Lost and found: market access and public debt dynamics

Bassanetti, Antonio; Cottarelli, Carlo; Presbitero, Andrea F.

doi:10.1093/oep/gpy040

Cited by 23 publications

(7 citation statements)

References 26 publications

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“…This share increases even more, from 3% to 48% for the groups constructed based on 3-year changes debt. In general, the patterns are more striking in the groups are based on the change in public debt, consistent with the evidence that the dynamics of the public debt-to-GDP ratio plays a critical role for market access (Bassanetti, Cottarelli and Presbitero, 2018). 9…”

Section: Public Debt and R-g Downside Risk: Quantile Regressionssupporting

confidence: 85%

Public Debt and r - g at Risk

Lian¹,

Presbitero²,

Wiriadinata³

2020

IMF Working Papers

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As interest rate-growth differentials (r-g) turned negative in many countries, governments consider pursuing fiscal expansion and the potential risks involved. Using a large sample of advanced and emerging economies, our analysis suggests that high public debts can lead to adverse future r-g dynamics. Specifically, countries with higher initial public debt experience (i) a shorter duration of negative r-g episodes and a higher probability of reversal, (ii) higher average r-g, and (iii) a more right-skewed r-g distribution, that implies higher down-side risks. Furthermore, high-debt countries experience larger increases in interest rates in response to (iv) an unexpected decline in domestic output and (v) an increase of global volatility. Results are stronger when public debts are denominated in foreign currencies.

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Section: Public Debt and R-g Downside Risk: Quantile Regressionssupporting

confidence: 85%

Public Debt and r - g at Risk

Lian¹,

Presbitero²,

Wiriadinata³

2020

IMF Working Papers

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“…They find that financial-competitiveness variables have a higher predictive power of fiscal stress than that displayed by fiscal variables. Similarly, Bassanetti et. al (2016) show that the dynamics of the debt-to-GDP ratio plays a critical role for market access and consequently that the level of the debt ratio should not be the only fiscal metric to assess the complex relationship between public debt and debt defaults/market access.…”

Section: Literature Reviewmentioning

confidence: 80%

A Comprehensive Scorecard for Assessing Sovereign Vulnerabilities

Lennkh¹,

Moshammer²,

Valenta³

2017

SSRN Journal

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“…How, as an empirical matter, can one determine when a country's sovereign debt is unsustainable? That is the issue considered by Antonio Bassanetti, Carlo Cottarelli and Andrea Presbitero in their contribution to this supplement, 'Lost and found: market access and public debt dynamics in judging sustainability' (Bassanetti et al, 2019). The use of conventional debt sustainability analysis (DSA) may give the impression that it is essentially the level of debt relative to income that matters.…”

Section: Empirical Questionsmentioning

confidence: 99%