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Optimization in a simulation setting: Use of function approximation in debt strategy analysis
Bolder, David Jamieson; Rubin, Tiago - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. …
Persistent link: https://www.econbiz.de/10010279867
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A Simulation Model of Public Debt Sustainability
Albu, Lucian-Liviu - 2010
There is a long period since the problem of public debt sustainability captures the attention of economists. However, there is no unanimity concerning an adequate unique sustainability indicator or function generally accepted. Just in this line of elaborating new models and improving...
Persistent link: https://www.econbiz.de/10013147756
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Optimization in a simulation setting : use of function approximation in debt strategy analysis
Bolder, David Jamieson (contributor);  … - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. -- Debt …
Persistent link: https://www.econbiz.de/10003463632
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A Primer on Managing Sovereign Debt-Portfolio Risks
Jonasson, Thordur - 2018
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...
Persistent link: https://www.econbiz.de/10012918566
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Assessing public debt sustainability for Costa Rica using the fiscal reaction function
Lankester-Campos, Valerie; Loaiza-Marín, Kerry; … - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-29
This paper assesses Costa Rica's public debt sustainability empirically using three complementary approaches: the calculation of the debt-stabilizing primary fiscal balance obtained from the government's intertemporal budget constraint, the estimation of the parameters of a fiscal policy...
Persistent link: https://www.econbiz.de/10012545620
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On Fixed and Variable Fiscal Surplus Rules
Basci, Erdem - 2006
Fiscal rules are being increasingly used by both emerging and developed economies. This paper analyzes two alternative fiscal policy rules in terms of their impact on debt sustainability: a rule that fixes the ratio of primary surplus to GDP (quot;fixed surplus rulequot;) and one that sets the...
Persistent link: https://www.econbiz.de/10012783152
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Assessing Dutch Fiscal and Debt Sustainability
Carton, Benjamin; Fouejieu, Armand - 2021
Although the Netherlands entered the so-called Great Lockdown with a strong fiscal position, the Dutch fiscal balance is projected to deteriorate by an unprecedented magnitude, largely as a result of necessary fiscal measures deployed to weather the economic impact of the COVID-19 pandemic. This...
Persistent link: https://www.econbiz.de/10013250092
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Contingent convertible bonds for sovereign debt risk management
Consiglio, Andrea - 2020
crises, and provide supporting evidence with eurozone data and a simple simulation on the use of S-CoCo. We develop a risk …
Persistent link: https://www.econbiz.de/10012855874
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Risk Management for Sovereign Debt Financing with Sustainability Conditions
Zenios, Stavros A. - 2020
We develop a model of debt sustainability analysis with optimal financing decisions in the presence of macroeconomic, financial and fiscal uncertainty. We define a coherent measure of refinancing risk, and trade off the risks of debt stock and flow dynamics, subject to debt sustainability...
Persistent link: https://www.econbiz.de/10012847069
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Risk Management Optimization for Sovereign Debt Restructuring
Consiglio, Andrea - 2016
Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The...
Persistent link: https://www.econbiz.de/10013006075