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Debt Ceiling and External Debt Sustainability in Romania: A Quantile Autoregression Model

Author

Listed:
  • Boengiu, Tudor

    (Academy of Economic Studies)

  • Morar Triandafil, Cristina

    (University of Finance and Banking)

  • Morar Triandafil, Adrian

    (Romanian Academy)

Abstract

In this paper we investigate the external debt sustainability using a quantile autoregression (QAR) model. QAR is a new type of econometric models used to separate periods of nonstationarity from the stationarity ones. This kind of model allows us to identify various trajectories of external debt that are compatible with indebtness sustainability. We use such trajectories to construct a debt ceiling, that is, the largest value of external debt that does not jeopardize long-run indebtness sustainability. We make out-of-sample forecast of such a ceiling and we present the debt ceiling as a “debt-warning system” which could be used by policy makers interested in keeping the external debt on a sustainable path. We illustrate the applicability of such econometric tool using Romanian data. Also, we used the R programming language for part of our statistical computing and graphics presented in this study.

Suggested Citation

  • Boengiu, Tudor & Morar Triandafil, Cristina & Morar Triandafil, Adrian, 2011. "Debt Ceiling and External Debt Sustainability in Romania: A Quantile Autoregression Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 15-29, December.
    • Handle: RePEc:rjr:romjef:v::y:2011:i:4:p:15-29
    as

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    References listed on IDEAS

    as
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    Cited by:

    1. Mei-Yin Lin, 2014. "The Sustainability of External Debt in OECD Countries: Evidence from Quantile Autoregression," Research in World Economy, Research in World Economy, Sciedu Press, vol. 5(2), pages 31-42, September.

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    More about this item

    Keywords

    external debt; quantile autoregression; local sustainability; global sustainability; gross domestic product;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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