各国最大可持续债务：基于P理论的评估

Maximum Sustainable 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 are 2025OCT IMF Working Paper Fiscal 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 Furceri 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 the 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 sustainable 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. WORKING PAPERS Maximum Sustainable Debt Across 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 Lam1October 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 many 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 heightened 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). In thep-theoryframework, the government faces hedgeable output shocks and other distur-bances (e.g., sudden debt increases). In each period, it selects a tax rate to finance exogenousexpenditures while internalizing tax distortions and retains the option to default. Residualdeficits are financed through debt issuance, with the government balancing the marginal The paper demonstrates that the maximum sustainable debt level for a country is shapedby factors that influence the public debt outlook and risks.These include macro-fiscalfundamentals and a measure of the government’s credibility in repaying its obligations. On the fiscal front, the efficiency of tax collection, tax capacity, and the scale of public spending debt surges through asset pricing channels.Lastly, the model captures the government’slimited commitment to debt repayment through the economic and fiscal costs incurred in Our calibration strategy aligns model parameters systematically with empirical data and rel-evant literature benchmarks to ensure consistency across income groups as well as individualcountry characteristics. Empirical data on macro-fiscal variables are primarily sourced fromIMF World Economic Outlook (WEO) and IMF Sovereign Debt Monitor databases, while Results reveal substantial heterogeneity in maximum sustainable debt (¯b) across countriesand income groups.Advanced economies (AEs) generally exhibit higher¯b, supported bymore stable macroeconomic conditions and lower sovereign risks.In contrast, emergingmarkets (EMs) and low-income countries (LICs) tend to show lower¯bdue to higher economicvolatility despite high average growth.The calibrated results are highly correlated with Literature Review A broad literature has sought to quantify countries’ maximum sustainable debt by linkingfiscal fundamentals, macroeconomic conditions, and default risk.Classic tax-smoothingmodels, such as Barro (1979), conceptualize debt as a buffer to minimize tax distortions over time, subject to an intertemporal budget constraint. However, these