A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment

Autor: Vladimir Andric, Dusko Bodroza, Mihajlo Djukic
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Mathematics, Vol 12, Iss 20, p 3250 (2024)
Druh dokumentu: article
ISSN: 2227-7390
DOI: 10.3390/math12203250
Popis: The purpose of this paper is to show how the self-exciting threshold autoregressive (SETAR) model might be a suitable econometric framework for characterizing the dynamics of the US public debt/GDP ratio after the Bretton Woods collapse. Our preferred SETAR specifications are capable of capturing the main stylized facts of the US public debt/GDP ratio between 1974 and 2024. In addition, the estimated SETAR models are consistent with theoretical frameworks that look to explain the behavior of the US public debt/GDP ratio before and after the Global Financial Crisis (GFC). Finally, under the assumption of public debt/GDP ratio stationarity, for which we find only limited and inconclusive evidence, this paper provides some arguments for why previous studies, which use the exponential smooth threshold autoregressive (ESTAR) models, logistic smooth threshold autoregressive (LSTAR) models or SETAR-type models for the first differences of the US public debt/GDP ratio, are potentially misspecified on both econometric and economic grounds.
Databáze: Directory of Open Access Journals
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