (search)
Frequency distributions. (search)
Government budget. (search)
Instrumental variable. (search)
Instrumental variables. (search)
Interest expenditure. (search)
Linear model. (search)
Mathematical statistics. (search)
Monte Carlo Methods. (search)
Monte carlo simulations. (search)
Normal distribution. (search)
Number of parameters. (search)
Orthogonality. (search)
Predictions. (search)
Primary deficit. (search)
Primary fiscal balance. (search)
Probabilities. (search)
Probability. (search)
Probability distributions. (search)
Prudent fiscal management. (search)
Public debt. (search)
Public Expenditures, Investment, and Finance. (search)
Sample bias. (search)
Samples. (search)
Sensitivity analysis. (search)
Simulation results. (search)
Standard deviation. (search)
Standard deviations. (search)
Standard error. (search)
Standard errors. (search)
Statistic. (search)
Statistical significance. (search)
Statistical Simulation Methods. (search)
Statistics. (search)
Stochastic analysis. (search)
Survey. (search)
Taxation. (search)
Time series. (search)
Argentina. (search)
Brazil. (search)
South Africa. (search)
Turkey. (search)
This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using ""fan charts."" These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result of uncertain economic conditions and policies. We propose a simulation algorithm for the path of public debt under realistic shock configurations, combining pure economic disturbances (to growth, interest rates, and exchange rates), the endogenous policy response to these, and the possible shocks arising from fiscal policy itself. The paper emphasizes the role of fiscal behavior, as well as the structure of disturbances facing the economy and due to fiscal policy, in shaping the risk profile of public debt. Fan charts for debt are derived from the ""marriage"" between the pattern of shocks on the one hand and the endogenous response of fiscal policy on the other. Applications to Argentina, Brazil, Mexico, South Africa, and Turkey are used to illustrate the approach and its limitations.
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Celasun, Oya.
Debrun, Xavier.
Ostry, Jonathan David.
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