## 6. Fiscal Risks in Advanced and Emerging Economies, 2010

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---

### I. Introduction
- Objective:
  - Develop a fiscal monitoring framework with primary objective of assessing rollover risk — the risk that a government will have short- or medium-term difficulties demonstrating solvency and rolling over outstanding liabilities without further adjustment measures.
- Rollover risk drivers (per Cottarelli (2011)):
  - Interaction of (i) current level and baseline projections of key fiscal variables; (ii) shocks around this baseline (macroeconomic, fiscal, contingent liabilities); and (iii) other factors (country-specific non-fiscal variables and changes in global market sentiment). This paper focuses on indicators pertaining to (i).
- Nonlinearities:
  - Relationships between indicators and rollover risk are likely nonlinear, implying thresholds beyond which crises become significantly more likely. Thresholds vary across countries and time.
- Approach:
  - Complement a probabilistic index of rollover risks with an index based on “norms” for fiscal variables derived from historical averages across advanced and emerging economies.

### II. Conceptual framework
- Indicator clusters used to assess baseline rollover risk:
  - Basic fiscal variables
  - Long-term fiscal trends
  - Asset and liability management
- Selection principles:
  - Avoid reliance on financial market indicators because they: (i) already incorporate risk perceptions; (ii) reflect access to non-market financing; and (iii) tend to lag deterioration of fiscal outlook.
  - Choose widely used, easily accessible, cross-country comparable indicators where possible.

A. Basic fiscal variables
- Solvency concept:
  - Intertemporal budget constraint — net present value of future primary fiscal balances ≥ initial public debt stock.
- Emphasized indicators:
  - Public debt (preferred measure: net debt/GDP where available; otherwise gross debt).
  - Current cyclically adjusted primary balance as ratio of potential GDP.
  - Projected medium-term cyclically adjusted primary balance was considered but “including projected values ... failed to enhance” predictive ability.
  - Projected growth-adjusted interest rate (imputed nominal interest rate on government debt minus projected nominal GDP growth) affects debt dynamics.
- Measurement notes:
  - Use net debt where available and significant; otherwise use gross debt.
  - When using net debt, the appropriate primary balance measure excludes net interest expenses (gross interest spending minus interest receipts).

B. Long-term fiscal trends
- Rationale:
  - Demographic and long-term economic trends affect expected future primary balances and thus current solvency perceptions.
- Indicators included:
  - Projected change over coming twenty years in key age-related expenditure items (health and pensions).
  - Current total fertility rate.
  - Projected old-age dependency ratio.

C. Asset and liability management
- Rationale:
  - Composition of assets and liabilities affects near-term rollover needs and amplification of financing risk.
- Indicators and measures:
  - Gross financing needs = overall balance + stock of maturing public debt.
  - Share of short-term public debt as ratio of total public debt.
  - Weighted average maturity of outstanding government debt.
  - For emerging economies only: short-term external debt to gross international reserves.
  - Share of debt denominated in foreign currencies.
  - General government debt held by non-residents as proportion of total debt.

### III. Monitoring fiscal vulnerability and stress
- Two complementary signaling tools:
  - Fiscal vulnerability index: summarizes fiscal indicators as departures from historical “norms” (10-year cross-country averages).
  - Fiscal stress index: assesses susceptibility to extreme “tail events” using endogenous thresholds derived by minimizing prediction errors.
- Fiscal vulnerability index methodology:
  - Transform each indicator x_ij into standardized z-score v_ij = (x_ij − μ)/σ, where μ is the 10-year peer group average (calculated separately for advanced and emerging economies) and σ is the corresponding standard deviation.
  - Sign convention: high positive z-score implies worse performance.
  - For each cluster, unweighted average of z-scores is computed; z-scores transformed into a cumulative normal distribution ranging from 0 to 10 with mean 5.
  - Aggregate country scores weighted by relative PPP-adjusted GDP for advanced and emerging economies.
- Fiscal stress index methodology:
  - Fiscal crisis defined by any of four criteria: (i) public debt default or restructuring; (ii) an IMF-supported program exceeding 100 percent of country quota; (iii) excessively high inflation rate; (iv) exceptionally high sovereign bond yields.
  - A set of 176 episodes is identified among advanced and emerging economies over the past four decades.
  - Assess signaling power: estimate thresholds for each indicator using a univariate nonparametric method that minimizes total misclassified errors (TME = Type I false positives + Type II false negatives). Optimal threshold C* minimizes TME(C).
  - Calculate fiscal stress index: count indicators exceeding thresholds, weight by signaling power, rank countries by estimated vulnerability. Aggregate index rescaled to range between 0 and 10 on the basis of an exponential distribution and weighted by PPP-adjusted GDP.
  - Note: due to small number of crisis events, the TME methodology places greater weight on misclassifying crisis events, yielding relatively conservative thresholds.

### IV. Empirical application (2010)
- Data sources:
  - Spring and Fall 2010 Fiscal Monitor databases (indicators from other sources use closest available cut-off date).
- Combined rollover risk score:
  - Simple average of fiscal vulnerability and fiscal stress index values for each indicator cluster.
- Key empirical findings:
  - Overall, baseline rollover risks were significantly higher in advanced economies than in emerging economies in 2010 — reflecting weaker fiscal fundamentals and higher long-term pressures due to population aging in advanced economies.
  - Rollover risks in emerging economies were more elevated than in pre-crisis times, reflecting exposure to maturity and exchange rate risks, higher debt levels, and larger fiscal imbalances.
  - During 2010:
    - Advanced economies: small reduction in rollover risks overall; basic fiscal variable risks remained elevated due to increasing public debt and uneven fiscal consolidation. Corrections to potential output estimates in Fall 2010 led to an upward revision in the cyclically adjusted primary fiscal balance, improving the solvency outlook relative to Spring 2010.
    - Emerging economies: fiscal risks increased overall. Basic fiscal variables moved in different directions, yielding a weaker solvency outlook overall. Some emerging economies benefited from better growth prospects and fiscal adjustment, but resource-rich economies weakened underlying fiscal positions as commodity price upturns were not saved.
    - Long-term fiscal pressure risks remained high and above “normal” in advanced economies and pressured solvency in emerging economies; these risks did not change between Spring and Fall 2010.
    - Asset and liability management risks increased modestly in advanced economies (large gross financing needs from increasing borrowing costs) and were higher in emerging economies due to higher financing needs and increases in short-term debt in some large emerging economies.
  - Differences between indices for emerging economies:
    - Basic fiscal variable risks increased slightly per the fiscal stress index but remained stable per the fiscal vulnerability score — reflecting deteriorations in debt ratios for some countries near stress thresholds.
    - Asset and liability management risks remained broadly stable per the fiscal stress index (and were significantly lower than in advanced economies) but increased modestly per the fiscal vulnerability index (and were at levels similar to advanced countries).
- Aggregate methods and robustness:
  - Results tested for robustness, including removal of outliers.
  - Rank correlation between fiscal vulnerability and fiscal stress indices ranges between 0.6 and 0.7 and is significantly different from zero; indices move in same direction during 2010 and 2011.
  - Indices calculated separately for larger samples and for restricted G-20 plus GIPS samples; aggregate country scores weighted by PPP-adjusted GDP.

### V. Concluding remarks
- Key conclusions:
  - Post-crisis deterioration in public sector balance sheets has heightened perceptions of rollover risk even in advanced economies.
  - Monitoring should expand beyond traditional fiscal variables to three clusters: solvency based on current and expected future fiscal policies; long-term fiscal trends (mainly demographic); and characteristics of government assets and liabilities.
  - Two complementary tools — a fiscal vulnerability index (norms-based) and a fiscal stress index (threshold/model-based) — provide a combined measure of how variables diverge from historical peer-group averages and the risk of fiscal crises.
- Application to 2010 data indicates:
  - Rollover risks remain elevated for advanced economies due to weakened fundamentals and aging-related budget pressures.
  - Rollover risks are lower but non-negligible in emerging economies due to stronger fiscal balances, lower public debt ratios, more favorable demographics, and positive growth prospects; however, asset and liability management risks increased slightly in 2010 and fiscal balances remain worse than pre-crisis.

### Selected empirical statistics and tables (excerpted)
- Table 3. Summary of Fiscal Stress Events (selected aggregate statistics)
  - Advanced Economies: 41 fiscal stress events; Default or Restructuring: 0; IMF-Supported Program: 6; High Inflation: 5; Bond Yield Pressure: 29; Duration of Fiscal Stress (in years): 2.5
  - Advanced Economies by decade:
    - 1970-79: 14, 0, 1, 4, 7, 2.6
    - 1980-89: 8, 0, 2, 1, 5, 2.5
    - 1990-99: 8, 0, 2, 0, 6, 2.3
    - 2000-10: 11, 0, 1, 0, 11, 2.6
  - Emerging Economies: 135 fiscal stress events; Default or Restructuring: 52; IMF-Supported Program: 79; High Inflation: 6; Bond Yield Pressure: 15; Duration of Fiscal Stress (in years): 3.6
  - Emerging Economies by decade:
    - 1970-79: 15, 8, 9, 1, 0, 3.1
    - 1980-89: 41, 26, 22, 0, 0, 6.6
    - 1990-99: 37, 12, 20, 5, 5, 2.6
    - 2000-10: 42, 6, 28, 0, 10, 1.6
- Table 2 (selected definitions and sources):
  - r-g (5-year average): Imputed interest rate on general government debt, deflated by the GDP deflator, minus real GDP growth rate; five year forward moving average — Data Source: WEO
  - Cyclically adjusted primary balance: Expressed as a percent of potential GDP — Data Source: WEO
  - General government gross/net debt: Expressed in percent of GDP. Net debt used for Japan and Canada, gross debt for all other countries — Data Source: WEO
  - Total fertility rate: The average number of children per woman — Data Source: UN
  - Old age dependency ratio: 30 years ahead projections of the ratio the population over 65, divided by the number of adults — Data Source: UN
  - Long-term projections of the change in public pension expenditure: Expressed as in percent of GDP, the change in projected expenditures 40 years ahead relative to to the base year — Data Source: Staff estimates
  - Current gross financing need: Projected general government overall balance plus general government debt with a maturity of one year or less; expressed in percent of GDP — Data Source: WEO, Bloomberg
  - Debt denominated in foreign currencies: General government debt, expressed in terms of total debt — Data Source: VEE
  - Debt held by non-residents as a proportion of total debt: Includes both domestic and foreign currency issued debt; expressed as a proportion of total debt — Data Source: BIS
  - Weighted average maturity of general government debt: Historical date calculated by staff; current data available from Bloomberg — Data Sources: Bloomberg, Dealogic
  - Short-term external debt: Short-term debt is defined as general government debt with a maturity of one year or less — Data Sources: WEO, IFS

*IMF — Chapter 6, “Fiscal Risks in Advanced and Emerging Economies, 2010.”*

### References .............................................................................................................

### _wp1194 - References

### Tables
- 1. Fiscal Monitoring Indicators ................................................................................................16
- 2. Data Definitions and Sources ...............................................................................................17
- 3. Summary of Fiscal Stress Events .........................................................................................18
- 4. True Versus Predicted Occurrence of Crises .......................................................................18
- 5. Fiscal Risks in G-20 Advanced Economies, GIPS and Emerging Economies, 2010 ..........19

*Source: _wp1194 - References .............................................................................................................*

### 6. Fiscal Risks in Advanced and Emerging Economies, 2010 ................................................20

### 6. Fiscal Risks in Advanced and Emerging Economies, 2010

### I. Introduction
- Objective: develop a fiscal monitoring framework with primary objective of assessing rollover risk — the risk that a government will have short- or medium-term difficulties demonstrating solvency and rolling over outstanding liabilities without further adjustment measures.
- Rollover risk drivers (per Cottarelli (2011)): interaction of (i) current level and baseline projections of key fiscal variables; (ii) shocks around this baseline (macroeconomic, fiscal, contingent liabilities); and (iii) other factors (country-specific non-fiscal variables and changes in global market sentiment). This paper focuses on indicators pertaining to (i).
- Nonlinearities: relationships between indicators and rollover risk are likely nonlinear, implying thresholds beyond which crises become significantly more likely. Thresholds vary across countries and time.
- Approach: complement a probabilistic index of rollover risks with an index based on “norms” for fiscal variables derived from historical averages across advanced and emerging economies.

### II. Conceptual framework
- Indicators grouped into three clusters used to assess baseline rollover risk:
  - Basic fiscal variables
  - Long-term fiscal trends
  - Asset and liability management
- Selection principles:
  - Avoid reliance on financial market indicators because they: (i) already incorporate risk perceptions; (ii) reflect access to non-market financing; and (iii) tend to lag deterioration of fiscal outlook.
  - Choose widely used, easily accessible, cross-country comparable indicators where possible.

A. Basic fiscal variables
- Key concept: solvency requires the intertemporal budget constraint — net present value of future primary fiscal balances ≥ initial public debt stock.
- Indicators emphasized:
  - Public debt (preferred measure: net debt/GDP where available; otherwise gross debt due to data comparability constraints).
  - Current cyclically adjusted primary balance as ratio of potential GDP (reflects fiscal stance independent of output cycle).
  - Projected medium-term cyclically adjusted primary balance was considered but “including projected values ... failed to enhance” predictive ability.
  - Projected growth-adjusted interest rate (imputed nominal interest rate on government debt minus projected nominal GDP growth) affects debt dynamics: higher interest rate–growth differential implies larger primary balance required for solvency.
- Measurement notes:
  - Use net debt where available and significant; otherwise use gross debt.
  - When using net debt, the appropriate primary balance measure excludes net interest expenses (gross interest spending minus interest receipts).

B. Long-term fiscal trends
- Rationale: demographic and long-term economic trends affect expected future primary balances and thus current solvency perceptions.
- Indicators included:
  - Future expenditure pressures: projected change over coming twenty years in key age-related expenditure items (health and pensions).
  - Current total fertility rate: forward-looking indicator of future demographic change and potential tax base trends.
  - Projected old-age dependency ratio: combines long-term demographic trends with initial population structure and indicates capacity to bear old-age support costs.

C. Asset and liability management
- Rationale: composition of assets and liabilities affects near-term rollover needs and amplification of financing risk.
- Indicators and measures:
  - Gross financing needs = overall balance + stock of maturing public debt (measure of rollover requirement).
  - Share of short-term public debt as ratio of total public debt (exposure to near-term rollover risk).
  - Weighted average maturity of outstanding government debt (summary of maturity structure).
  - For emerging economies only: short-term external debt to gross international reserves (indicates likely claim on foreign currency resources).
  - Share of debt denominated in foreign currencies (exposure to exchange rate shocks).
  - General government debt held by non-residents as proportion of total debt (captures perceived greater default risk on debt held by non-residents).

### III. Monitoring fiscal vulnerability and stress
- Two complementary signaling tools proposed:
  - Fiscal vulnerability index: summarizes fiscal indicators as departures from historical “norms” (10-year cross-country averages). Simple but interpretation of norms less straightforward than model-based indices.
  - Fiscal stress index: assesses susceptibility to extreme “tail events” (debt defaults, large bond-yield spikes) using endogenous thresholds derived by minimizing prediction errors; provides natural weighting by predictive power but depends on crisis definition.
- Fiscal vulnerability index methodology:
  - Each indicator x_ij transformed into standardized z-score v_ij = (x_ij − μ)/σ, where μ is the 10-year peer group average (calculated separately for advanced and emerging economies) and σ is the corresponding standard deviation.
  - Sign convention: high positive z-score implies worse performance.
  - For each cluster, unweighted average of z-scores is computed; z-scores transformed into a cumulative normal distribution ranging from 0 to 10 with mean 5. Index values close to 10 indicate high vulnerability; values close to 5 indicate “normal” vulnerability.
  - Aggregate country scores weighted by relative PPP-adjusted GDP for advanced and emerging economies.
- Fiscal stress index methodology:
  - Define fiscal crisis via any of four criteria: (i) public debt default or restructuring; (ii) an IMF-supported program exceeding 100 percent of country quota; (iii) excessively high inflation rate; (iv) exceptionally high sovereign bond yields. A set of 176 episodes is identified among advanced and emerging economies over the past four decades.
  - Assess signaling power: estimate thresholds for each indicator using a univariate nonparametric method that minimizes total misclassified errors (TME = Type I false positives + Type II false negatives). Optimal threshold C* minimizes TME(C). Methodology applied separately for advanced and emerging economies.
  - Calculate fiscal stress index: count indicators exceeding thresholds, weight by signaling power, rank countries by estimated vulnerability. Aggregate index rescaled to range between 0 and 10 on the basis of an exponential distribution and weighted by PPP-adjusted GDP.
  - Note: due to small number of crisis events, the TME methodology places greater weight on misclassifying crisis events, yielding relatively conservative thresholds.

### IV. Empirical application (2010)
- Data sources: Spring and Fall 2010 Fiscal Monitor databases (indicators from other sources use closest available cut-off date).
- Combined rollover risk score: simple average of fiscal vulnerability and fiscal stress index values for each indicator cluster.
- Key empirical findings:
  - Overall, baseline rollover risks were significantly higher in advanced economies than in emerging economies in 2010 — reflecting weaker fiscal fundamentals and higher long-term pressures due to population aging in advanced economies.
  - Rollover risks in emerging economies were more elevated than in pre-crisis times, reflecting exposure to maturity and exchange rate risks, higher debt levels, and larger fiscal imbalances.
  - During 2010:
    - Advanced economies: small reduction in rollover risks overall; basic fiscal variable risks remained elevated due to increasing public debt and uneven fiscal consolidation. Corrections to potential output estimates in Fall 2010 led to an upward revision in the cyclically adjusted primary fiscal balance, improving the solvency outlook relative to Spring 2010.
    - Emerging economies: fiscal risks increased overall. Basic fiscal variables moved in different directions, yielding a weaker solvency outlook overall. Some emerging economies benefited from better growth prospects and fiscal adjustment, but resource-rich economies weakened underlying fiscal positions as commodity price upturns were not saved.
    - Long-term fiscal pressure risks remained high and above “normal” in advanced economies and pressured solvency in emerging economies; these risks did not change between Spring and Fall 2010.
    - Asset and liability management risks increased modestly in advanced economies (large gross financing needs from increasing borrowing costs) and were higher in emerging economies due to higher financing needs and increases in short-term debt in some large emerging economies.
  - Differences between indices for emerging economies:
    - Basic fiscal variable risks increased slightly per the fiscal stress index but remained stable per the fiscal vulnerability score — reflecting deteriorations in debt ratios for some countries near stress thresholds.
    - Asset and liability management risks remained broadly stable per the fiscal stress index (and were significantly lower than in advanced economies) but increased modestly per the fiscal vulnerability index (and were at levels similar to advanced countries). Reason: fiscal stress index captures tail-event probability, while vulnerability index captures linear departures from cross-country averages.
- Aggregate methods and robustness:
  - Results tested for robustness, including removal of outliers.
  - Rank correlation between fiscal vulnerability and fiscal stress indices ranges between 0.6 and 0.7 and is significantly different from zero; indices move in same direction during 2010 and 2011.
  - Indices calculated separately for larger samples and for restricted G-20 plus GIPS samples; aggregate country scores weighted by PPP-adjusted GDP.

### V. Concluding remarks
- Post-crisis deterioration in public sector balance sheets has heightened perceptions of rollover risk even in advanced economies.
- Monitoring should expand beyond traditional fiscal variables to three clusters: solvency based on current and expected future fiscal policies; long-term fiscal trends (mainly demographic); and characteristics of government assets and liabilities.
- Two complementary tools — a fiscal vulnerability index (norms-based) and a fiscal stress index (threshold/model-based) — provide a combined measure of how variables diverge from historical peer-group averages and the risk of fiscal crises.
- Application to 2010 data indicates:
  - Rollover risks remain elevated for advanced economies due to weakened fundamentals and aging-related budget pressures.
  - Rollover risks are lower but non-negligible in emerging economies due to stronger fiscal balances, lower public debt ratios, more favorable demographics, and positive growth prospects; however, asset and liability management risks increased slightly in 2010 and fiscal balances remain worse than pre-crisis.

*Source: IMF — Chapter 6, “Fiscal Risks in Advanced and Emerging Economies, 2010.”*

### References

### _wp1194 - References

### Key References
- Bartolini, L, and Cottarelli, C. (1992) “ Government Ponzi Games and the Sustainability of Public Debt under Uncertainty” Ricerche Economiche 48.
- Baunsgaard, T., and Shin, J. (2011) “Guidance Note: Gross Versus Net Debt in Fiscal Analysis” International Monetary Fund (Washington DC).
- Baldacci, E., Petrova, I., Belhocine, N., Dobrescu, G., and S. Mazraani, (2011) “Assessing Fiscal Stress,” International Monetary Fund (Washington DC).
- Bornhorst, F., Dobrescu, G., Fedelino, A., and Gottschalk J., (2010) “Structural Fiscal Balances: What is there beyond the Cycle,” International Monetary Fund (Washington DC).
- Caceres, C., V. Guzzo, and Segoviano, M. (2010) “ Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?” IMF Working Papers, WP/10/120. International Monetary Fund, (Washington DC).
- Caner, M., T Grennes, and F. Koehler-Geib (2011) “Finding the Tipping Point: When Sovereign Debt Turns Bad”, in Sovereign Debt and the Financial Crisis: Will This Time be Different? The World Bank.
- Cottarelli, C. (2011) “The Risk Octagon: A Comprehensive Framework for Assessing Sovereign Risks” presented in University of Rome “La Sapienza,” January. Available via the Internet: www.imf.org/external/np/fad/news/2011/docs/Cottarelli1.pdf
- Escolano, J. (2010) “A Practical Guide to Public Debt Dynamics, Fiscal Sustainability, and Cyclical Adjustment of Budgetary Aggregate”, FAD Technical Notes and Manuals. International Monetary Fund (Washington DC).
- International Monetary Fund (2007), Assessing Underlying Vulnerabilities and Crisis Risks in Emerging Market Countries – A New Approach. International Monetary Fund (Washington DC).
- International Monetary Fund (2010a), The IMF-FSB Early Warning Exercise: Design and methodological Toolkit. International Monetary Fund, September 2009, (Washington DC). Available via the Internet: www.imf.org/external/np/pp/eng/2010/090110.pdf
- International Monetary Fund (2010b) Fiscal Exit: From Strategy to Implementation. November 2010. International Monetary Fund (Washington DC).

### Figures and Tables (items and key entries present in the unit)
- Figure 1. Composite Risk Scores, 2010
  - Source: IMF staff estimates.
- Table 1. Fiscal Monitoring Indicators
  - Basic Fiscal Variables:
    - r-g (10 year average): Indicates the effect on fiscal solvency of the interest rate-growth differencial
    - General government gross/net debt: Debt burden
    - Cyclically adjusted primary balance: Corrects overall balance for cyclical and one-off factors
  - Long-Term Fiscal Trends:
    - Total fertility rate: Indicates the population aging momentum
    - Old age dependency ratio projections: Measures future burden of population aging
    - Long-term projections of the change in public pension expenditure: Measures projected budget pressures from pension expenditures
    - Long-term projections of the change in public health expenditure: Measures projected budget pressures from health expenditures
  - Asset and Liability Management:
    - Current gross financing need: Measures the government's rollover and new borrowing requirement
    - Share of short-term debt as a ratio of total debt: Indicates vulnerability to rollover risk
    - Debt denominated in foreign currencies: An indicator of exposure to foreign exchange risk; applies only to emerging market economies; expressed in percent of total debt.
    - Debt held by non-residents as a proportion of total debt: An indicator of global market risk
    - Weighted average maturity of general government debt: A forward looking indicator of the vulnerability changes in market sentiment; expressed as years
    - Short-term external debt: Provides information on the likely claim on foreign currency resources available to meet short term foreign debt servicing costs; applies only to emerging market economies
- Table 2. Data Definitions and Sources (selected entries)
  - r-g (5-year average): Imputed interest rate on general government debt, deflated by the GDP deflator, minus real GDP growth rate; five year forward moving average — Data Source: WEO
  - Cyclically adjusted primary balance: Expressed as a percent of potential GDP — Data Source: WEO
  - General government gross/net debt: Expressed in percent of GDP. Net debt used for Japan and Canada, gross debt for all other countries — Data Source: WEO
  - Total fertility rate: The average number of children per woman — Data Source: UN
  - Old age dependency ratio: 30 years ahead projections of the ratio the population over 65, divided by the number of adults — Data Source: UN
  - Long-term projections of the change in public pension expenditure: Expressed as in percent of GDP, the change in projected expenditures 40 years ahead relative to to the base year — Data Source: Staff estimates
  - Current gross financing need: Projected general government overall balance plus general government debt with a maturity of one year or less; expressed in percent of GDP — Data Source: WEO, Bloomberg
  - Debt denominated in foreign currencies: General government debt, expressed in terms of total debt — Data Source: VEE
  - Debt held by non-residents as a proportion of total debt: Includes both domestic and foreign currency issued debt; expressed as a proportion of total debt — Data Source: BIS
  - Weighted average maturity of general government debt: Historical date calculated by staff; current data available from Bloomberg — Data Sources: Bloomberg, Dealogic
  - Short-term external debt: Short-term debt is defined as general government debt with a maturity of one year or less — Data Sources: WEO, IFS
- Table 3. Summary of Fiscal Stress Events (selected aggregate statistics)
  - Advanced Economies: 41 fiscal stress events; Default or Restructuring: 0; IMF-Supported Program: 6; High Inflation: 5; Bond Yield Pressure: 29; Duration of Fiscal Stress (in years): 2.5
  - Advanced Economies by decade:
    - 1970-79: 14, 0, 1, 4, 7, 2.6
    - 1980-89: 8, 0, 2, 1, 5, 2.5
    - 1990-99: 8, 0, 2, 0, 6, 2.3
    - 2000-10: 11, 0, 1, 0, 11, 2.6
  - Emerging Economies: 135 fiscal stress events; Default or Restructuring: 52; IMF-Supported Program: 79; High Inflation: 6; Bond Yield Pressure: 15; Duration of Fiscal Stress (in years): 3.6
  - Emerging Economies by decade:
    - 1970-79: 15, 8, 9, 1, 0, 3.1
    - 1980-89: 41, 26, 22, 0, 0, 6.6
    - 1990-99: 37, 12, 20, 5, 5, 2.6
    - 2000-10: 42, 6, 28, 0, 10, 1.6
  - Source: Baldacci et al. (2011).
- Table 4. True Versus Predicted Occurrence of Crises
  - Confusion-matrix layout presented with entries:
    - Signal (crisis) / Crisis: True Positive (TP(C))
    - Signal (crisis) / No crisis: False Positive (FP(C))
    - No signal (no crisis) / Crisis: False Negative (FN(C))
    - No signal (no crisis) / No crisis: True Negative (TN(C))
  - Labels: Total State of the world; Predicted result; Total crises obs. (N_C); Total non-crisis obs. (N_NC)
- Table 5. Fiscal Risks in G-20 Advanced Economies, GIPS and Emerging Economies, 2010 (table present)
- Table 6. Fiscal Risks in Advanced and Emerging Economies, 2010 (table present)

*Source: _wp1194 - References*

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