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1、IMFStaffPapersVol.53,No.3©2007InternationalMonetaryFundPrimarySurplusBehaviorandRiskstoFiscalSustainabilityinEmergingMarketCountries:A“Fan-Chart”ApproachOyACELASun,XAVIERDEBRun,andJOnAthAnD.OStRy*Thispaperproposesaprobabilisticapproachtopublicdebtsustainability
2、analy-sis(DSA)using“fancharts.”Thesedepictthemagnitudeofrisks—upsideanddownside—surroundingpublicdebtprojectionsasaresultofuncertaineconomicconditionsandpolicies.Weproposeasimulationalgorithmforthepathofpublicdebtunderrealisticshockconfigurations,combiningpuree
3、conomicdisturbances(togrowth,interestrates,andexchangerates),theendogenouspolicyresponsetothese,andthepossibleshocksarisingfromfiscalpolicyitself.Thepaperempha-sizestheroleoffiscalbehavior,aswellasthestructureofdisturbancesfacingtheeconomyandduetofiscalpolicy,i
4、nshapingtheriskprofileofpublicdebt.Fanchartsfordebtarederivedfromthe“marriage”betweenthepatternofshocksontheonehandandtheendogenousresponseoffiscalpolicyontheother.ApplicationstoArgentina,Brazil,Mexico,SouthAfrica,andTurkeyareusedtoillustratetheapproachanditsli
5、mitations.[JELH62,H63,C15,E62]Inthepublicdebtcontext,asustainablepositionisoftenviewedasonewherethegov-ernment(orpublicsector)issolvent.Tobedeemedsolvent,agovernmentmustbeexpectedtohonorcurrentandfuturefinancialobligations,includingtheimplicitcom-mitmenttoconti
6、nueprovidingcertainpublicgoods,services,andtransfersinthefuture.Solvencythusimpliesthatthepresentvalueofgovernmentdisbursements(includinginheriteddebtamortization,interestpayments,andnon-interestexpenditure)shouldnot*OyaCelasunandXavierDebrunareEconomistsintheI
7、MF’sResearchandFiscalAffairsDepartments,respectively.JonathanD.OstryisDeputyDirectorintheResearchDepartmentoftheIMF.401OyaCelasun,XavierDebrun,andJonathanD.Ostryexceedthepresentvalueofrevenuesor,equivalently,thatthepresentvalueoffuturerevenuesnetofnon-interests
8、pending(theprimarybalances)shouldatleastcovertheexistingpublicdebt.Theintertemporalbudgetconstraintandtherelationshipbetweentheprimarybalanceandthepublicdebthavethereforebee
