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Working Paper 08-15 - Une méthode d’estimation des composantes cyclique et structurelle de la variation du taux d’endettement

Author

Listed:
  • Henri Bogaert
  • Vincent Frogneux
  • Michel Saintrain

Abstract

This study presents a method for decomposing the annual variation of the debt ratio among the cyclical, structural and one-off components, thus making it possible to identify the structural conditions for a positive or negative snowball effect. The study shows that the cyclical component may be significant and, depending on the year, partially hide the structural component of the endogenous debt development. The method differs from the European Commission method for estimating a cyclically-adjusted debt. Compared with it, our method estimates a cyclical component that is better correlated with the level and variation of the output gap. Finally, the study discusses the advisability and feasibility of taking into account equilibrium inflation and interest rate in the approach.

Suggested Citation

  • Henri Bogaert & Vincent Frogneux & Michel Saintrain, 2015. "Working Paper 08-15 - Une méthode d’estimation des composantes cyclique et structurelle de la variation du taux d’endettement," Working Papers 201508, Federal Planning Bureau, Belgium.
    • Handle: RePEc:fpb:wpaper:201508
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    File URL: https://www.plan.be/uploaded/documents/201511090857500.WP_1508_11115.pdf
    File Function: version française
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    More about this item

    JEL classification:

    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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