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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
  • Marco Chi Keung Lau
  • Yifei Cai

Abstract

Thanks to various Fourier DF unit root tests and time-varying fiscal reaction functions, 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 of BETA 2022-11, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    • Handle: RePEc:ulp:sbbeta:2022-11
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    File URL: http://beta.u-strasbg.fr/WP/2022/2022-11.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

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

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus

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