EXTERNAL DEBT SUSTAINABILITY, THE CASE OF ROMANIA: QAR MODEL

Ioan Tudor Boengiu
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Ioan Tudor Boengiu: Bucharest Academy of Economic Studies

Theoretical and Applied Economics, 2011, vol. 5(558)(supplement), issue 5(558)(supplement), 741-750

Abstract: In this paper I investigate the external debt sustainability using a quantile autoregression (QAR) model. I presented a methodology to separate periods of nonstationarity from stationarity ones, which allows us to identify various trajectories of external debt that are compatible with indebtness sustainability. I use such trajectories to construct a debt ceiling, that is, the largest value of external debt that does not jeopardize long-run indebtness sustainability. I make out-of-sample forecast of such a ceiling and I presented the debt ceiling as a “debt-warning system” which could be used by policy makers interest in keeping the external debt on a sustainable path. I illustrate the applicability of such econometric tool using Romanian data.

Keywords: external debt; quantile autoregression local sustainability; global sustainability; gross domestic product. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:741-750

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