A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

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 respo

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Year of publication:	2008
Authors:	Gardner, E. H.
Other Persons:	Di Giovanni, Julian (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Libanon \| Lebanon \| Theorie \| Theory \| Öffentliche Schulden \| Public debt \| Stochastischer Prozess \| Stochastic process

Extent:	Online-Ressource (25 p)
Series:	IMF Working Papers
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; II. Lebanon's Debt Dynamics; III. Methodology; Tables; 1. Standard Deviation of Changes in Monthly Real Short-Term Interest Rates, 1998-2007; A. Construction of the Variance-Covariance Matrix of Shocks; B. Monte Carlo Simulation; IV. Simulation Results; A. Summary Statistics and Simulation Distributions; 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, 2008-121d. 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; B. Fan Charts; 2a. Scenario's Debt-to-GDP Ratio Fan Chart: Temporary Shocks, 2007-12; V. Conclusion; 2b. Scenario's Debt-to-GDP Ratio Fan Chart: Permanent Shocks, 2007-12; Appendix; References
ISBN:	978-1-4518-6958-3 ; 978-1-4519-1412-2 ; 978-1-4518-6958-3
Source:	ECONIS - Online Catalogue of the ZBW

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