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Refinements to the Probabilistic Approach to Fiscal Sustainability Analysis

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dc.contributor.authorFrank, Nathaniel
dc.contributor.authorLey, Eduardo
dc.date.accessioned2012-05-31T19:01:14Z
dc.date.available2012-05-31T19:01:14Z
dc.date.issued2008-09
dc.description.abstractThis paper relaxes some key assumptions in the probabilistic approach to fiscal sustainability. First, the authors identify structural breaks over the sample period used to estimate the covariance matrix of the shocks to the debt ratios. Second, the assumption of normality of the shocks is dropped by modeling their respective empirical distribution directly, which makes it possible to quantify asymetries and thick tails. Third, the use of fiscal reaction functions is avoided by focusing attention on debt-stabilizing balances.en
dc.identifierhttp://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis
dc.identifier.doi10.1596/1813-9450-4709
dc.identifier.urihttps://hdl.handle.net/10986/6776
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper No. 4709
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectAVERAGE DEBT
dc.subjectBANK POLICY
dc.subjectBENCHMARK
dc.subjectBOND
dc.subjectBOND INDEX
dc.subjectBORROWING
dc.subjectBORROWING COSTS
dc.subjectBUSINESS CYCLE
dc.subjectCURRENCY DEPRECIATION
dc.subjectDEBT
dc.subjectDEBT DYNAMICS
dc.subjectDEBT LEVEL
dc.subjectDEBT LEVELS
dc.subjectDEBT RATIOS
dc.subjectDEBT STOCK
dc.subjectDEBT SUSTAINABILITY
dc.subjectDECREASING DEBT
dc.subjectECONOMIC ANALYSIS
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKET COUNTRIES
dc.subjectEMERGING MARKET ECONOMIES
dc.subjectEMERGING MARKETS
dc.subjectENDOGENOUS VARIABLES
dc.subjectEXCHANGE RATE
dc.subjectEXCHANGE RATE MOVEMENTS
dc.subjectEXCHANGE RATES
dc.subjectFINANCIAL CRISES
dc.subjectFINANCIAL DISTRESS
dc.subjectFINANCIAL INSTABILITY
dc.subjectFISCAL POLICY
dc.subjectFISCAL POSITION
dc.subjectFISCAL SUSTAINABILITY
dc.subjectFORECASTS
dc.subjectFOREIGN MARKETS
dc.subjectGDP
dc.subjectGDP DEFLATOR
dc.subjectGOVERNMENT DEBT
dc.subjectGROWTH RATES
dc.subjectINTEREST RATE
dc.subjectINTEREST RATE CHANGES
dc.subjectINTEREST RATE SHOCKS
dc.subjectINTEREST RATE SPREADS
dc.subjectINTEREST RATES
dc.subjectINTERNATIONAL BANK
dc.subjectLOCAL CURRENCY
dc.subjectLONG TERM DEBT
dc.subjectLOW INTEREST RATES
dc.subjectMATURITY
dc.subjectMATURITY STRUCTURE
dc.subjectMATURITY STRUCTURES
dc.subjectOUTPUT
dc.subjectOUTPUT GAP
dc.subjectPROBABILITIES
dc.subjectPROBABILITY
dc.subjectREAL GDP
dc.subjectRISK ASSESSMENT
dc.subjectRISK EXPOSURE
dc.subjectSTRUCTURAL CHANGE
dc.subjectSUSTAINABILITY ANALYSIS
dc.subjectT-BILL
dc.subjectT-BILL RATES
dc.titleRefinements to the Probabilistic Approach to Fiscal Sustainability Analysisen
dspace.entity.typePublication
okr.crossref.titleRefinements To The Probabilistic Approach To Fiscal Sustainability Analysis
okr.date.doiregistration2025-04-10T12:25:41.558582Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2008/09/9820457/refinements-probabilistic-approach-fiscal-sustainability-analysis
okr.globalpracticeMacroeconomics and Fiscal Management
okr.globalpracticeFinance and Markets
okr.globalpracticeTrade and Competitiveness
okr.guid913731468314058307
okr.identifier.doi10.1596/1813-9450-4709
okr.identifier.externaldocumentum000158349_20080904081618
okr.identifier.internaldocumentum9820457
okr.identifier.reportWPS4709
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2008/09/04/000158349_20080904081618/Rendered/PDF/WPS4709.pdfen
okr.topicEconomic Theory and Research
okr.topicInternational Economics and Trade::External Debt
okr.topicPrivate Sector Development::Emerging Markets
okr.topicFinance and Financial Sector Development::Debt Markets
okr.topicMacroeconomics and Economic Growth
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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