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  • 标题:Implicit public debt thresholds: an empirical exercise for the case of Spain
  • 本地全文:下载
  • 作者:Javier Andrés ; Javier J. Pérez ; Juan A. Rojas
  • 期刊名称:Documentos de Trabajo / Banco de España
  • 印刷版ISSN:0213-2710
  • 电子版ISSN:1579-8666
  • 出版年度:2017
  • 卷号:1
  • 出版社:Banco de España
  • 摘要:We extend previous work that combines the Value at Risk approach with estimation ofthe correlation pattern of the macroeconomic determinants of public debt dynamics bymeans of Vector Auto Regressions (VARs). These estimated models are used to computethe probability that the public debt ratio exceeds a given threshold, by means of MonteCarlosimulations. We apply this methodology to Spanish data and compute time-seriesprobabilities to analyse the possible correlation with market risk assessment, measuredby the spread over the German bond. Taking into account the high correlation betweenthe probability of crossing a pre-specifi ed debt threshold and the spread, we go a stepfurther and ask what would be the threshold that maximises the correlation between thetwo variables. The aim of this exercise is to gauge the implicit debt threshold or “prudentdebt level” that is most consistent with market expectations as measured by the sovereignyield spread. The level thus obtained is consistent with the medium-term debt-to-GDP ratioanchor of 60% of GDP.
  • 关键词:public debt; early warning indicators; fi scal sustainability
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