世界経済・社会統計 = World development indicators

We study economic growth and inflation at different levels of government and external debt. Our analysis is based on new data on forty-four countries spanning about two hundred years. The dataset incorporates over 3,700 annual observations covering a wide range of political systems, institutions, exchange rate arrangements, and historic circumstances. Our main findings are: First, the relationship between government debt and real GDP growth is weak for debt/GDP ratios below a threshold of 90 percent of GDP. Above 90 percent, median growth rates fall by one percent, and average growth falls considerably more. We find that the threshold for public debt is similar in advanced and emerging economies. Second, emerging markets face lower thresholds for external debt (public and private)--which is usually denominated in a foreign currency. When external debt reaches 60 percent of GDP, annual growth declines by about two percent; for higher levels, growth rates are roughly cut in half. Third, there is no apparent contemporaneous link between inflation and public debt levels for the advanced countries as a group (some countries, such as the United States, have experienced higher inflation when debt/GDP is high.) The story is entirely different for emerging markets, where inflation rises sharply as debt increases.

Growth in a Time of Debt

/pdf/growth-in-a-time-of-debt-5a74d3utls.pdf

Growth in a time of debt

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are the main explanations for the rise in sovereign yield spreads and CDS spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp, simultaneous increases in sovereign yields across countries – but this contagion has been concentrated in time and among a few markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting fundamentals prior to the crisis.

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Good news first: the international journal Computer Standards and Interfaces has a new editor-inchief, Dr. Bhavani Thuraisingham, professor of Computer Science at the University of Texas at Dallas. She is also a director of the bCyber Security Research Center Erik Jonsson School of Engineering and Computer ScienceQ. Dr. Thuraisingham was a member of the CS&I Editorial Board for long years and helped much to improve the journal’s reputation. She knows well the idea behind this unique journal, and she has the capacity and resources to lead and develop it. This is more than I expected when I decided to resign as editor-in-chief. The journal will be in good hands. At this occasion it should be allowed to have a look back. It was 1975 when I visited in the United States the National Bureau of Standards (NBS), later renamed in National Institute of Standards and Technology (NIST). With some interest could I see there lots of flyers and posters stating bGo metricQ. It was not that I didn’t know the bUS inchesQ. But I knew the bUnits ActQ of 1960 which was issued by the 11th General Conference of Weights and Measurement (CGPM) to introduce worldwide a unique International System of Units (SI) on a metrical basis. It was developed to put an end to more than a hundred years of disarray, with a great number of units and unit systems — and the metre was defined to be the unit of length representing 100 cm or 1000 mm. . . I was at that time a young scientist at the German national institute of metrology (PTB, Physikalisch-Technische Bundesanstalt) involved in the development of a calibration system for magnetic storage media like tapes, cassettes, flexible disks, disk packs etc. We did this in cooperation with the magnetic media lab of the

Next generation

/pdf/fiscal-deficits-public-debt-and-sovereign-bond-yields1-2enpemzvzx.pdf

Fiscal Deficits, Public Debt, and Sovereign Bond Yields1

The recent sharp increase in fiscal deficits and government debt in many countries raises questions regarding their impact on long-term sovereign bond yields. While economic theory suggests that this impact is likely to be adverse, empirical results have been less clear cut, have generally ignored nonlinear effects of deficits and debt through some other key determinants of yields, and have been mostly confined to advanced economies. This paper reexamines the impact of fiscal deficits and public debt on long-term interest rates during 1980 - 2008, taking into account a wide range of country-specific factors, for a panel of 31 advanced and emerging market economies. It finds that higher deficits and public debt lead to a significant increase in long-term interest rates, with the precise magnitude dependent on initial fiscal, institutional and other structural conditions, as well as spillovers from global financial markets. Taking into account these factors suggests that large fiscal deficits and public debts are likely to put substantial upward pressures on sovereign bond yields in many advanced economies over the medium term.

https://www.imf.org/-/media/Websites/IMF/imported-full-text-pdf/external/pubs/ft/wp/2010/_wp10184.ashx

Fiscal Deficits, Public Debt, and Sovereign Bond Yields

Using panel data from 120 developing countries from 1975 to 2000, this paper explores the direct and indirect channels linking social spending, human capital, and growth in a system of equations. The paper finds that both education and health spending have a positive and significant direct impact on the accumulation of education and health capital, and thus can lead to higher economic growth. The paper also finds that other policy interventions, such as improving governance, reducing excessive budget deficits, and taming inflation, can also be helpful in moving countries toward the Millennium Development Goals (MDGs). As such, higher spending alone is not sufficient to achieve the MDGs.

https://www.imf.org/-/media/Websites/IMF/imported-full-text-pdf/external/pubs/ft/wp/2004/_wp04217.ashx

Social Spending, Human Capital, and Growth in Developing Countries : Implications for Achieving the MDGs

https://www.elibrary.imf.org/doc/IMF001/06304-9781451875140/06304-9781451875140/Other_formats/Source_PDF/06304-9781451919745.pdf

Emanuele Baldacci

Papers

Fiscal Deficits, Public Debt, and Sovereign Bond Yields1

Fiscal Deficits, Public Debt, and Sovereign Bond Yields

Fiscal Deficits, Public Debt, and Sovereign Bond Yields

Social Spending, Human Capital, and Growth in Developing Countries : Implications for Achieving the MDGs

Social Spending, Human Capital, and Growth in Developing Countries