A Toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies

29 Pages Posted: 2 Feb 2012

See all articles by C. Emre Alper

C. Emre Alper

International Monetary Fund (IMF)

Elif C. Arbatli

International Monetary Fund (IMF)

Carlos Caceres

International Monetary Fund (IMF)

Giovanni Callegari

International Monetary Fund

Marc Gerard

affiliation not provided to SSRN

Jiri Jonas

International Monetary Fund (IMF)

Tidiane Kinda

CERDI-CNRS, Université d'Auvergne

Anna Shabunina

International Monetary Fund (IMF)

Anke Weber

International Monetary Fund (IMF)

Date Written: Janurary 2012

Abstract

This paper presents a range of tools and indicators for analyzing fiscal vulnerabilities and risks for advanced economies. The analysis covers key short-, medium- and long-term dimensions. Short-term pressures are captured by assessing (i) gross funding needs, (ii) market perceptions of default risk, and (iii) stress dependence among sovereigns. Medium- and long-term pressures are summarized by (iv) medium- and long-term budgetary adjustment needs, (v) susceptibility of debt projections to growth and interest rate shocks, and (vi) stochastic risks to medium-term debt dynamics. Aiming to cover a wide range of advanced economies and minimize data lags, has also influenced the selection of empirical methods. Due to these features, they can, for example, help inform the joint IMF-FSB Early Warning Exercise (EWE) on the fiscal dimensions of economic risks.

Keywords: Developed countries, Fiscal risk, Public debt, Risk premium, Spillovers

Suggested Citation

Alper, C. Emre and Arbatli, Elif C. and Caceres, Carlos and Callegari, Giovanni and Gerard, Marc and Jonas, Jiri and Kinda, Tidiane and Shabunina, Anna and Weber, Anke, A Toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies (Janurary 2012). IMF Working Paper No. 12/11, Available at SSRN: https://ssrn.com/abstract=1997724

C. Emre Alper

International Monetary Fund (IMF) ( email )

1700 19th Street, NW
Washington, DC 20431
United States

Elif C. Arbatli

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Carlos Caceres

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Giovanni Callegari (Contact Author)

International Monetary Fund ( email )

700 19th Street, NW
Washington, DC 20431
United States

Marc Gerard

affiliation not provided to SSRN

Jiri Jonas

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Tidiane Kinda

CERDI-CNRS, Université d'Auvergne ( email )

65 Boulevard Francois Mitterrand
Clermont-Ferrand, 63000
France

Anna Shabunina

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Anke Weber

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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