A Stochastic Indicator for Sovereign Debt Sustainability

Lukkezen, Jasper; Rojas‐Romagosa, Hugo

doi:10.1628/001522116x1473325697904

Cited by 3 publications

(2 citation statements)

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“…Regarding the methods used, a considerable number of researchers have applied statistical methods to predict the sovereign debt crisis, highlighting the logit model [5,10,[24][25][26]29,32]. On the other hand, the authors [3,7] develop regression models to forecast the sovereign debt crisis.…”

Section: Sovereign Debt Crises Predictionmentioning

confidence: 99%

Sovereign Debt and Currency Crises Prediction Models Using Machine Learning Techniques

et al. 2021

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Sovereign debt and currencies play an increasingly influential role in the development of any country, given the need to obtain financing and establish international relations. A recurring theme in the literature on financial crises has been the prediction of sovereign debt and currency crises due to their extreme importance in international economic activity. Nevertheless, the limitations of the existing models are related to accuracy and the literature calls for more investigation on the subject and lacks geographic diversity in the samples used. This article presents new models for the prediction of sovereign debt and currency crises, using various computational techniques, which increase their precision. Also, these models present experiences with a wide global sample of the main geographical world zones, such as Africa and the Middle East, Latin America, Asia, Europe, and globally. Our models demonstrate the superiority of computational techniques concerning statistics in terms of the level of precision, which are the best methods for the sovereign debt crisis: fuzzy decision trees, AdaBoost, extreme gradient boosting, and deep learning neural decision trees, and for forecasting the currency crisis: deep learning neural decision trees, extreme gradient boosting, random forests, and deep belief network. Our research has a large and potentially significant impact on the macroeconomic policy adequacy of the countries against the risks arising from financial crises and provides instruments that make it possible to improve the balance in the finance of the countries.

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Section: Sovereign Debt Crises Predictionmentioning

confidence: 99%

Sovereign Debt and Currency Crises Prediction Models Using Machine Learning Techniques

et al. 2021

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“…Andersen and Pedersen (2006) focus on the impact of economic growth upon fiscal sustainability. Furthermore, some studies allow for a positive impact of the public debt upon the primary balance (Bohn (1998(Bohn ( , 2008, Medeiros (2012) and Lukkezen and Rojas-Romagosa (2016)), although one may argue that it is more appropriate to abstract from any future endogenous policy change.…”

Section: Introductionmentioning

confidence: 99%

Paying for the Ageing Crisis: Who, How and When?

Westerhout

2017

SSRN Journal

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In many countries population ageing creates an implicit public debt. That is, if policies remain unchanged, the public debt will ultimately become unsustainable. This paper explores the optimal way to achieve debt sustainability. In particular, it asks when policy reforms should be made, how policies should be changed and which generations should make which contributions. As regards timing, we find that policy reform should anticipate future demographic change. As regards policy instruments, we find that optimal policy reform features changes in all available instruments. This implies less consumption of all types of goods; only pure public goods consumption may escape a reduction. The labour supply functions of the young and the old determine the allocation over policy instruments. In particular, the more elastic is the labour supply of the young, the smaller should be the increase in the tax rate on labour income; the more elastic is the labour supply of the old, the larger should be the reduction in transfers to the elderly. As regards generations, we find that the old share relatively little in the fiscal burden; future generations share more or less than the young, depending on future population size. In addition, we find that the change of the public debt is not a given, but a feature of optimal policies. In general,

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The consequences of rising Bulgarian government debt and the search of growth in Eastern Europe

Konsulov¹,

Kabaivanov²

2018

AIP Conference Proceedings

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A Stochastic Indicator for Sovereign Debt Sustainability

Cited by 3 publications

References 30 publications

Sovereign Debt and Currency Crises Prediction Models Using Machine Learning Techniques

Sovereign Debt and Currency Crises Prediction Models Using Machine Learning Techniques

Paying for the Ageing Crisis: Who, How and When?

The consequences of rising Bulgarian government debt and the search of growth in Eastern Europe

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