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FiscalRisks PaoloMauro FiscalAffairsDepartment InternationalMonetaryFund Introduction • FiscalRisks:Deviationsoffiscaloutturns (deficits,debt/GDP)fromexpectationsatt e timeoft ebudgetorot erfiscalforecasts. • Howlargeandfrequentaret edeviationsfor differentgroupsofcountries? • W ataret emostimportanttypesofs ocks? Doest isdependondegreeofintegrationin globalfinancialmarkets? (Willrelyonworkon t ecorrelatesofoutputdrops.) • W atcanpolicymakersdoaboutfiscalrisks? (Identify,Disclose,Manage).Statementsof FiscalRisks. BeginbylookingatOutputDrops • Definitionofoutputdrop • Frequencies • Catalogofshocks • Unconditionalandconditionalfrequencies, expectedcost • Bivariate,thenmultivariate probit) approach • Causality timing) Currencycrisisand Termsoftradeshock Table2.OutputDrops:Frequency,DurationandLoss,1970-2001 Source: uthors’calculationsbasedonMaddison (2003)data. Notes: “ll”outputdropsincludeconcluded,ongoingandsub-events.Concludeddropsare fullyobservedwithinthesampleperiodwhereasongoingdropshadnotendedby2001and thedurationandlossforthesedropsarecalculatedassumingthatthedropsendedin2002. Expectedcost= = unconditionalprobabilityofashock ×probabilityofoutputdropgiventheshock ×costoftheoutputdropwhen itoccurs Figure2.ExpectedCostofShocksBasedonBivariateEstimates (inpercentofpre-eventGDPpercapita Figure2b.Ex-anteCostofShocks BasedonMultivariateEstimatesthatareStatisticallySignificant (in ercentof re-eventGDP erca ita) OutputDropsandShocks:KeyResults • 1900-2001andfoursub-periods:countrieswith lowerinitialp cincomeshavemoreoutputdrops. • 1970-2001:em