- Fiscal (and External) Sustainability - [Document]
- On the Probabilistic Approach to Fiscal Sustainability: Structural Breaks and Non-Normality - [Document]
Analytica Tool for Fiscal Sustainability Risk Analysis
PRMED has developed a user-friendly toolkit for Debt-Sustainability Risk Analysis (DSRA) which provides useful indicators to identify public-debt vulnerabilities and risks. Using a minimal set of parameters and initial values, the prototypical DSA toolkit calculates, among other indicators, the path of debt-to-GDP and a debt-service (cashflow) profile—i.e., addressing liquidity and rollover risk issues using Monte Carlo simulations.
Here you can download (1) a brief note presenting the required set of inputs, and show different debt indicators generated by the toolkit; and (2) the Analytica file. You can download a trial version of the Analytica software from http://www.lumina.com (the Bank qualifies for educational pricing).
- Debt Sustainability Risk Analysis with Analytica - [Document]
- Debt Sustainability Risk Analysis Toolkit - [Analytica File]
Fiscal Sustainability, Risks and Vulnerability
PRMED has developed a comprehensive toolkit for fiscal sustainability in the context of uncertainty. The tool has its roots in traditional fiscal-sustainability analysis, but incorporates several new features that reflect modern developments. It allows for explicit analysis of the effects of uncertainty not just through scenario analysis, but also through full stochastic analysis allowing Value-at-Risk assessments. Given the uncertainty and risks posed by the current oil shock, the tool was extended to account for commodity price risks and possible risks stemming from declining production volumes.
- Fiscal Sustainability, Risks and Vulnerability - [website]