Are Debt Sustainability Indicators Based on Time-Series Data Useful for Predicting Crises?

Autor(en): Mersmann, Katharina
Westermann, Frank 
Stichwörter: BUDGET; Business & Economics; Business, Finance; cointegration; CONSTRAINTS; DEFAULTS; DEFICITS; Economics; fiscal reaction function; FISCAL SUSTAINABILITY; intertemporal budget constraint; PRICE; PUBLIC DEBT; SOVEREIGN DEBT; STATIONARITY; unit roots; UNIT-ROOT
Erscheinungsdatum: 2020
Herausgeber: MOHR SIEBECK
Journal: FINANZARCHIV
Volumen: 76
Ausgabe: 2
Startseite: 146
Seitenende: 164
Zusammenfassung: 
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.
ISSN: 00152218
DOI: 10.1628/fa-2020-0002

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