Persistence of the Sovereign Debt Components and Debt Sustainability: Some Evidence for the US and Europe

Guglielmo Maria Caporale, Miguel A. Martin-Valmayor, Luis Gil-Alana and Nieves Carmona-González

No 11409, CESifo Working Paper Series from CESifo

Abstract: This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in 2022. The empirical results provide evidence of a high degree of persistence in all debt/GDP series, which appear to be I(1). However, cross-country differences emerge when analysing the properties of the individual components of debt. Specifically, in countries with a relatively large debt/GDP ratio, such as France and Italy, the primary balance is more persistent (0.5

Keywords: fractional integration; mean reversion; persistence; debt sustainability (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-his
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