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External Debt Sustainability, The Case Of Romania: Qar Model

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  • Ioan Tudor Boengiu

    (Bucharest Academy of Economic Studies)

Abstract

In this paper I investigate the external debt sustainability using a quantile autoregression (QAR) model. I presented a methodology to separate periods of nonstationarity from stationarity ones, which allows us to identify various trajectories of external debt that are compatible with indebtness sustainability. I use such trajectories to construct a debt ceiling, that is, the largest value of external debt that does not jeopardize long-run indebtness sustainability. I make out-of-sample forecast of such a ceiling and I presented the debt ceiling as a “debt-warning system” which could be used by policy makers interest in keeping the external debt on a sustainable path. I illustrate the applicability of such econometric tool using Romanian data.

Suggested Citation

  • Ioan Tudor Boengiu, 2011. "External Debt Sustainability, The Case Of Romania: Qar Model," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 5(5(558)(su), pages 741-750, July.
    • Handle: RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:741-750
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