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Optimal debt policy under asymmetric risk

Author: Julio Escolano; Vitor Gaspar; International Monetary Fund,; International Monetary Fund. Fiscal Affairs Department,
Publisher: [Washington, D.C.] : International Monetary Fund, [2016] ©2016
Series: IMF working paper, WP/16/178.
Edition/Format:   eBook : Document : International government publication : English
Database:WorldCat
Summary:
In the paper we show that, most of the time, smooth reduction in the debt ratio is optimal for tax-smoothing purposes when fiscal risks are asymmetric, with large debt-augmenting shocks more likely than commensurate debt reducing shocks. Asymmetric risks are a feature of 200 years of data for the U.S. and the U.K.: rare but recurrent large surges of the debt-to-GDP ratio, followed by very gradual but persistent  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Julio Escolano; Vitor Gaspar; International Monetary Fund,; International Monetary Fund. Fiscal Affairs Department,
ISBN: 9781475529845 1475529848 9781475530186 1475530188
OCLC Number: 959033151
Notes: "August 2016."
At head of title: International Monetary Fund, Fiscal Affairs Department.
Description: 1 online resource (21 pages) : color illustrations.
Contents: Cover; Content; Abstract; I. Introduction; II. Evidence from Debt History; III. Optimal Debt Policy; IV. Optimal Debt Policy under Skewed Shocks; V. How Skewed are Debt Shocks?; VI. Conclusions; References; Tables; 1. Symmetry Tests Results; Figures; 1. United Kingdom: National/Government Debt; 2. United States: Federal Government Debt; 3. United Kingdom: Histogram of the First Differences of the Debt Ratio; 4. United States: Histogram of the First Differences of the Debt Ratio
Series Title: IMF working paper, WP/16/178.
Responsibility: prepared by Julio Escolano and Vitor Gaspar.

Abstract:

In the paper we show that, most of the time, smooth reduction in the debt ratio is optimal for tax-smoothing purposes when fiscal risks are asymmetric, with large debt-augmenting shocks more likely than commensurate debt reducing shocks. Asymmetric risks are a feature of 200 years of data for the U.S. and the U.K.: rare but recurrent large surges of the debt-to-GDP ratio, followed by very gradual but persistent declines over long periods. More informal evidence from many other countries suggests that asymmetry is a general feature of fiscal shocks. The gradual smooth reduction in the public debt to GDP ratio is not a response to past developments. Instead it is optimal given recurrent fiscal risks and the empirical characteristics of fiscal shocks. The behavior of the debt-to-GDP ratio in the U.K. and the U.S. seems roughly compatible with the prescriptions of the tax-smoothing model.

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