Bank of Spain paper calculates implicit public debt thresholds
Researchers build on earlier work and apply models to Spanish data
A working paper published by the Bank of Spain seeks to estimate sovereign debt thresholds implied by market expectations.
In Implicit public debt thresholds: an empirical exercise for the case of Spain, Javier Andrés, Javier Pérez and Juan Rojas start with earlier work that combines value-at-risk models with "estimation of the correlation pattern of the macroeconomic determinants of public debt dynamics".
They extend these models using vector auto regressions, and use them to estimate the
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