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Title page 1

Contents 5

Abstract/Résumé 4

1. Introduction 7

2. Methodology 10

3. Assessing alternative methods of using historical data to evaluate uncertainty 14

4. Real-time approaches 25

5. Conclusion 34

References 35

Annex A. Methodological details 36

Tables 6

Table 1. Variability of Debt-to-GDP and its determinants 15

Table 2. Correlation of key debt dynamics variables 16

Table 3. Comparison of alternative measures of measures of uncertainty of trend and cyclical components of real GDP growth 22

Figures 5

Figure 1. Benchmark methodology: framework 10

Figure 2. Stylised representation of stochastic debt sustainability analysis in the benchmark model 13

Figure 3. Real GDP year on year growth since 1871 17

Figure 4. Standard Deviation of GDP 5 periods ahead, by simulation method 18

Figure 5. Debt-to-GDP ratios tend to increase during recessions 20

Figure 6. Assessments of risks to GDP under alternative trend-cycle decompositions 23

Figure 7. 70th percentile debt stabilising primary balance 5 periods ahead 24

Figure 8. Distribution of simulated debt-to-GDP ratio 5 periods ahead by method 25

Figure 9. Output typically experiences long periods of growth and sudden short-lived corrections 26

Figure 10. Kalman filter output gap (%) estimate by estimation vintage, United Kingdom 26

Figure 11. Pseudo-real time framework 28

Figure 12. Downside risks to GDP are significantly higher when the economy is booming 29

Figure 13. Forecasts underestimate downturn risks when economy is operating above capacity 30

Figure 14. Fan chart of simulated Debt-to-GDP paths 31

Figure 15. Required cumulative structural primary balance adjustment by initial output gap 32

Figure 16. Debt-stabilising Primary Balance at 70th Percentile 33

Boxes 5

Box 1. The use of SDSA in the EU fiscal rules 13

Annex Tables 6

Table A.1. Covariance of Key Variables (long panel) 37

Table A.2. Pooled ARMA(2,2) and OLS model estimates 39

Table A.3. Quantile regression results at 5 year horizon 40

Annex Figures 5

Figure A.1. Interest rate growth differential 37

Figure A.2. Comparison of GDP outcomes at t+5 for wide and long panel models 38

Figure A.3. Comparison of standard deviation of GDP at t+5 for winsorised and non-winsorised EC method 38

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