A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies

By Elif C Arbatli Saxegaard, Emre Alper, Jiri Jonas, Anke Weber, Marc Gerard, Tidiane Kinda, Giovanni Callegari, Anna Shabunina, Andrea Schaechter, Carlos Caceres

January 1, 2012

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Elif C Arbatli Saxegaard, Emre Alper, Jiri Jonas, Anke Weber, Marc Gerard, Tidiane Kinda, Giovanni Callegari, Anna Shabunina, Andrea Schaechter, and Carlos Caceres. A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies, (USA: International Monetary Fund, 2012) accessed December 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Credit default swap, Debt sustainability analysis, External debt, Fiscal policy, Fiscal risks, Fiscal stance, Money, Public debt, Public financial management (PFM)

Keywords: Baseline growth, Credit default swap, Debt, Debt sustainability analysis, Economy, Financing, Financing cost, Fiscal indicators, Fiscal risk, Fiscal risks, Fiscal stance, Fiscal vulnerabilities, Global, Interest rate, Interest rate shock, Market, Market CDS, Shock indicator, Sustainability, WP

Publication Details

Pages:

29
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2012/011
Stock No:

WPIEA2012011
ISBN:

9781463931162
ISSN:

1018-5941

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