| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24068 |
| 来源ID | Working Paper 24068 |
| A New Index of Debt Sustainability | |
| Olivier J. Blanchard; Mitali Das | |
| 发表日期 | 2017-12-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Debt sustainability is fundamentally a probabilistic concept: Debt is rarely sustainable with probability one. We propose an index of external debt sustainability that reflects this uncertainty. Namely we construct the index as the probability that, at the current exchange rate, net external debt is equal to or less than the present value of net exports. Constructing this index involves three steps: (1) deriving the distribution of the present value of net exports at the current exchange rate; (2) deriving the distribution of exchange rates associated with the condition that, for each realization, the present discounted value of net exports is at least equal to the value of current net debt; and (3) assessing where the current exchange rate stands in the distribution of exchange rates and thus the probability that debt is sustainable. Having shown how this can be done, we then compute the index for two countries, the United States and Chile. Our main conclusion is the large degree of uncertainty implied by the presence of large gross asset and liability positions, together with uncertainty about rates of return on these assets and liabilities. The size of the distribution of exchange rate adjustments implies that one should be careful in concluding that debt is or is not sustainable at the current exchange rate and that strong measures are potentially needed to reestablish sustainability. Exchange rates that appear overvalued in the baseline may still imply a reasonably high probability that debt is sustainable at the current exchange rate; symmetrically, exchange rates that appear undervalued in the baseline may still come with a reasonably low probability that debt is unsustainable at the current exchange rate. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w24068 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581742 |
| 推荐引用方式 GB/T 7714 | Olivier J. Blanchard,Mitali Das. A New Index of Debt Sustainability. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24068.pdf（383KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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