Title Assessing Fiscal Stress

Published Washington : International Monetary Fund, 2011

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Description 1 online resource (50 pages) Series IMF Working Papers IMF Working Papers Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Literature Review; III. Methodology; A. Fiscal Crisis Episodes; 1. Definition of Fiscal Crisis Across Advanced and Emerging Market Economies; 2. Summary of Events Across Advanced and Emerging Economies; 1. Incidence of Fiscal Crises; 2. Countries in Fiscal Stress; 3. Summary Comparison of Events Across Studies; B. Fiscal Stress Thresholds; 4. True Versus Predicted Occurrence of Crises; C. Fiscal Stress Index; IV. Results; A. Data; 3. Trends in Selected Fiscal Indicators; B. Indicator Thresholds and Weights 4a. Advanced Economies: Fiscal Indicator Medians and Thresholds4b. Emerging Market Economies: Fiscal Indicator Medians and Thresholds; 5a. Advanced Economies: Thresholds and Relative Weights of Fiscal Indicators; 5b. Emerging Economies: Thresholds and Relative Weights of Fiscal Indicators; 5a. Advanced Economies: Probability of Fiscal Crisis at Different Levels of the Fiscal Stress Index; 5b. Emerging Economies: Probability of Fiscal Crisis at Different Levels of the Fiscal Stress Index; 6. Advanced Economies: Government Bond Yields, Credit Ratings and Fiscal Stress, 2011 C. Fiscal Stress Index Trends7. Fiscal Stress Index, 1995-2011; 8. Contribution of the Fiscal Stress Index Components, 1996-2011; 9. Fiscal Stress Index Levels by Region, 2011; 10. Fiscal Stress Index Changes by Region, 1996-2011; V. Conclusions; 1. Pros and Cons of Early Warning Statistical Methodologies; 2. Comparison of Statistical Methodologies; 3a. Advanced Economies: Fiscal Stress Events; 3b. Emerging Market Economies: Fiscal Stress Events; 4a. Advanced Economies: Event Comparison Across Studies; 4b. Emerging Market Economies: Event Comparison Across Studies 5. List of Indicators and Data Sources6. Summary Statistics of Fiscal Indicators; References; Footnotes Summary This paper develops a new index which provides early warning signals of fiscal sustainability problems for advanced and emerging economies. Unlike previous studies, the index assesses the determinants of fiscal stress periods, covering public debt default as well as near-default events. The fiscal stress index depends on a parsimonious set of fiscal indicators, aggregated using the approach proposed by Kaminsky, Lizondo and Reinhart (1998). The index is used to assess the build up of fiscal stress over time since the mid-1990s in advanced and emering economies. Fiscal stress has increased rec Notes Print version record Subject Country risk -- Econometric models Debts, Public -- Econometric models Country risk -- Econometric models Debts, Public -- Econometric models Form Electronic book Author Petrova, Iva Belhocine, Nazim Baldacci, Emanuele. ISBN 9781462399000 1462399002 1283570343 9781283570343 9781455254316 1455254312

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