Using pooled information and bootstrap methods to assess debt sustainability in low income countries
Conventional assessments of debt sustainability in low income countries are hampered by poor data and weaknesses in methodology. In particular, the standard International Monetary Fund-World bank debt sustainability framework relies on questionable emp...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20120227111354 http://hdl.handle.net/10986/3264 |
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okr-10986-32642021-04-23T14:02:08Z Using pooled information and bootstrap methods to assess debt sustainability in low income countries Hevia, Constantino ADVANCED COUNTRIES AMOUNT OF DEBT AUTOREGRESSION BANK DEBT CHECKS COMMODITY COMMODITY PRICES CONSTANT MATURITY CURRENT ACCOUNT CURRENT ACCOUNT BALANCE DEBT DEBT ACCUMULATION DEBT BURDEN DEBT BURDENS DEBT LEVEL DEBT RELIEF DEBT SERVICE DEBT SERVICE RELIEF DEBT SUSTAINABILITY DEBT SUSTAINABILITY ANALYSES DEBT SUSTAINABILITY ANALYSIS DEBT THRESHOLDS DEPENDENT DERIVATIVES DEVELOPING COUNTRIES DEVELOPMENT POLICY DOLLAR VALUE DUMMY VARIABLE DUMMY VARIABLES ECONOMETRICS ECONOMIC OUTLOOK EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES ENDOGENOUS VARIABLES EVOLUTION OF DEBT EXCHANGE RATE REGIMES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT EXTERNAL DEBT STOCK FEDERAL RESERVE FEDERAL RESERVE SYSTEM FORECASTS FOREIGN DEBT FOREIGN DIRECT INVESTMENT FUTURE DEBT GDP GDP DEFLATOR GROSS DOMESTIC PRODUCT GROWTH RATE GROWTH RATES IMPLICIT INTEREST INCOME INDEBTED INDEBTED POOR COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL ECONOMICS INTERNATIONAL INVESTMENT INTERNATIONAL RESERVES LARGE DEBT LEVEL OF DEBT LEVELS OF DEBT LOCAL CURRENCY LOW-INCOME COUNTRIES LOWER DEBT MACROECONOMIC VARIABLES MACROECONOMICS MONETARY FUND NATURAL DISASTERS NEGATIVE SHOCK NEGATIVE SHOCKS NUMBER OF DEBT OIL PRICE OIL PRICES PARTICULAR COUNTRY PENALTY PORTFOLIO PORTFOLIO EQUITY PORTFOLIO INVESTMENT PUBLIC DEBT PUBLIC POLICY REAL EXCHANGE RATE REAL GDP REGRESSION ANALYSIS RESERVES RISK MANAGEMENT RISK OF DEBT SOVEREIGN DEBT STOCKS TOTAL DEBT TOTAL DEBT STOCK TOTAL EXTERNAL DEBT TREASURY TREASURY RATE TREASURY SECURITIES UNDERESTIMATES VALUATION VALUATION CHANGES VALUE OF ASSETS VALUE OF DEBT VOLATILITY WORLD DEVELOPMENT INDICATORS WORLD MARKETS Conventional assessments of debt sustainability in low income countries are hampered by poor data and weaknesses in methodology. In particular, the standard International Monetary Fund-World bank debt sustainability framework relies on questionable empirical assumptions: its baseline projections ignore statistical uncertainty, and its stress tests, which are performed as robustness checks, lack a clear economic interpretation and ignore the interdependence between the relevant macroeconomic variables. This paper proposes to alleviate these problems by pooling data from many countries and estimating the shocks and macroeconomic interdependence faced by a generic, low income country. The paper estimates a panel vector autoregression to trace the evolution of the determinants of debt, and performs simulations to calculate statistics on external debt for individual countries. The methodology allows for the value of the determinants of debt to differ across countries in the long run, and for additional heterogeneity through country-specific exogenous variables. Results in this paper suggest that ignoring the uncertainty and interdependence of macroeconomic variables leads to biases in projected debt trajectories, and consequently, the assessment of debt sustainability. 2012-03-19T17:29:22Z 2012-03-19T17:29:22Z 2012-02-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20120227111354 http://hdl.handle.net/10986/3264 English Policy Research working paper ; no. WPS 5978 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ADVANCED COUNTRIES AMOUNT OF DEBT AUTOREGRESSION BANK DEBT CHECKS COMMODITY COMMODITY PRICES CONSTANT MATURITY CURRENT ACCOUNT CURRENT ACCOUNT BALANCE DEBT DEBT ACCUMULATION DEBT BURDEN DEBT BURDENS DEBT LEVEL DEBT RELIEF DEBT SERVICE DEBT SERVICE RELIEF DEBT SUSTAINABILITY DEBT SUSTAINABILITY ANALYSES DEBT SUSTAINABILITY ANALYSIS DEBT THRESHOLDS DEPENDENT DERIVATIVES DEVELOPING COUNTRIES DEVELOPMENT POLICY DOLLAR VALUE DUMMY VARIABLE DUMMY VARIABLES ECONOMETRICS ECONOMIC OUTLOOK EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES ENDOGENOUS VARIABLES EVOLUTION OF DEBT EXCHANGE RATE REGIMES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT EXTERNAL DEBT STOCK FEDERAL RESERVE FEDERAL RESERVE SYSTEM FORECASTS FOREIGN DEBT FOREIGN DIRECT INVESTMENT FUTURE DEBT GDP GDP DEFLATOR GROSS DOMESTIC PRODUCT GROWTH RATE GROWTH RATES IMPLICIT INTEREST INCOME INDEBTED INDEBTED POOR COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL ECONOMICS INTERNATIONAL INVESTMENT INTERNATIONAL RESERVES LARGE DEBT LEVEL OF DEBT LEVELS OF DEBT LOCAL CURRENCY LOW-INCOME COUNTRIES LOWER DEBT MACROECONOMIC VARIABLES MACROECONOMICS MONETARY FUND NATURAL DISASTERS NEGATIVE SHOCK NEGATIVE SHOCKS NUMBER OF DEBT OIL PRICE OIL PRICES PARTICULAR COUNTRY PENALTY PORTFOLIO PORTFOLIO EQUITY PORTFOLIO INVESTMENT PUBLIC DEBT PUBLIC POLICY REAL EXCHANGE RATE REAL GDP REGRESSION ANALYSIS RESERVES RISK MANAGEMENT RISK OF DEBT SOVEREIGN DEBT STOCKS TOTAL DEBT TOTAL DEBT STOCK TOTAL EXTERNAL DEBT TREASURY TREASURY RATE TREASURY SECURITIES UNDERESTIMATES VALUATION VALUATION CHANGES VALUE OF ASSETS VALUE OF DEBT VOLATILITY WORLD DEVELOPMENT INDICATORS WORLD MARKETS |
| spellingShingle |
ADVANCED COUNTRIES AMOUNT OF DEBT AUTOREGRESSION BANK DEBT CHECKS COMMODITY COMMODITY PRICES CONSTANT MATURITY CURRENT ACCOUNT CURRENT ACCOUNT BALANCE DEBT DEBT ACCUMULATION DEBT BURDEN DEBT BURDENS DEBT LEVEL DEBT RELIEF DEBT SERVICE DEBT SERVICE RELIEF DEBT SUSTAINABILITY DEBT SUSTAINABILITY ANALYSES DEBT SUSTAINABILITY ANALYSIS DEBT THRESHOLDS DEPENDENT DERIVATIVES DEVELOPING COUNTRIES DEVELOPMENT POLICY DOLLAR VALUE DUMMY VARIABLE DUMMY VARIABLES ECONOMETRICS ECONOMIC OUTLOOK EMERGING MARKET EMERGING MARKET COUNTRIES EMERGING MARKET ECONOMIES ENDOGENOUS VARIABLES EVOLUTION OF DEBT EXCHANGE RATE REGIMES EXOGENOUS VARIABLES EXPORTS EXTERNAL DEBT EXTERNAL DEBT STOCK FEDERAL RESERVE FEDERAL RESERVE SYSTEM FORECASTS FOREIGN DEBT FOREIGN DIRECT INVESTMENT FUTURE DEBT GDP GDP DEFLATOR GROSS DOMESTIC PRODUCT GROWTH RATE GROWTH RATES IMPLICIT INTEREST INCOME INDEBTED INDEBTED POOR COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL ECONOMICS INTERNATIONAL INVESTMENT INTERNATIONAL RESERVES LARGE DEBT LEVEL OF DEBT LEVELS OF DEBT LOCAL CURRENCY LOW-INCOME COUNTRIES LOWER DEBT MACROECONOMIC VARIABLES MACROECONOMICS MONETARY FUND NATURAL DISASTERS NEGATIVE SHOCK NEGATIVE SHOCKS NUMBER OF DEBT OIL PRICE OIL PRICES PARTICULAR COUNTRY PENALTY PORTFOLIO PORTFOLIO EQUITY PORTFOLIO INVESTMENT PUBLIC DEBT PUBLIC POLICY REAL EXCHANGE RATE REAL GDP REGRESSION ANALYSIS RESERVES RISK MANAGEMENT RISK OF DEBT SOVEREIGN DEBT STOCKS TOTAL DEBT TOTAL DEBT STOCK TOTAL EXTERNAL DEBT TREASURY TREASURY RATE TREASURY SECURITIES UNDERESTIMATES VALUATION VALUATION CHANGES VALUE OF ASSETS VALUE OF DEBT VOLATILITY WORLD DEVELOPMENT INDICATORS WORLD MARKETS Hevia, Constantino Using pooled information and bootstrap methods to assess debt sustainability in low income countries |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5978 |
| description |
Conventional assessments of debt
sustainability in low income countries are hampered by poor
data and weaknesses in methodology. In particular, the
standard International Monetary Fund-World bank debt
sustainability framework relies on questionable empirical
assumptions: its baseline projections ignore statistical
uncertainty, and its stress tests, which are performed as
robustness checks, lack a clear economic interpretation and
ignore the interdependence between the relevant
macroeconomic variables. This paper proposes to alleviate
these problems by pooling data from many countries and
estimating the shocks and macroeconomic interdependence
faced by a generic, low income country. The paper estimates
a panel vector autoregression to trace the evolution of the
determinants of debt, and performs simulations to calculate
statistics on external debt for individual countries. The
methodology allows for the value of the determinants of debt
to differ across countries in the long run, and for
additional heterogeneity through country-specific exogenous
variables. Results in this paper suggest that ignoring the
uncertainty and interdependence of macroeconomic variables
leads to biases in projected debt trajectories, and
consequently, the assessment of debt sustainability. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Hevia, Constantino |
| author_facet |
Hevia, Constantino |
| author_sort |
Hevia, Constantino |
| title |
Using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| title_short |
Using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| title_full |
Using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| title_fullStr |
Using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| title_full_unstemmed |
Using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| title_sort |
using pooled information and
bootstrap methods to assess debt sustainability in low
income countries |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20120227111354 http://hdl.handle.net/10986/3264 |
| _version_ |
1764386700738428928 |