Measuring Fiscal Vulnerability and Fiscal Stress: A Proposed Set of Indicators

By James McHugh, Iva Petrova, Emanuele Baldacci

April 1, 2011

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James McHugh, Iva Petrova, and Emanuele Baldacci. Measuring Fiscal Vulnerability and Fiscal Stress: A Proposed Set of Indicators, (USA: International Monetary Fund, 2011) accessed October 6, 2024

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 proposes a set of fiscal indicators to assess rollover risks using the conceptual framework developed by Cottarelli (2011). These indicators provide early warning signals about the manifestation of these risks, giving policymakers the opportunity to adjust policies before extreme fiscal stress events. Two aggregate indices are calculated: an index of fiscal vulnerability and an index of fiscal stress. Results show that both indices are elevated for advanced economies, reflecting unfavorable medium-term debt dynamics and aging-related spending pressures. In emerging economies, solvency risks are lower, but the composition of public debt remains a source of risk and the fiscal position is weaker than before the crisis.

Subject: Asset and liability management, Debt refinancing, Fiscal risks, Fiscal stance, Public debt

Keywords: Debt, Government debt, Short-term debt, WP

Publication Details

Pages:

20
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2011/094
Stock No:

WPIEA2011094
ISBN:

9781455253333
ISSN:

1018-5941

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