Simple Stochastic Approach to Debt Sustainability Applied to Lebanon.
Title:
Simple Stochastic Approach to Debt Sustainability Applied to Lebanon.
Author:
Gardner, E. H.
ISBN:
9781451914122
Personal Author:
Physical Description:
1 online resource (25 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Lebanon's Debt Dynamics -- III. Methodology -- A. Construction of the Variance-Covariance Matrix of Shocks -- B. Monte Carlo Simulation -- IV. Simulation Results -- A. Summary Statistics and Simulation Distributions -- B. Fan Charts -- V. Conclusion -- Tables -- 1. Standard Deviation of Changes in Monthly Real Short-Term Interest Rates, 1998-2007 -- 2. Standard Deviation of Shocks, 1998-2007 -- 3. Correlation Matrix of Shocks -- Figures -- 1a. Distribution of Simulated Values of Real GDP Growth Rate (g): 2008-12 -- 1b. Distribution of Simulated Values of Effective Interest Rate (r): Temporary Shocks, 2008 -12 -- 1c. Distribution of Simulated Values of Effective Interest Rate (r): Permanent Shocks, 2008-12 -- 1d. Distribution of Simulated Values of Debt-to-GDP Ratio (d): Temporary Shocks, 2008-12 -- 1e. Distribution of Simulated Values of Debt-to-GDP Ratio (d): Permanent Shocks, 2008-12 -- 2a. Scenario's Debt-to-GDP Ratio Fan Chart: Temporary Shocks, 2007-12 -- 2b. Scenario's Debt-to-GDP Ratio Fan Chart: Permanent Shocks, 2007-12 -- Appendix -- References.
Abstract:
This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives "fan charts" to depict the probability distribution of the government debt to GDP ratio under a medium-term adjustment scenario, as a result of shocks to GDP growth and interest rates. The distribution of shocks is derived from the past shocks to these variables and the related variance covariance. Because we are interested in assessing the sustainability of a particular policy scenario, we do not consider independent fiscal policy shocks or the endogenous policy response to shocks.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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