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A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies

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Author Info

  • Elif Arbatli
  • C. Emre Alper
  • Jiri Jonas
  • Anke Weber
  • Marc Gerard
  • Tidiane Kinda
  • Giovanni Callegari
  • Anna Shabunina
  • Andrea Schaechter
  • Carlos Caceres

Abstract

This paper presents a range of tools and indicators for analyzing fiscal vulnerabilities and risks for advanced economies. The analysis covers key short-, medium- and long-term dimensions. Short-term pressures are captured by assessing (i) gross funding needs, (ii) market perceptions of default risk, and (iii) stress dependence among sovereigns. Medium- and long-term pressures are summarized by (iv) medium- and long-term budgetary adjustment needs, (v) susceptibility of debt projections to growth and interest rate shocks, and (vi) stochastic risks to medium-term debt dynamics. Aiming to cover a wide range of advanced economies and minimize data lags, has also influenced the selection of empirical methods. Due to these features, they can, for example, help inform the joint IMF-FSB Early Warning Exercise (EWE) on the fiscal dimensions of economic risks.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/11.

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Length: 29
Date of creation: 01 Jan 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/11

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Related research

Keywords: Developed countries; Public debt; Risk premium; Spillovers;

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References

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  1. Oya Celasun & Xavier Debrun & Jonathan David Ostry, 2006. "Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries," IMF Working Papers 06/67, International Monetary Fund.
  2. Philippe Cuneo & Jacques Mairesse, 1983. "Productivity and R&D at the Firm Level in French Manufacturing," NBER Working Papers 1068, National Bureau of Economic Research, Inc.
  3. Gabriela Dobrescu & Iva Petrova & Nazim Belhocine & Emanuele Baldacci, 2011. "Assessing Fiscal Stress," IMF Working Papers 11/100, International Monetary Fund.
  4. Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads," IMF Working Papers 10/120, International Monetary Fund.
  5. Márcio Gomes Pinto Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data," Textos para discussão 484, Department of Economics PUC-Rio (Brazil).
  6. Jochen R. Andritzky, 2012. "Government Bonds and their Investors," IMF Working Papers 12/158, International Monetary Fund.
  7. C. Emre Alper & Lorenzo Forni & Marc Gerard, 2012. "Pricing of Sovereign Credit Risk," IMF Working Papers 12/24, International Monetary Fund.
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Cited by:
  1. John Muellbauer, 2013. "Conditional eurobonds and the eurozone sovereign debt crisis," Oxford Review of Economic Policy, Oxford University Press, vol. 29(3), pages 610-645, AUTUMN.
  2. Ludovit Odor, 2014. "Fiscal Risk Assessment at the CBR: A Conceptual Framework," Discussion Papers Discussion Paper No. 1/20, Council for Budget Responsibility.

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