布鲁盖尔-The-long-haul_-debt-sustainability-analysis_19页_408kb

报告摘要

Debt Sustainability Analysis for Greece, Ireland and Portugal

Highlights

This working paper updates the debt sustainability analysis (DSA) for Greece, Ireland, and Portugal, originally conducted in Darvas, Sapir and Wolff (2014).
The goal is to establish a baseline scenario that aligns with official assumptions and current market views, and to evaluate its sensitivity to deviations.
Simulated public debt/GDP ratios are slightly lower than previous projections due to revised debt levels, higher primary surpluses in Ireland, lower interest rates, and a larger stock-flow adjustment in Portugal.
Under the maintained assumptions, public debt ratios are expected to decline in all three countries, but the trajectory remains vulnerable to negative shocks in growth, primary balance, and interest rates.

Core Content

The paper provides a detailed analysis of public debt sustainability for Greece, Ireland, and Portugal, focusing on the dynamics of debt and the factors influencing its sustainability. The key elements include:

1. Debt Composition and Maturity Profile

Greece had a total gross public debt of €319 billion or 175% of GDP at the end of 2013. The composition included new bonds from the 2012 debt exchange, hold-outs, ECB/NCB holdings, and other liabilities.
Ireland had a total of €203 billion or 124% of GDP. Its debt included short-term and long-term securities, former promissory notes, ECB holdings, and EFSF/ EFSM loans.
Portugal had a total of €214 billion or 129% of GDP. Its debt was composed of short-term and long-term securities, ECB/NCB holdings, IMF loans, and EFSF/ EFSM loans.

The maturity profile of each component was taken into account, with assumptions made for the reduction of ECB/NCB holdings and other liabilities over time.

2. Assumptions for Debt Sustainability Analysis

Nominal GDP Growth: The authors use the IMF's April 2014 forecast for 2014–2019 and assume convergence to the euro area average growth rate of 3.7% by 2022, remaining constant until 2030.
Primary Surplus: The primary surplus is projected based on the IMF's forecasts for 2014–2019, and the authors assume a long-run convergence to 3.1% of GDP for all three countries by 2022, consistent with the average of successful consolidations in advanced economies.
Non-Standard Revenues and Expenditures: Privatisation revenues and bank bail-outs are considered, but they are not included in the primary surplus projections. The authors use the Commission's estimates for these revenues.
Stock-Flow Adjustment: This adjustment is expected to reduce the debt ratio by 1.5% of GDP for Portugal in 2014–15, and similar adjustments are assumed for Greece and Ireland, based on Commission projections.

3. Borrowing Costs

EFSF Loans: Interest rates on EFSF loans are based on German bund yields, with a surcharge of approximately 40 basis points for Greece, 11 basis points for Ireland, and 11 basis points for Portugal.
EFSM Loans: Ireland and Portugal had to pay margins over the EFSM funding cost, which was reduced to zero in 2011. The authors assume a fixed rate of 3.02% for these loans.
IMF Loans: Interest rates are derived from the most recent programme reviews for each country.
Bilateral Loans: Greece's bilateral loans are based on EURIBOR with a spread, while Ireland's are based on the UK's 6-year yield plus a margin. The authors assume similar rates for Danish and Swedish bilateral loans.
Short-Term Bills: Assumed to be at 5% for Greece, 25 basis points over EURIBOR for Ireland, and 50 basis points over EURIBOR for Portugal.
Eurosystem Holdings: The interest rate is assumed to be the pre-crisis average, at 5% for Greece and 4.5% for Ireland and Portugal.

4. Debt Trajectory and Sensitivity

The analysis suggests that public debt ratios will decline in all three countries under the baseline assumptions.
However, the debt trajectory is sensitive to shocks in GDP growth, primary balance, and interest rates.
The authors do not examine extremely negative scenarios, but highlight the importance of maintaining fiscal discipline and sustainable growth for long-term debt sustainability.

Key Information

Baseline Scenario: Based on official forecasts and current market expectations, not on the authors' own views.
Data Sources: Includes European Commission, Eurostat, ECB, IMF, and national treasury data.
Sensitivity Analysis: The analysis assesses how deviations from the baseline assumptions (e.g., lower growth, higher interest rates, lower primary surpluses) could affect the debt trajectory.
Modeling Approach: Uses the identity:
$$
debt_t = debt_{t-1} + i_t \cdot debt_{t-1} - nsre_t - ps_t + sfa_t
$$
to simulate debt dynamics over time.

Summary of Assumptions

Country	Nominal GDP Growth (%)	Primary Surplus (%)	Stock-Flow Adjustment (%)	Borrowing Cost Spread (Basis Points)
Greece	0.1, 3.3, 4.8, 4.7, 4.5, 4.2, 3.7, 3.7	1.5, 3.0, 4.5, 4.5, 4.2, 4.2, 3.9, 3.5, 3.1, 3.1	-0.8, -1.2, -2.2	200 (2014), decreasing to 14 basis points by 2023
Ireland	2.3, 3.4, 3.6, 3.9, 4.2, 4.1, 4.0, 3.8, 3.7, 3.7	-0.7, 1.6, 2.4, 3.0, 3.4, 3.8, 3.6, 3.3, 3.1, 3.1	-5.6, -0.4, -1.1	100 (2014), increasing to 130 by 2020, then falling to 115 basis points
Portugal	2.0, 2.5, 3.4, 3.6, 3.7, 3.7, 3.7, 3.7, 3.7, 3.7	0.3, 1.9, 2.4, 2.8, 3.1, 3.3, 3.3, 3.2, 3.1, 3.1	-3.7, -1.3, -0.2, -1.8	150 (2014), decreasing to 150 by 2023, then increasing again

Conclusion

The paper provides an updated and detailed analysis of public debt sustainability for Greece, Ireland, and Portugal, emphasizing the importance of accurate assumptions and the sensitivity of debt trajectories to various economic shocks. The authors conclude that while the baseline scenario suggests a decline in public debt ratios, the sustainability of this trajectory depends on maintaining fiscal discipline and economic growth.

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