预测低收入国家的债务困境.pdf

1、Predicting Debt Distress in Low-Income CountriesClemens Graf von Luckner(Stanford University)Sebastian Horn(University of Hamburg&Kiel Institute)Aart Kraay(World Bank)Rita Ramalho(World Bank)November 15,202425thJacques Polak Annual Research Conference The views expressed here are the authors and do

2、not reflect the official views of the World Bank,its Executive Directors,or the countries they represent.Motivation:general Sovereign debt crises have large economic and social costs Lower growth and productivity;higher poverty(Reinhart and Rogoff 2009,Aguiar and Amador 2021,Farah-Yacoub et al.2024a

3、)Early warning systems for“debt distress”can have large benefits if they enable preventative measures Large literature on predicting debt distress(Moreno Badia et.al.(2022)survey)Premise of WB/IMF LIC Debt Sustainability FrameworkNovember 15,2024 Graf von Luckner,Horn,Kraay and Ramalho 2Motivation:s

4、pecific WB/IMF policy application The WB/IMF DSF for Low-Income Countries Developed in mid-2000s to provide early warning of debt vulnerabilities prevent debt re-accumulation post-HIPC/MDRI Sets borrowing limits,mix of grants and loans from IDA,debt relief envelopes Last reviewed in 2017,new review

5、ongoing Core of LIC DSF is an empirical model to predict debt distress Used to derive country-specific debt thresholds reflecting countries debt carrying capacity November 15,2024 Graf von Luckner,Horn,Kraay and Ramalho 3Our contributions to literature and policy1.Refining debt distress outcome meas

6、urement to reflect the onset rather than resolution of distress2.Systematic approach to predictive model selection Evaluate 559,872 possible models based on J-K-fold cross-validated out-of-sample predictive performance3.Evaluate simple versus sophisticated prediction algorithms Best simple models st