Debt Vulnerability Analysis : A Multi-Angle Approach
Countries with high debt exposure are vulnerable to economic and financial shocks that could lead to sovereign defaults. This paper develops a methodology to identify countries that are at risk of debt default based on four elements of debt vulnera...
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2022
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okr-10986-369702022-02-11T05:10:33Z Debt Vulnerability Analysis : A Multi-Angle Approach Doemeland, Doerte Estevão, Marcello Jooste, Charl Sampi, James Tsiropoulos, Vasileios DEBT SUSTAINABILITY DEBT DEFAULT DEBT VULNERABILITY DEBT SERVICE BURDEN SOVEREIGN DEBT PUBLIC DEBT DEFAULT RISK Countries with high debt exposure are vulnerable to economic and financial shocks that could lead to sovereign defaults. This paper develops a methodology to identify countries that are at risk of debt default based on four elements of debt vulnerability. These elements capture the different ways in which risks associated with high debt are assessed, namely: (i) the fundamental, (ii) the subjective, (iii) the judgmental, and (iv) the theoretical. The fundamental element considers the liquidity, solvency, and institutional risk elements of debt vulnerability. The subjective element captures the investors’ perceptions of debt default, while the judgmental element is based on the debt thresholds as defined by Debt Sustainability Frameworks. Finally, the theoretical element is normative and captures what ought to be. The methodology constructs an index for each of these four elements and uses them as predictors in a model of public debt default. The methodology flags countries that are at risk of default by means of machine learning techniques and delivers outputs that point to underlying causes of vulnerability. The methodology complements existing monitoring tools for assessing debt sustainability. 2022-02-10T15:33:14Z 2022-02-10T15:33:14Z 2022-02 Working Paper http://documents.worldbank.org/curated/en/514551644261687296/Debt-Vulnerability-Analysis-A-Multi-Angle http://hdl.handle.net/10986/36970 English Policy Research Working Paper;No. 9929 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper |
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Foreign Institution |
institution |
Digital Repositories |
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World Bank Open Knowledge Repository |
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World Bank |
language |
English |
topic |
DEBT SUSTAINABILITY DEBT DEFAULT DEBT VULNERABILITY DEBT SERVICE BURDEN SOVEREIGN DEBT PUBLIC DEBT DEFAULT RISK |
spellingShingle |
DEBT SUSTAINABILITY DEBT DEFAULT DEBT VULNERABILITY DEBT SERVICE BURDEN SOVEREIGN DEBT PUBLIC DEBT DEFAULT RISK Doemeland, Doerte Estevão, Marcello Jooste, Charl Sampi, James Tsiropoulos, Vasileios Debt Vulnerability Analysis : A Multi-Angle Approach |
relation |
Policy Research Working Paper;No. 9929 |
description |
Countries with high debt exposure are
vulnerable to economic and financial shocks that could lead
to sovereign defaults. This paper develops a methodology to
identify countries that are at risk of debt default based on
four elements of debt vulnerability. These elements capture
the different ways in which risks associated with high debt
are assessed, namely: (i) the fundamental, (ii) the
subjective, (iii) the judgmental, and (iv) the theoretical.
The fundamental element considers the liquidity, solvency,
and institutional risk elements of debt vulnerability. The
subjective element captures the investors’ perceptions of
debt default, while the judgmental element is based on the
debt thresholds as defined by Debt Sustainability
Frameworks. Finally, the theoretical element is normative
and captures what ought to be. The methodology constructs an
index for each of these four elements and uses them as
predictors in a model of public debt default. The
methodology flags countries that are at risk of default by
means of machine learning techniques and delivers outputs
that point to underlying causes of vulnerability. The
methodology complements existing monitoring tools for
assessing debt sustainability. |
format |
Working Paper |
author |
Doemeland, Doerte Estevão, Marcello Jooste, Charl Sampi, James Tsiropoulos, Vasileios |
author_facet |
Doemeland, Doerte Estevão, Marcello Jooste, Charl Sampi, James Tsiropoulos, Vasileios |
author_sort |
Doemeland, Doerte |
title |
Debt Vulnerability Analysis : A Multi-Angle Approach |
title_short |
Debt Vulnerability Analysis : A Multi-Angle Approach |
title_full |
Debt Vulnerability Analysis : A Multi-Angle Approach |
title_fullStr |
Debt Vulnerability Analysis : A Multi-Angle Approach |
title_full_unstemmed |
Debt Vulnerability Analysis : A Multi-Angle Approach |
title_sort |
debt vulnerability analysis : a multi-angle approach |
publisher |
World Bank, Washington, DC |
publishDate |
2022 |
url |
http://documents.worldbank.org/curated/en/514551644261687296/Debt-Vulnerability-Analysis-A-Multi-Angle http://hdl.handle.net/10986/36970 |
_version_ |
1764486302163533824 |