Are debt sustainability indicators based on time-series data useful for predicting crises? Katharina Mersmann and Frank Westermann
By: Mersmann, Katharina
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Contributor(s): Westermann, Frank
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Material type: 



Item type | Current location | Home library | Call number | Status | Date due | Barcode |
---|---|---|---|---|---|---|
Artículos | IEF | IEF | OP 207/2020/2-2 (Browse shelf) | Available | OP 207/2020/2-2 |
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.
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