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* * * * * Fiscal Risks Paolo Mauro Fiscal Affairs Department International Monetary Fund Introduction Fiscal Risks: Deviations of fiscal outturns (deficits, debt/GDP) from expectations at the time of the budget or other fiscal forecasts. How large and frequent are the deviations for different groups of countries? What are the most important types of shocks? Does this depend on degree of integration in global financial markets? (Will rely on work on the correlates of output drops.) What can policy makers do about fiscal risks? (Identify, Disclose, Manage). Statements of Fiscal Risks. Begin by looking at Output Drops Definition of output drop Frequencies Catalog of shocks Unconditional and conditional frequencies, expected cost Bivariate, then multivariate (probit) approach Causality (timing) Currency crisis and Terms of trade shock Table 2. Output Drops: Frequency, Duration and Loss, 1970-2001 Source: Authors’ calculations based on Maddison (2003) data. Notes: “All” output drops include concluded, ongoing and sub-events. Concluded drops are fully observed within the sample period whereas ongoing drops had not ended by 2001 and the duration and loss for these drops are calculated assuming that the drops ended in 2002. Expected cost = = unconditional probability of a shock × probability of output drop given the shock × cost of the output drop when it occurs Figure 2. Expected Cost of Shocks Based on Bivariate Estimates(in percent of pre-event GDP per capita) Figure 2b. Ex-ante Cost of Shocks Based on Multivariate Estimates that are Statistically Significant(in percent of pre-event GDP per capita) Output Drops and Shocks: Key Results 1900-2001 and four sub-periods: countries with lower initial p/c incomes have more output drops. 1970-2001: emerging markets have a drop every 16 years, duration 6 years, cumulative cost 40% of a year’s GDP; developing countries twice the costs Financial shocks matter more for emerging markets, real shocks for devel