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A toolkit to assess fiscal vulnerabilities and risks in advanced economies

Author

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

Abstract

This article presents a range of tools and indicators for analysing 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.

Suggested Citation

  • Andrea Schaechter & C. Emre Alper & Elif Arbatli & Carlos Caceres & Giovanni Callegari & Marc Gerard & Jiri Jonas & Tidiane Kinda & Anna Shabunina & Anke Weber, 2014. "A toolkit to assess fiscal vulnerabilities and risks in advanced economies," Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 650-660, February.
    • Handle: RePEc:taf:applec:v:46:y:2014:i:6:p:650-660
    DOI: 10.1080/00036846.2013.861589
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    References listed on IDEAS

    as
    1. Mr. Manmohan S. Kumar & Mr. Emanuele Baldacci, 2010. "Fiscal Deficits, Public Debt, and Sovereign Bond Yields," IMF Working Papers 2010/184, International Monetary Fund.
    2. Segoviano, Miguel A., 2006. "Consistent information multivariate density optimizing methodology," LSE Research Online Documents on Economics 24511, London School of Economics and Political Science, LSE Library.
    3. C. Emre Alper & Lorenzo Forni & Marc Gerard, 2013. "Pricing of Sovereign Credit Risk: Evidence from Advanced Economies during the Financial Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 161-188, June.
    4. Ms. Elif C Arbatli Saxegaard & Mr. Emre Alper & Jiri Jonas & Miss Anke Weber & Mr. Marc Gerard & Mr. Tidiane Kinda & Giovanni Callegari & Ms. Anna Shabunina & Ms. Andrea Schaechter & Carlos Caceres, 2012. "A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies," IMF Working Papers 2012/011, International Monetary Fund.
    5. Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
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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 and Oxford Review of Economic Policy Limited, vol. 29(3), pages 610-645, AUTUMN.
    2. Andreea Stoian & Laura Obreja Brașoveanu & Iulian Viorel Brașoveanu & Bogdan Dumitrescu, 2018. "A Framework to Assess Fiscal Vulnerability: Empirical Evidence for European Union Countries," Sustainability, MDPI, vol. 10(7), pages 1-20, July.
    3. Jorge M. Uribe & Oscar Valencia, 2024. "Taking the Pulse of Fiscal Distress: Inflation, Depreciation, and Crises," IREA Working Papers 202416, University of Barcelona, Research Institute of Applied Economics, revised Dec 2024.
    4. Ionel LEONIDA & Cosmin – Octavian CEPOI, 2023. "An Exploratory Analysis Of Some Potential Fiscal-Budgetary Vulnerabilities In Romania," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 8(4), pages 76-82.
    5. Rudolf Alvise Lennkh & Edmund Moshammer & Vilém Valenta, 2017. "A Comprehensive Scorecard for Assessing Sovereign Vulnerabilities," Working Papers 23, European Stability Mechanism.
    6. 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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