Stochastic debt sustainability assessment – different approaches and application to Portugal

• Autor(a) principal: Baptista, João
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/161207
• topic: Fiscal sustainability; Stochastic debt sustainability analysis; Stochastic debt simulations; Fan charts; Vector auto-regression (VAR); Portugal; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

Some of the literature on fiscal sustainability has developed approaches for stochastic simulations of the evolution of debt, quantifying the uncertainty inherent in the debt projections of standard debt sustainability assessments (DSA). I apply two different approaches to performing these stochastic debt sustainability assessments (SDSA) to Portugal, until 2027, approximating the methodologies used to allow for comparability of results. The simulated distributions are similar, suggesting a median decrease of the debt ratio, with significant risks to sustainability highlighted by relatively wide distributions. I argue that using both approaches is useful to corroborate the results obtained in the simulations.