Directional analysis of fiscal sustainability: Revisiting Domar's debt sustainability condition

Yoichi Tsuchiya

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This study evaluates directional accuracy of long-term interest rate and nominal GDP growth forecasts made by the U.S. Congressional Budget Office (CBO), the Office of Management and Budget (OMB), and private forecasters by applying a recently developed market-timing test. This study also investigates whether these forecasts provide useful indicators of the well-known Domar's fiscal sustainability condition and whether directional accuracy differs between ruling parties and the state of the economy. This study finds that the CBO forecast for Domar's condition is useful with a two-year horizon, whereas OMB and private forecasts are only useful with a one-year horizon. The directional accuracy of the forecasts does not differ between expansion and recession.

本文言語English
ページ(範囲)189-201
ページ数13
ジャーナルInternational Review of Economics and Finance
41
DOI
出版ステータスPublished - 2016 1 1
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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