~/data/imf/

Source: Paolo Mauro, Rafael Romeu, Ariel Binder and Asad Zaman, 2013, “A Modern History of Fiscal Prudence and Profligacy,” IMF Working Paper No. 13/5, International Monetary Fund, Washington, DC.

Variables

iso2c

Model

\[B_{t+1} = (1+i_t) B_t + D_t\]

Ex 1: Net Government Debt (% of GDP)

Ex 2: Primary balance (% of GDP)

Ex 5: Debt

France

Germany

Ex 6: r - g

Ex 7: Regressions

r on g

# 
# Call:
# lm(formula = r ~ g, data = .)
# 
# Residuals:
#      Min       1Q   Median       3Q      Max 
# -0.33076 -0.01445  0.00251  0.02221  0.12083 
# 
# Coefficients:
#              Estimate Std. Error t value Pr(>|t|)    
# (Intercept)  0.030177   0.001486  20.307   <2e-16 ***
# g           -0.089797   0.039322  -2.284   0.0225 *  
# ---
# Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# 
# Residual standard error: 0.03874 on 1884 degrees of freedom
# Multiple R-squared:  0.00276, Adjusted R-squared:  0.002231 
# F-statistic: 5.215 on 1 and 1884 DF,  p-value: 0.0225
# 
# Call:
# lm(formula = r ~ g_lead1 + g_lead2 + g_lead3, data = .)
# 
# Residuals:
#      Min       1Q   Median       3Q      Max 
# -0.32558 -0.01481  0.00265  0.02244  0.11906 
# 
# Coefficients:
#              Estimate Std. Error t value Pr(>|t|)    
# (Intercept)  0.026967   0.001549  17.407  < 2e-16 ***
# g_lead1     -0.224180   0.079430  -2.822  0.00482 ** 
# g_lead2      0.215701   0.116800   1.847  0.06494 .  
# g_lead3      0.030538   0.078554   0.389  0.69750    
# ---
# Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# 
# Residual standard error: 0.0387 on 1882 degrees of freedom
# Multiple R-squared:  0.006183,    Adjusted R-squared:  0.004599 
# F-statistic: 3.903 on 3 and 1882 DF,  p-value: 0.008582

r-g on r

# 
# Call:
# lm(formula = `r-g` ~ r, data = .)
# 
# Residuals:
#       Min        1Q    Median        3Q       Max 
# -0.183010 -0.011815  0.001134  0.012313  0.154911 
# 
# Coefficients:
#               Estimate Std. Error t value Pr(>|t|)    
# (Intercept) -0.0310681  0.0006396  -48.57   <2e-16 ***
# r            1.0307410  0.0134613   76.57   <2e-16 ***
# ---
# Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# 
# Residual standard error: 0.02267 on 1884 degrees of freedom
# Multiple R-squared:  0.7568,  Adjusted R-squared:  0.7567 
# F-statistic:  5863 on 1 and 1884 DF,  p-value: < 2.2e-16

r-g on g

# 
# Call:
# lm(formula = `r-g` ~ g, data = .)
# 
# Residuals:
#      Min       1Q   Median       3Q      Max 
# -0.33076 -0.01445  0.00251  0.02221  0.12083 
# 
# Coefficients:
#              Estimate Std. Error t value Pr(>|t|)    
# (Intercept)  0.030177   0.001486   20.31   <2e-16 ***
# g           -1.089797   0.039322  -27.71   <2e-16 ***
# ---
# Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
# 
# Residual standard error: 0.03874 on 1884 degrees of freedom
# Multiple R-squared:  0.2896,  Adjusted R-squared:  0.2892 
# F-statistic: 768.1 on 1 and 1884 DF,  p-value: < 2.2e-16