SOVEREIGN DEBT SUSTAINABILITY IN ADVANCED ECONOMIES

• 成果类型: Article
• 署名作者: Collard, Fabrice; Habib, Michel; Rochet, Jean-Charles
• 署名单位: University of Bern; University of Zurich; University of Geneva; Centre for Economic Policy Research - UK; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12135
• 发表日期: 2015
• 页码: 381-420
• 关键词: interest-rates; default risk; sudden stops; public debt; indebtedness; repudiation; maturity; price

摘要

We develop a measure of maximum sustainable government debt for advanced economies. How much investors are willing to lend to a country's government depends on the country's expected primary surplus, the level and volatility of its rate of growth, and how much debt the government expects to be able to raise in the future for the purpose of servicing the debt it seeks to raise today. We provide a simple formula that computes a country's maximum sustainable debt (MSD) as a function of four easy-to-estimate parameters. We further compute a country's theoretical probability of default (PD) as a function of its debt-to-GDP ratio. We finally calibrate our measures for 23 OECD countries and test the relation between sovereign yield spreads and our theoretical PD at prevailing debt levels. We find it to be strongly statistically significant.