Assessing Debt Stationarity and Sustainability in the Longer-Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions

Jamel Saadaoui, Chi Keung Lau and Yifei Cai ()
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Yifei Cai: Teesside University, International Business School

No 2022.07, Working Papers from International Network for Economic Research - INFER

Abstract: Thanks to various Fourier DF unit root tests, time-varying fiscal reaction functions and threshold regressions, this study examines the stationarity and the sustainability of public finance for six industrial countries over the period spanning from 1870 to 2017. Longer-run debt sustainability is not rejected for the UK, Sweden, and for the US. The evidence is more mixed for Canada, Italy and Portugal.

Keywords: Fourier DF unit root test; Debt sustainability; Primary balance (search for similar items in EconPapers)
JEL-codes: H (search for similar items in EconPapers)
Pages: 16 pages
Date: 2022
New Economics Papers: this item is included in nep-eec
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Working Paper: Assessing Debt Stationarity and Sustainability in the Longer Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions (2022)
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