Mersmann, Katharina
Are debt sustainability indicators based on time-series data useful for predicting crises? / Katharina Mersmann and Frank Westermann .-- , 2020
Disponible también en formato electrónico.
Resumen.
Bibliografía.
A large literature in empirical public finance applies time-series techniques to historical data and draws inference about public debt sustainability of individual countries. These methods include unit-root tests on primary deficits and cointegration between revenue and expenditure, as well as fiscal reaction functions. In this note, we take a systematic approach to evaluating the in- and out-of-sample performance of various methods in predicting sovereign debt crises. In a panel-logit regression analysis for 31 countries, we find that the benefits for forecasting are surprisingly small.
DEUDA PUBLICA
SOSTENIBILIDAD FISCAL
COINTEGRACION
Westermann, Frank
FinanzArchiv 0015-2218v. 76, n. 2, June 2020, 146-164
Are debt sustainability indicators based on time-series data useful for predicting crises? / Katharina Mersmann and Frank Westermann .-- , 2020
Disponible también en formato electrónico.
Resumen.
Bibliografía.
A large literature in empirical public finance applies time-series techniques to historical data and draws inference about public debt sustainability of individual countries. These methods include unit-root tests on primary deficits and cointegration between revenue and expenditure, as well as fiscal reaction functions. In this note, we take a systematic approach to evaluating the in- and out-of-sample performance of various methods in predicting sovereign debt crises. In a panel-logit regression analysis for 31 countries, we find that the benefits for forecasting are surprisingly small.
DEUDA PUBLICA
SOSTENIBILIDAD FISCAL
COINTEGRACION
Westermann, Frank
FinanzArchiv 0015-2218v. 76, n. 2, June 2020, 146-164