各国最大可持续债务：基于P理论的评估

Maximum SustainableDebt Across Countries: An Assessment using P-Theory Yongquan Cao, Wei Jiang, W. Raphael Lam, Neng Wang WP/25/223 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working PaperFiscal Affairs Department Maximum Sustainable Debt Across Countries: An Assessment using P-TheoryPrepared by Yongquan Cao*, Wei Jiang+, W. Raphael Lam*, and Neng Wang# Authorized for distribution by Davide FurceriOctober 2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper provides a parsimonious yet tractable approach to evaluating maximum sustainabledebt across countries and over time within the p-theory framework developed by Jiang et al. (2024). Byincorporating tax distortions, asset-pricing components (risk-free rates, convenience yields, and jump-riskpremia), and sovereign default risks into the model, we calibrate it for a large sample of over 170 countries. Ourillustrative findings show that while current debt levels in many economies remain within maximum sustainabledebt levels, debt burdens in many emerging markets and low-income countries are near their respectivesustainable levels. In contrast, a few countries that are in—or at high risk of—debt distress have debt levelsexceeding their sustainable thresholds. The analysis highlights how sustainable debt estimates evolve over timein response to shifts in financial conditions and macro-fiscal fundamentals. These estimates are particularlysensitive to key parameters—most notably when interest-growth differentials are narrow. RECOMMENDED CITATION:Cao, Yongquan, Wei Jiang, W. Raphael Lam, and Neng Wang. 2025.“Maximum Sustainable Debt across Countries: An Assessment using P-Theory” IMF Working Papers No.2025/223. Maximum Sustainable Debt AcrossCountries An assessment using P-Theory Prepared by Yongquan Cao, Wei Jiang, W. Raphael Lam, and Neng Wang Maximum Sustainable Debt Across Countries: AnAssessment Using the p-Theory∗ Yongquan Cao1, Wei Jiang2, W. Raphael Lam1, and Neng Wang3 October 20, 2025 Abstract This paper provides a parsimonious yet tractable approach to evaluating maximumsustainable debt across countries and over time within the p-theory framework devel-oped by Jiang, Sargent, Wang, and Yang (2024).By incorporating tax distortions,asset-pricing components (risk-free rates, convenience yields, and jump-risk premia),and sovereign default risks into the model, we calibrate it for a large sample of over170 countries.Our illustrative findings show that while current debt levels in manyeconomies remain within maximum sustainable debt levels, debt burdens in manyemerging markets and low-income countries are near their respective sustainable lev-els.In contrast, a few countries that are in—or at high risk of—debt distress havedebt levels exceeding their sustainable thresholds.The analysis highlights how sus-tainable debt estimates evolve over time in response to shifts in financial conditionsand macro-fiscal fundamentals.These estimates are particularly sensitive to key pa-rameters—most notably when interest-growth differentials are narrow. 1Introduction Global public debt exceeded $100 trillion in 2024 and is projected to approach 100% of GDPby the end of the decade—surpassing the pandemic peak—according to the 2025 IMF WorldEconomic Outlook.The debt outlook is also subject to significant upside risks (Furceri,Giannone, Kisat, Lam, and Li (2025)).Public debt could be 20 percentage points higherthan projected three years ahead in a severely adverse scenario, driven mainly by heightenedpolicy uncertainty, tighter financial conditions, and rising geopolitical tensions. Hence, it isimportant to assess the maximum sustainable debt—that is, the debt levels countries canafford without distress—across countries. Such estimates can help inform sound policy de-cisions. Throughout, quantitative figures are illustrative and meant to complement existingmethod to assess sovereign risks. This paper estimates maximum sustainable debt across countries with two main contribu-tions. First, it provides a parsimonious yet tractable framework to determine the sustainabledebt (¯b) using the p-theory framework proposed by Jiang, Sargent, Wang, and Yang (2024).The setup has a direct asset-pricing mapping—linkingr, convenience yields, and jump-riskpremia to sovereign spreads. Second, it is the first to implement a comprehensive calibrationof¯bfor over 170 countries from 2000 to 2024, effectively bridging theoretical foundationswith large-scale empirical applicat