Assessing Fiscal Stress

Baldacci, Emanuele; Petrova, Iva; Belhocine, Nazim; Dobrescu, Gabriela; Mazraani, Samah

doi:10.2139/ssrn.1847333

Cited by 30 publications

(56 citation statements)

References 6 publications

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“…6 Data for currency crises are extended ro 2018 using the same methodology as . Other studies dating crises include, for example, Baldacci et al (2011), Reinhart and Rogoff (2009), and Romer and Romer (2017). This identification approach describes an association between rapid debt accumulation and financial crises without necessarily implying any causal link between the two.…”

Section: National Debt Accumulation Episodesmentioning

confidence: 99%

Global Waves of Debt: Causes and Consequences

Köse¹,

Nagle²,

Ohnsorge³

et al. 2021

105

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Some rights reserved 1234 24232221This work is a product of the staff of The Wotld Bank with external contributions. The findings, interpretations, and conclusions expressed in this work do not necessarily reflect the views of The World Bank, its Board of Executive Directors, or the governments they represent. The World Bank does not guarantee the accuracy, completeness, or currency of the data included in this work and does not assume responsibility fot any errors, omissions, or discrepancies in the infotmation, or liability with tespect to the use of or failure to use the information, methods, processes, or conclusions set forth. The boundaries, colors, denominations, and other information shown on any map in this work do not imply any judgment on the part of The World Bank concerning the legal status of any territory or the endorsement or acceptance of such boundaries.Nothing herein shall constitute ot be construed or considered to be a limitation upon ot waiver of the privileges and immunities of The World Bank, all of which are specifically reserved.

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Section: National Debt Accumulation Episodesmentioning

confidence: 99%

Global Waves of Debt: Causes and Consequences

Köse¹,

Nagle²,

Ohnsorge³

et al. 2021

105

View full text Add to dashboard Cite

show abstract

“…The total amount of outstanding debt securities is taken from the debt securities statistics of the BIS. 8 The share of government debt held by nonresidents is obtained from the QPSD database. For countries not covered by the preceding databases, the share is extracted from Tsuda (2014a, 2014b), who maintain datasets documenting the sovereign investor base for advanced economies and emerging markets.…”

Section: Balance Sheet Compositionmentioning

confidence: 99%

“…Martínez Carrera and Vergara (2012) analyze the magnitude of the …scal adjustment needed to restore …scal sustainability after a devaluation. Currency composition and maturity structure variables are commonly used in the literature on early warning exercises of …scal problems (Baldacci et al 2011). 8 The series includes debt securities in the private sector but, in view of the large share of general government in portfolio debt securities liabilities, this variable can also show the balance sheet vulnerability of sovereigns.…”

Section: Balance Sheet Compositionmentioning

confidence: 99%

“…Currency composition and maturity structure variables are commonly used in the literature on early warning exercises of …scal problems (Baldacci et al 2011). 8 The series includes debt securities in the private sector but, in view of the large share of general government in portfolio debt securities liabilities, this variable can also show the balance sheet vulnerability of sovereigns. The median share of general government in the liability position of portfolio debt securities (classi…ed as in the Sixth edition of Balance of Payments Manual) is 72 percent, based on the data for 100 countries over 1990-2015.…”

Section: Balance Sheet Compositionmentioning

confidence: 99%

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A cross-country database of fiscal space

Köse

Kurlat²,

Ohnsorge

et al. 2022

Journal of International Money and Finance

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“…The study proposed an approach for monitoring framework that is based on three clusters: current and future fiscal policies; long-term fiscal trends; and characteristics of government assets and liabilities. Moreover, the work of Baldacci, Petrova, Belhocine, Dobrescu, and Mazraani (2011) stated that solvency of any economy is endangered during the fiscal stress period, and fiscal authorities must change their policies to attain fiscal sustainability. The study defined the fiscal crisis period as the episodes of fiscal stress (default or restructuring of public liabilities), adoption of IMF structural adjustment program, high inflationary pressure and the rise in bonds spread.…”

Section: Literature Reviewmentioning

confidence: 99%

An analysis of the linkages among fiscal vulnerability, financial stress and macroeconomic policies: an econometric study

Chandia

Iqbal

Bahadur

2022

FREP

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PurposeThis study aims to analyze the imbalances in the public finance structure of Pakistan’s economy and highlight the need for comprehensive reforms. Specifically, it aims to contribute to the empirical literature by analyzing the relationship between fiscal vulnerability, financial stress and macroeconomic policies in Pakistan’s economy between 1971 and 2020.Design/methodology/approachThe study develops an index of fiscal vulnerability, an index of financial stress and an index of macroeconomic policies. The fiscal vulnerability index is based on the patterns of fiscal indicators resulting from past trends of the selected variables in Pakistan’s economy. The financial stress in Pakistan is caused from the financial disorders that are acknowledged in the composite index, which is based on variables with the potential to indicate periods of stress stemming from the foreign exchange market, the securities market and the monetary policy components. The macroeconomic policies index is developed to analyze the mechanism through which fiscal vulnerability and financial stress have influenced macroeconomic policies in Pakistan. The causal association between fiscal vulnerability, financial stress and macroeconomic policies is analyzed using the auto-regressive distributive lags approach.FindingsThere exists a long-run relationship between the three indices, and a bi-directional causality between fiscal vulnerability and macroeconomic policies.Originality/valueThis study contributes to the development of a fiscal monitoring mechanism, which has the basic purpose of analyzing the refinancing risk of public liabilities. Moreover, it focuses on fiscal vulnerability from a macroeconomic perspective. The study tries to develop a framework to assess fiscal vulnerability in light of “The Risk Octagon” theory, which focuses on three risk components: fiscal variables, macroeconomic-disruption-associated shocks and non-fiscal country-specific variables. The initial contribution of this work to the literature is to develop a framework (a fiscal vulnerability index, financial stress index and macroeconomic policies index) for effective and result-oriented macro-fiscal surveillance. Moreover, empirical literature emphasized and advised developing countries to develop their own capacity mechanisms to assess their fiscal vulnerability in light of the IMF guidelines regarding vulnerability assessments. This study thus attempts to fulfill the said gap identified in literature.

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Assessing Fiscal Stress

Cited by 30 publications

References 6 publications

Global Waves of Debt: Causes and Consequences

Global Waves of Debt: Causes and Consequences

A cross-country database of fiscal space

An analysis of the linkages among fiscal vulnerability, financial stress and macroeconomic policies: an econometric study

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