A toolkit for Assessing Fiscal Vulnerabilities and Risks in Advanced Economies

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

No 2012/011, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; debt; interest rate; market; economy; financing; Fiscal vulnerabilities; fiscal risk; fiscal indicators; sustainability; interest rate shock; shock indicator; baseline growth; market CDS; financing cost; Fiscal risks; Fiscal stance; Debt sustainability analysis; Credit default swap; Global (search for similar items in EconPapers)
Pages: 29
Date: 2012-01-01
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Citations: View citations in EconPapers (6)

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