债务超过阈值的跨国异质性解释

Explaining Cross-CountryHeterogeneity in Debt Rina Bhattacharya, Alexei G. Goumilevski, Carlos Guevara,Justin Lesniak, and Flora Lutz WP/26/51 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 2026MAR IMF Working Paper Western Hemisphere Department Explaining Cross-Country Heterogeneity in Debt Overhang Thresholds Prepared by Rina Bhattacharya, Alexei G. Goumilevski, Carlos Guevara, Justin Lesniak, and Flora Lutz* Authorized for distribution by Varapat Chensavasdijai 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 estimates debt overhang thresholds separately for 105 countries using a Kalman Filterapproach applied to a standard growth model. The results reveal pronounced heterogeneity in the estimatedthresholds, both within and across country groups but limited time-variation. In a second step, we explore thestructural factors underlying this heterogeneity. The empirical results underscore that a strong payment track WORKING PAPERS Explaining Cross-Country Prepared by Rina Bhattacharya, Alexei G. Goumilevski, Carlos Guevara,Justin Lesniak, and Flora Lutz1 Contents I. Introduction _______________________________________________________________________3 II. Literature Review __________________________________________________________________5 III. Data Issues ______________________________________________________________________6 IV. Empirical Methodology ____________________________________________________________7 V. Empirical Results__________________________________________________________________9 Baseline Stage 1 Results____________________________________________________________9 Baseline Stage 2 Results___________________________________________________________14 Robustness Checks_______________________________________________________________18 VI. Conclusions____________________________________________________________________20 Annex 1. Variables used in Estimation and Data Sources__________________________________21 Annex 2. Baseline Regressions _______________________________________________________22 References ________________________________________________________________________38 FIGURES 1. Public Debt Overhang Threshold and Average Public Debt for Five Country Groups______________10 2. Quantile Overhang Thresholds for Five Country Groups and for All Countries ___________________12 3. Mean Estimates of Debt Threshold Coefficients for Country Groups __________________________12 4. Per Capita GDP Growth Below and Above Overhang Threshold for Five Groups ________________13 5. Default Track Record and Governance _________________________________________________15 6. Composition of Public Debt __________________________________________________________16 7. Financial Sector Size _______________________________________________________________17 8. Financial Development Indicators _____________________________________________________18 TABLES 1. Baseline Regression Debt Overhang Thresholds _________________________________________10 I.Introduction What is the debt-carrying capacity of the public sector, and what are the determining factors? This question hasbeen part of an ongoing debate in both academia and among policy makers over several decades. Amidst therecent surge in debt levels of public sectors in both Advanced Economies (AEs) and Emerging Markets andDeveloping Economies (EMDEs) since the onset of the pandemic, concerns regarding debt sustainability and There have been two broad approaches to estimating public debt limits or debt-carrying capacity of economies.The first approach is based on considerations of fiscal sustainability and loss of market access, and includesfor example estimation of Long-term Debt Benchmarks, Natural Debt Limits, or application of the Value-at-Riskapproach (Nicholls and Peter, 2014; Ghosh et al, 2013; Jiang et al, forthcoming). The second approach is to In this study we do not address issues of debt sustainability but instead focus on estimating public debtoverhang thresholds’ – defined as the level of public debt at which the marginal impact of additional debtaccumulation on per capita GDP growth switches from positive to negative. In the first stage of our empiricalanalysis we estimate debt overhang thresholds separately for 105 countries using panel data and a KalmanFilter methodology to get time-varying estimates of the debt overhang threshold for each country. In the second To estimate debt thresholds, we apply a standard Kalman Filter methodology to derive time-varying estimatesof a debt overhang threshold separately for 105 countries, taking account of the findings of many recent studies(e.g. Pescatori, Sandri, and Simon, 2014) that found no ev