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http://bura.brunel.ac.uk/handle/2438/32529| Title: | Sovereign debt sustainability: some evidence for the US and Europe |
| Authors: | Caporale, GM Martin-Valmayor, MA Gil-Alana, LA Carmona-Gonzales, N |
| Keywords: | fractional integration;mean reversion;persistence;debt sustainability;E52;C32 |
| Issue Date: | 4-Jan-2026 |
| Publisher: | Routledge (Taylor and Francis Group) |
| Citation: | Caporale, G.M. et al. (2025) 'Sovereign debt sustainability: some evidence for the US and Europe', Journal of Applied Economics, 29 (1), 2608468, pp. 1 - 20. doi:10.1080/15140326.2025.2608468. |
| Abstract: | This paper examines the sustainability of sovereign debt and its components by applying fractional integration methods to annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in 2022. The results suggest in all cases I(d) behaviour of the differential between interest payments and primary deficits, but with different speeds of adjustment towards the long-run equilibrium. By contrast, since 1950 all estimates of the fractional differencing parameter are all within the same interval (0.5 < d < 1), implying slower dynamic adjustment. This sustainability finding is confirmed by further tests based on the budget constraint as a whole, which, especially in the post-WWII period, suggest relatively low persistence. |
| Description: | Data availability statement: The data that support the findings of this study are available upon reasonable request. |
| URI: | https://bura.brunel.ac.uk/handle/2438/32529 |
| DOI: | https://doi.org/10.1080/15140326.2025.2608468 |
| ISSN: | 1514-0326 |
| Other Identifiers: | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCiD: Miguel A. Martin-Valmayor https://orcid.org/0000-0003-4522-9960 ORCiD: Luis A. Gil-Alana https://orcid.org/0000-0002-5760-3123 ORCiD: Nieves Carmona-González https://orcid.org/0000-0002-3706-6498 Article number: 2608468 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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|---|---|---|---|---|
| FullText.pdf | Copyright © 2026 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This is an Open Access article distributed under the terms of the Creative Commons Attribution-NonCommercial License (https://creativecommons.org/licenses/by-nc/4.0/), which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent. | 3.66 MB | Adobe PDF | View/Open |
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