A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment
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 th...
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2024-10-01
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| author | Vladimir Andric Dusko Bodroza Mihajlo Djukic |
| author_facet | Vladimir Andric Dusko Bodroza Mihajlo Djukic |
| author_sort | Vladimir Andric |
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| description | 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. |
| format | Article |
| id | doaj-art-0c9213da01ad408cb424ee4baae5a4f4 |
| institution | OA Journals |
| issn | 2227-7390 |
| language | English |
| publishDate | 2024-10-01 |
| publisher | MDPI AG |
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| series | Mathematics |
| spelling | doaj-art-0c9213da01ad408cb424ee4baae5a4f42025-08-20T02:10:56ZengMDPI AGMathematics2227-73902024-10-011220325010.3390/math12203250A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal AdjustmentVladimir Andric0Dusko Bodroza1Mihajlo Djukic2Institute of Economic Sciences, 11000 Belgrade, SerbiaInstitute of Economic Sciences, 11000 Belgrade, SerbiaInstitute of Economic Sciences, 11000 Belgrade, SerbiaThe 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.https://www.mdpi.com/2227-7390/12/20/3250SETAR modelUnited Statessovereign debtpersistencenonlinear fiscal adjustment |
| spellingShingle | Vladimir Andric Dusko Bodroza Mihajlo Djukic A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment Mathematics SETAR model United States sovereign debt persistence nonlinear fiscal adjustment |
| title | A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment |
| title_full | A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment |
| title_fullStr | A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment |
| title_full_unstemmed | A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment |
| title_short | A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment |
| title_sort | commentary on us sovereign debt persistence and nonlinear fiscal adjustment |
| topic | SETAR model United States sovereign debt persistence nonlinear fiscal adjustment |
| url | https://www.mdpi.com/2227-7390/12/20/3250 |
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