Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fi scal data in two main dimensions. First, we use quarterly fi scal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis...

We analyze public debt sustainability in Serbia between 2004Q3 and 2014Q3. The results of our analysis are: i) public debt to GDP ratio is on unsustainable path, according to the results of unit root tests; ii) the response of primary fiscal balance to public debt accumulation is insufficient to...

The world economy has been struck by Covid-19 the same way people are struck by a lightning, fast and without warning, leaving nations out to dry on little to no reserves on their crucial supply side. Consequently, over the past year, economies shrunk, production drastically diminished, and...

Among the different criteria used for testing sustainability of public debt, the econometric approach determines whether a government is able to sustain its budget deficits without defaulting on its debt. In this contribution, by linking three different motives proposed respectively by Trehan...

This paper illustrates how a parsimonious macro-finance model can be exploited to investigate the frequency-domain properties of debt service implied by various financing strategies. This original approach is valuable to public debt managers seeking to assess the fiscal-hedging properties of the...

This paper shows how public debt repurchases can be used to reduce the costs of debt service, under the hypothesis of asymmetry of information between the government and the private sector. At the beginning of a fiscal stabilisation, for example, a government typically does not enjoy full...

The paper presents the results of a reconstruction of the Italian public debt series since national unification. Computations use today's statistical methodology to obtain a database consistent with the national accounts. The reference sector is general government, not the state sector, as in...

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...