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A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

Author/Editor: di Giovanni, Julian | Gardner, E. H.
Authorized for Distribution: April 1, 2008
Electronic Access: Free Full Text (PDF file size is 381KB)
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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.
 
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Series: Working Paper No. 08/97
Subject(s): Debt sustainability analysis | Lebanon | Gross domestic product | External shocks | Fiscal policy | Financial risk
Author's keyword(s): Public debt sustainability | risk analysis | Monte Carlo | fan charts
 
English  
    Published:   April 1, 2008        
            Format:   Paper
    Stock No:   WPIEA2008097   Pages:   23
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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