Fiscal sustainability and the fiscal reaction function for South Africa / Charl Jooste, Alfredo Cuevas, Ian Stuart, Philippe Burger.

Format:

Book

Government document

Author/Creator:

Jooste, Charl.

Contributor:

Burger, Philippe.

Cuevas, Alfredo.

Stuart, Ian.

Series:

IMF Working Papers; Working Paper ; No. 2011/069

IMF Working Papers

Language:

English

Subjects (All):

Finance--South Africa.

Finance.

Physical Description:

1 online resource (46 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2011.

Language Note:

English

Summary:

How does the South African government react to changes in its debt position? In investigating the question, this paper estimates fiscal reaction functions using various methods (OLS, VAR, TAR, GMM, State-Space modelling and VECM). The paper finds that since 1946 the South African government has ran a sustainable fiscal policy, by reducing the primary deficit or increasing the surplus in response to rising debt. Looking ahead, the paper considers the use of fiscal reaction functions to forecast the debt/GDP ratio and gauging the likelihood of achieving policy goals with the aid of probabilistic simulations and fan charts.

Contents:

Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. South Africa's past debt trajectory; 1 Public debt/GDP in South Africa (percent); 2 National revenue and expenditure/GDP (percent); III. Fiscal reaction functions and debt sustainability - the basics; IV. Data and methods; V. Estimation results; A. The stationarity of the data; 1 Stationarity test for the Debt/GDP ratio and the primary balance/GDP ratio; B. Estimation results: OLS, TAR, VAR and GMM models; 2 Fiscal reaction functions for South Africa; 3 The (r - g)/(1+g) ratio (percent); C. The VECM estimates

3 Unrestricted Cointegration Rank (Trace) Test4 VECM results; 5 VAR in levels version of VECM results; D. The State-Space estimates; 6 Fiscal reaction function (State-space End states); 4 Public debt/GDP state variable (line with confidence interval) and primary balance (dot-dash line); 5 One-step-ahead residual; VI. Uses of the fiscal reaction for debt forecasting and policy design; A. The reaction function as basis for probabilistic debt modelling; 7 Parameters for the fan-chart model; B. The "Fan chart"; 6 Debt/GDP for South Africa, 2006/7 - 2014/15 (percent)

7 Debt/GDP for South Africa calibrated for differentiated reactions to positive and negative output gaps, 2006/7 - 2014/15 (percent)8 Distribution of possible debt to GDP outcomes, 2015/16 (percent); VII. Conclusion; 1 Dicky-Fuller t values for GMM; 2 Kernel density estimates of the fiscal reaction parameters; 3 Impulse-response functions; References; Footnotes

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed September 25, 2014).

ISBN:

9786613871213

9781455257294

145525729X

9781455274444

1455274445

9781283558761

1283558769

9781455225057

1455225053