International Co-Movements and Determinants of Public Debt

Hasan Isomitdinov, Vladimir Arčabić, Junsoo Lee, Youngjin Yun
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引用次数: 1

Abstract

English Abstract: This paper provides evidence of significant international co-movements of public debt in the form of the common global and regional factors. International events such as the global financial crisis and regional sovereign debt crises suggest the existence of global and regional factors that can generate synchronizations of public debt across different countries. In contrast with previous studies that are focused mostly on domestic economic fundamentals in explaining public debt, this paper finds distinct global factors in the public debt-to-GDP ratio, both from principal components analysis and the Bayesian dynamic factor model. We show that the global factor accounts for a significant fraction of the variation of public debt often more substantial than those explained by domestic variables in many countries. We also find significant regional factors in public debt, especially for the Eurozone member states.
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公共债务的国际联合运动和决定因素
摘要:本文以全球和区域共同因素的形式提供了公共债务重大国际协同运动的证据。全球金融危机和区域主权债务危机等国际事件表明,存在能够导致不同国家公共债务同步的全球和区域因素。与以往的研究主要关注国内经济基本面来解释公共债务不同,本文从主成分分析和贝叶斯动态因素模型两方面都发现了公共债务与gdp之比中明显的全球因素。我们表明,在许多国家,全球因素占公共债务变化的很大一部分,往往比由国内变量解释的变化更大。我们还发现公共债务存在显著的地区因素,尤其是欧元区成员国。
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