Assessing Debt Stationarity and Sustainability in the Longer Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions

Jamel Saadaoui, Chi Keung Marco Lau, Yifei Cai. Testing fiscal sustainability in OECD countries: new evidence from the past centuries, Applied Economics Letters, 2022. https://www.tandfonline.com/doi/full/10.1080/13504851.2022.2142502.

17 Pages Posted: 20 Apr 2022 Last revised: 8 Nov 2022

See all articles by Jamel Saadaoui

Jamel Saadaoui

University of Strasbourg

Chi Keung Marco Lau

Teesside University

Yifei Cai

The University of Western Australia

Date Written: April 18, 2022

Abstract

Thanks to various Fourier DF unit root tests, time-varying fiscal reaction functions and threshold regressions, this study examines the stationarity and the sustainability of public finance for six industrial countries over the period spanning from 1870 to 2017. Longer-run debt sustainability is not rejected for the UK, Sweden, and for the US. The evidence is more mixed for Canada, Italy and Portugal.

Keywords: Fourier DF unit root test, Debt sustainability, Public debt, Primary balance

JEL Classification: C22, E62, H62

Suggested Citation

Saadaoui, Jamel and Lau, Chi Keung Marco and Cai, Yifei, Assessing Debt Stationarity and Sustainability in the Longer Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions (April 18, 2022). Jamel Saadaoui, Chi Keung Marco Lau, Yifei Cai. Testing fiscal sustainability in OECD countries: new evidence from the past centuries, Applied Economics Letters, 2022. https://www.tandfonline.com/doi/full/10.1080/13504851.2022.2142502., Available at SSRN: https://ssrn.com/abstract=4078207 or http://dx.doi.org/10.2139/ssrn.4078207

Jamel Saadaoui

University of Strasbourg ( email )

61 Avenue de la Forêt Noire
Strasbourg, Alsace 67000
France

HOME PAGE: http://www.jamelsaadaoui.com/

Chi Keung Marco Lau

Teesside University ( email )

Tees Valley
Middlesbrough
Middlesbrough, Middlesbrough TS1 3BX
United Kingdom

HOME PAGE: http://https://research.tees.ac.uk/en/persons/chi-lau

Yifei Cai (Contact Author)

The University of Western Australia ( email )

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