Fiscal Insurance and Debt Management in OECD Economies



P (mv,b)

P (ΔMV,ΔB)

P (ΔMV,ΔY)

P (δy,δb)

P (ΔMV,ω)

p (ΔB,ω)

UR
MV

UR
B

Australia

0.897

0.653

-0.183

0.048

0.549

0.408

-2.47

-2.19

Austria

0.798

0.925

-0.228

-0.367

0.131

0.304

-1.69

-1.61

Belgium

0.997

0.883

-0.172

-0.117

-0.117

-0.154

-0.17

-0.34

Canada

0.994

0.858

-0.262

-0.321

0.303

0.602

-0.03

-0.8

France

Germany

0.996

0.794

-0.347

-0.397

-0.213

-0.315

-1.62

-1.26

Ireland

0.903

0.63

-0.491

-0.799

0.469

0.77

-1.23

-0.85

Italy

0.993

0.604

-0.547

-0.337

-0.117

0.087

-0.46

-0.59

NL

0.871

0.904

-0.517

-0.684

0.317

0.477

-0.43

-1.81

Norway

0.804

0.867

-0.132

0.11

0.36

0.232

-1.95

-2.31

UK

0.81

0.445

0.039

-0.299

0.369

0.539

-2.12

-1.11

US

0.987

0.715

-0.505

-0.45

0.564

0.871

-0.69

-1.52

Table 2 - Comparing Debt Measures

Pχγ is the correlation coefficient between X and Y where MV is the market value of debt, B is the
outstanding value of debt,
Y is GDP, ω denotes the primary deficit. The statistic quoted in the UR column
is the Augmented Dickey Fuller test for each variable including four lags and a time trend.

35



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