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Debt is not free

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  • Moreno Badia, Marialuz
  • Medas, Paulo
  • Gupta, Pranav
  • Xiang, Yuan

Abstract

Many countries face record public debt levels but have until recently benefited from favorable interest-growth differentials. The empirical evidence on the link between high debt and crises is also inconclusive. This paper re-examines the importance of public debt as a leading indicator of fiscal crises using machine learning techniques to account for complex interactions ignored in the literature. We find that public debt is among the most important predictors: beyond certain debt levels, the likelihood of crises increases regardless of the interest-growth differential. Excessive current account deficits and private credit and their interaction with public debt are also important indicators of distress. These results underscore the risks from high debt levels and the role of broader economic imbalances in the emergence of fiscal crises.

Suggested Citation

  • Moreno Badia, Marialuz & Medas, Paulo & Gupta, Pranav & Xiang, Yuan, 2022. "Debt is not free," Journal of International Money and Finance, Elsevier, vol. 127(C).
    • Handle: RePEc:eee:jimfin:v:127:y:2022:i:c:s0261560622000572
    DOI: 10.1016/j.jimonfin.2022.102654
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    More about this item

    Keywords

    Crisis; Debt; Sovereign default; Fiscal; Machine learning;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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