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Assessing Debt Stationarity and Sustainability in the Longer-Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions

Author

Listed:
  • Jamel Saadaoui

    (University of Strasbourg)

  • Marco Chi Keung Lau

    (The Hang Seng University of Hong Kong)

  • Yifei Cai

    (Teesside University, International Business School)

Abstract

Thanks to various Fourier DF unit root tests, time-varying fiscal reaction functions and threshold regressions, this study examines the stationarity and the sustainability of public finance for six industrial countries over the period spanning from 1870 to 2017. Longer-run debt sustainability is not rejected for the UK, Sweden, and for the US. The evidence is more mixed for Canada, Italy and Portugal.

Suggested Citation

  • Jamel Saadaoui & Marco Chi Keung Lau & Yifei Cai, 2022. "Assessing Debt Stationarity and Sustainability in the Longer-Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions," Working Papers 2022.07, International Network for Economic Research - INFER.
    • Handle: RePEc:inf:wpaper:2022.07
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Fourier DF unit root test; Debt sustainability; Primary balance;
    All these keywords.

    JEL classification:

    • H - Public Economics

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