DEBT CEILING AND EXTERNAL DEBT SUSTAINABILITY IN ROMANIA: A QUANTILE AUTOREGRESSION MODEL

被引:0
|
作者
Boengiu, Tudor [1 ]
Triandafil, Cristina Morar [2 ]
Triandafil, Adrian Morar [3 ]
机构
[1] Acad Econ Studies, Bucharest, Romania
[2] Univ Finance & Banking, Bucharest, Romania
[3] Acad Romana, Bucharest, Romania
来源
ROMANIAN JOURNAL OF ECONOMIC FORECASTING | 2011年 / 14卷 / 04期
关键词
external debt; quantile autoregression; local sustainability; global sustainability; gross domestic product; REGRESSION; INFERENCE;
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
In this paper we investigate the external debt sustainability using a quantile autoregression (QAR) model. QAR is a new type of econometric models used to separate periods of nonstationarity from the stationarity ones. This kind of model allows us to identify various trajectories of external debt that are compatible with indebtness sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of external debt that does not jeopardize long-run indebtness sustainability. We make out-of-sample forecast of such a ceiling and we present the debt ceiling as a "debt-warning system" which could be used by policy makers interested in keeping the external debt on a sustainable path. We illustrate the applicability of such econometric tool using Romanian data. Also, we used the R programming language for part of our statistical computing and graphics presented in this study.
引用
收藏
页码:15 / 29
页数:15
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