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A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

  • E. H. Gardner
  • Julian di Giovanni

This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives "fan charts" to depict the probability distribution of the government debt to GDP ratio under a medium-term adjustment scenario, as a result of shocks to GDP growth and interest rates. The distribution of shocks is derived from the past shocks to these variables and the related variance covariance. Because we are interested in assessing the sustainability of a particular policy scenario, we do not consider independent fiscal policy shocks or the endogenous policy response to shocks.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/97.

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Length: 23
Date of creation: 01 Apr 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/97
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  1. Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003. "Debt intolerance," MPRA Paper 13932, University Library of Munich, Germany.
  2. Oya Celasun & Xavier Debrun & Jonathan David Ostry, 2006. "Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries: A "Fan-Chart" Approach," IMF Working Papers 06/67, International Monetary Fund.
  3. Manasse, Paolo & Roubini, Nouriel, 2009. ""Rules of thumb" for sovereign debt crises," Journal of International Economics, Elsevier, vol. 78(2), pages 192-205, July.
  4. repec:imf:imfwpa:05/226 is not listed on IDEAS
  5. repec:imf:imfwpa:00/81 is not listed on IDEAS
  6. repec:imf:imfwpa:05/42 is not listed on IDEAS
  7. Marcio Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data," NBER Working Papers 10336, National Bureau of Economic Research, Inc.
  8. Enrique G. Mendoza & P. Marcelo Oviedo, 2004. "Public Debt, Fiscal Solvency and Macroeconomic Uncertainty in Latin America: The Cases of Brazil, Colombia, Costa Rica, and Mexico," NBER Working Papers 10637, National Bureau of Economic Research, Inc.
  9. repec:imf:imfwpa:06/94 is not listed on IDEAS
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