 Debt-at-RiskDavide Furceri, Domenico Giannone, Faizaan Kisat, Raphael Lam and Hongchi Li No 20212, CEPR Discussion Papers from Centre for Economic Policy Research Abstract: This paper proposes a novel framework for analyzing the risks surrounding the public debt outlook, the “Debt-at-Risk.†It employs a quantile panel regression framework to assess how current macro-financial and political conditions impact the entire spectrum of possible future debt outcomes. Many of these factors — including financial conditions and economic variables such as initial debt and GDP growth — predict both the expected level and the uncertainty of future debt, implying pronounced variations in risks, especially in the upper tail of the distribution. By combining the roles of these factors, we find that in a severely adverse scenario — the 95th percentile of the future debt distribution, or debt-at-risk — global public debt could be approximately 20 percentage points higher than currently projected. The magnitudes and sources of debt risks vary over time and across countries, with high initial debt amplifying the effects of economic and financial conditions on debt-at-risk. Furthermore, empirical estimates indicate that debt-at-risk is a key variable for predicting fiscal crises. Keywords: Debt (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:20212 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in CEPR Discussion Papers from Centre for Economic Policy Research 33 Great Sutton Street, London EC1V 0DX, UK. |
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