External Debt Sustainability in Selected ASEAN Countries: Do Macroeconomic Data and Institutions Matter?
Abstract
Studi ini akan mengukur indikator hutang luar negeri yang berkelanjutan di tujuh negara ASEAN selama 1996-2017 menggunakan indicator-based model. Uji kointegrasi panel diterapkan untuk mengestimasi dampak indikator makroekonomi dan kelembagaan terhadap hutang luar negeri yang berkelanjutan. Terdapat dua indikator hutang luar negeri yang berkelanjutan, yaitu: (a) EDS1 – yang menunjukkan tingkat pertumbuhan hutang luar negeri lebih rendah dibandingkan dengan pertumbuhan GDP, dan (b) EDS2 – yang menunjukkan pertumbuahn GDP lebih besar dibandingkan dengan tingkat bunga riil. Temuan-temuan studi menunjukkan bahwa indikator makroekonomi dan beberapa indikator kelembagaan berdampak signifikan terhadap EDS1 sedangkan makroekonomi indikator – seperti pertumbuhan GDP, inflasi dan FDI inflows – dan satu indikator kelembagaan – seperti efektivitas pemerintah – berdampak signifikan terhadap EDS2 dalam jangka pendek. Speed of adjustment berdampak signifikan terhadap hutang luar negeri yang berkelanjutan dalam jangka pendek. Lebih lanjut, kointegrasi panel menjelaskan bahwa dalam jangka panjang indikator makroekonomi (kecuali nilai tukar) dan kelembagaan berdampak signifikan terhadap hutang luar negeri yang berkelanjutan. Hasil studi berkontribusi terhadap kebijakan pemerintah seperti kebijakan pengelolaan hutang luar negeri, pro-pertumbuhan, pro-investasi, stabilitas harga dan peningkatan kualitas kelembagaan baik pada tingkat sebuah negara dan tingkat ASEAN.
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References
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Cavalcanti, M.A.F.H., et al (2018), The macroeconomic effects of monetary policy shocks under fiscal rules constrained by public debt sustainability, Economic Modelling, pp. 1-18. https://doi.org/10.1016/j.econmod.2017.12.010
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Cuestas, J. C. & Regis, P. J. (2017), On the dynamics of sovereign debt in China: Sustainability and structural change, Economic Modelling, pp. 1-4. http://dx.doi.org/10.1016/j.econmod.2017.08.003
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Debrun, X., Ostry, J. D., Willems, T. & Wyplosz, C. (2019), Public Debt Sustainability, Discussion Paper DP14010, Centre for Economic Policy Research.
Draksaite, A., Snieska, V., Valodkiene, G. & Daunoriene, A. (2015), Selection of government debt evaluation methods based on the concept of sustainability of the debt, Procedia - Social and Behavioral Sciences, 213, pp. 474-480. Doi: 10.1016/j.sbspro.2015.11.436
Edo, S., Osadolor, N. E. & Dading, I. F., (2019), Growing External Debt and Declining Export: The Concurrent Impediments in Economic Growth of Sub-Saharan African Countries, International Economics, https://doi.org/10.1016/j.inteco.2019.11.013
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Fournier, J.-M. & Fall, F. (2017), Limits to government debt sustainability in OECD countries, Economic Modelling, pp. 1-12. http://dx.doi.org/10.1016/j.econmod.2017.05.013
Ganelli, G. (2005), The new open economy macroeconomics of government debt, Journal of International Economics, 65, 167-184. Doi:10.1016/j.jinteco.2004.03.001
Greiner, A. & Fincke, B. (2015), Public Debt, Sustainability and Economic Growth: Theory and Empirics, Switzerland: Springer International Publishing.
Huang, C.-J. (2015), Is corruption bad for economic growth? Evidence from Asia-Pacific countries. North American Journal of Economics and Finance, 1-10. http://dx.doi.org/10.1016/j.najef.2015.10.013
Icaza, V. E. (2018), Fiscal fatigue and debt sustainability: Empirical evidence from the Eurozone 1980-2013, Cuadernos de Economía, 41, 69-78. http://dx.doi.org/10.1016/j.cesjef.2017.03.002
Im, K. S., Pesaran, M. H. & Shin. Y. (2003), Testingfor unit roots in heterogeneous panels, Journal of Econometrics, 115, pp. 53-74.
IMF (2002), Assessing Sustainability, Policy Development and Review Department, SM/02/166. http://www.imf.org/external/np/pdr/sus/2002/eng/052802.htm.
____(2013), Staff Guidance Note for Public Debt Sustainability Analysis in Market-Access Countries, IMF Policy Paper. https://www.imf.org/external/np/pp/eng/2013/050913.pdf.
Javaid, M.N., Iftikhar, N.M. & Ahmed, G. (2017), What Drives the Quality of Institutions in ASIAN Economies? Directions for Economic Reforms, Journal of South Asia Studies, 05(03), pp. 127-139.
Kao, C., & Chiang, M.H. (2000), On the estimation and inference of a cointegrated regression in panel data. Advances in Econometrics 15, pp. 179–222.
Kasper, W. & Streit, M. E. (1998), Institutional Economics: Social Order and Public Policy, UK: Edward Elgar.
Kaur, B., Mukherjee, A. & Ekka, A. P. (2017), Debt Sustainability of States in India: An Assessment, MPRA Paper, No. 81929, pp. 1-29. https://mpra.ub.uni-muenchen.de/81929
Kersan-Skabic, I. (2017), Is There a Debt-Overhang Problem in the European Union? Economic Imbalances and Institutional Changes to the Euro and the European Union, pp. 277-303. https://doi.org/10.1108/S1569-376720170000018014
Khalid, A. (2016), Perspectives on Public Debt Sustainability, SBP Staff Notes, 04/16, pp. 1-11.
Lau, E. & Kon, T.-L. (2014), External Debt, Export and Growth in Asian Countries: 1988-2006, Journal of Applied Sciences, Volume 14, pp. 2170-2176.
DOI: 10.3923/jas.2014.2170.2176
Loser, C. M. (2004), External Debt Sustainability: Guidelines for Low- and Middle-income Countries, G-24 Discussion Paper Series, pp. 1-17. UNCTAD
Lukkezen, J. & Rojas-Romagosa, H. (2013), Stochastic debt sustainability indicators, Revue de l’OFCE, 127(1), 97-121. doi:10.3917/reof.127.0097
Mahmood, T., Arby, M. F. & Sherazi, H. (2014), Debt Sustainability: A Comparative Analysis of SAARC Countries, Pakistan Economic and Social Review, Volume 52, No. 1, pp. 15-34.
Masron, T.A. (2017), Relative Institutional Quality and FDI Inflows in ASEAN, Journal of Economic Studies, 44(1), pp. 115-137. DOI: 10.1108/JES-04-2015-0067
Moon, H.R. & Perron, B. (2004), Asymptotic Local Power of Pooled t−Ratio Tests for Unit Roots in Panels with Fixed Effects, mimeo.
Moon, H.R., Perron, B. & Phillips, P.C.B. (2005), Incidental Trends and the Power of Panel Unit Root Tests, IEPR Working Papers, Institute of Economic Policy Research (IEPR).
Mustapha, S. & Prizzon, A. (2015), Debt Sustainability and Debt Management in Developing Countries, EPS-PEAKS Topic Guide, pp. 1-33. Overseas Development Institute
Ncube, M. & Brixiová, Z. (2015), Public Debt Sustainability in Africa: Building Resilience and Challenges Ahead, Working Paper No. 227, pp. 1-27. African Development Bank Group
Neck, R. & Sturm, J.-E. (2008), Sustainability of Public Debt: Introduction and Overview, Cambridge: Massachusetts Institute of Technology.
North, D.C. (1990), Institutions, Institutional Change and Economic Performance, Cambridge and New York: Cambridge University Press.
Onafowora, O. & Owoye, O. (2019), Public debt, foreign direct investment and economic growth dynamics: Empirical evidence from the Caribbean, International Journal of Emerging Markets, pp. 1-23. https://doi.org/10.1108/IJOEM-01-2018-0050
Paret, A.-C. (2017), Debt sustainability in emerging market countries: Some policy guidelines from a fan-chart approach, Economic Modelling, 63, pp. 26-45. http://dx.doi.org/10.1016/j.econmod.2017.01.010
Pedroni, P. (1996), Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity, Indiana University Working Papers in Economics, No. 96-020, June.
Pesaran, M.H. (2007), A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Journal of Applied Econometrics, 22, pp. 265-312.
Pesaran, M.H. & Smith, R. (1995), Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics, 68 (1), pp. 79-113.
Pesaran, M.H., Shin, Y., & Smith, R.P. (1999), Pooled mean group estimation of dynamic heterogeneous panels, J. Am. Stat. Assoc., 94 (446), pp. 621-634.
Phillips, P.C.B. & Sul, D. (2003), Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence, Econometrics Journal, 6, pp. 217-259.
Romer, D. (2012), Advanced Macroeconomics, Fourth Edition, New York: McGraw-Hill.
Saikkonen, P. (1992), Estimation and Testing of Cointegrated System by an Autoregressive Approximation, Econometric Theory, 8(1), pp. 1-27.
Semmler, W. & Tahri, I. (2017), Current account imbalances: A new approach to assess external debt sustainability, Economic Modelling, pp. 1-10. http://dx.doi.org/10.1016/j.econmod.2016.12.005
Stock, J.H. & Watson, M.W. (1993), A Simple Estimator of Cointegrating Vectors in High Order Integrated Systems, Econometrica, 61(4), pp. 783-820.
UNCTAD (2018), Financing for development: Debt and debt sustainability and interrelated systemic issues, pp. 1-14. Geneva. United Nation.
Wyplosz, C. (2007), Debt Sustainability Assessment: The IMF Approach and Alternatives, HEI Working Paper, No. 03/2007, pp. 1-33. Geneva.
Ansah, J. P. & Qureshi, M. A. (2013), System dynamics model of debt accumulation in developing countries, African Journal of Economic and Management Studies, Vol. 4, Issue 3, pp. 317-337. http://dx.doi.org/10.1108/AJEMS-08-2011-0060
Arrow, K., et al (2004), Are We Consuming Too Much?, Journal of Economic Perspectives, 18(3): 147-172.
Beqiraj, E., Fedeli, S. & Forte, F. (2018), Public Debt Sustainability: An Empirical Study on OECD Countries, Journal of Macroeconomics, pp. 1-20. Doi:https://doi.org/10.1016/j.jmacro.2018.10.002
Berg, A. (1999), The Asia Crisis: Causes, Policy Responses, and Outcomes, IMF Working Paper, WP/99/138, pp. 1-62.
Bi, H. & Leeper, E. M. (2013), Analyzing Fiscal Sustainability, Bank of Canada Working Paper No. 2013-27, pp. 1-38.
Bi, H., Shen, W. & Yang, S. S. (2014), Fiscal Limits, External Debt, and Fiscal Policy in Developing Countries, IMF Working Papers No. 14/49, pp. 1-18. International Monetary Fund.
Bi, H. (2017), Fical Sustainability: A Cross-Country Analysis, Kansas City Fed Economic Review, pp. 5-35. DOI: 10.18651/ER/4q17Bi.
Bilan, I. (2010), Model of Public Debt Sustainability Assessment and Their Utility, Anale: Seria Stiinte Economice, 16, pp. 685-693.
Cavalcanti, M.A.F.H., et al (2018), The macroeconomic effects of monetary policy shocks under fiscal rules constrained by public debt sustainability, Economic Modelling, pp. 1-18. https://doi.org/10.1016/j.econmod.2017.12.010
Chandia, K. E. & Javid, A. Y. (2013), An Analysis of Debt Sustainability in the Economy of Pakistan, Procedia Economics and Finance, 5, pp. 133-142. Doi:10.1016/S2212-5671(13)00019-1
Corsetti, G. (2018), Debt Sustainability Assessments: the state of the art, European Union.
Cuestas, J. C. & Regis, P. J. (2017), On the dynamics of sovereign debt in China: Sustainability and structural change, Economic Modelling, pp. 1-4. http://dx.doi.org/10.1016/j.econmod.2017.08.003
Curtaşu, A. R. (2011), How to assess public debt sustainability: Empirical evidence for the advanced European countries, Romanian Journal of Fiscal Policy, 2 (2), pp. 20-43.
Debrun, X., Ostry, J. D., Willems, T. & Wyplosz, C. (2019), Public Debt Sustainability, Discussion Paper DP14010, Centre for Economic Policy Research.
Draksaite, A., Snieska, V., Valodkiene, G. & Daunoriene, A. (2015), Selection of government debt evaluation methods based on the concept of sustainability of the debt, Procedia - Social and Behavioral Sciences, 213, pp. 474-480. Doi: 10.1016/j.sbspro.2015.11.436
Edo, S., Osadolor, N. E. & Dading, I. F., (2019), Growing External Debt and Declining Export: The Concurrent Impediments in Economic Growth of Sub-Saharan African Countries, International Economics, https://doi.org/10.1016/j.inteco.2019.11.013
Ferrarini, B. & Ramayandi, A. (2015), Public Debt Sustainability in Developing Asia: An Update, ADB Economics Working Paper Series, No. 468, pp. 1-50. http://hdl.handle.net/11540/5302
Fournier, J.-M. & Fall, F. (2017), Limits to government debt sustainability in OECD countries, Economic Modelling, pp. 1-12. http://dx.doi.org/10.1016/j.econmod.2017.05.013
Ganelli, G. (2005), The new open economy macroeconomics of government debt, Journal of International Economics, 65, 167-184. Doi:10.1016/j.jinteco.2004.03.001
Greiner, A. & Fincke, B. (2015), Public Debt, Sustainability and Economic Growth: Theory and Empirics, Switzerland: Springer International Publishing.
Huang, C.-J. (2015), Is corruption bad for economic growth? Evidence from Asia-Pacific countries. North American Journal of Economics and Finance, 1-10. http://dx.doi.org/10.1016/j.najef.2015.10.013
Icaza, V. E. (2018), Fiscal fatigue and debt sustainability: Empirical evidence from the Eurozone 1980-2013, Cuadernos de Economía, 41, 69-78. http://dx.doi.org/10.1016/j.cesjef.2017.03.002
Im, K. S., Pesaran, M. H. & Shin. Y. (2003), Testingfor unit roots in heterogeneous panels, Journal of Econometrics, 115, pp. 53-74.
IMF (2002), Assessing Sustainability, Policy Development and Review Department, SM/02/166. http://www.imf.org/external/np/pdr/sus/2002/eng/052802.htm.
____(2013), Staff Guidance Note for Public Debt Sustainability Analysis in Market-Access Countries, IMF Policy Paper. https://www.imf.org/external/np/pp/eng/2013/050913.pdf.
Javaid, M.N., Iftikhar, N.M. & Ahmed, G. (2017), What Drives the Quality of Institutions in ASIAN Economies? Directions for Economic Reforms, Journal of South Asia Studies, 05(03), pp. 127-139.
Kao, C., & Chiang, M.H. (2000), On the estimation and inference of a cointegrated regression in panel data. Advances in Econometrics 15, pp. 179–222.
Kasper, W. & Streit, M. E. (1998), Institutional Economics: Social Order and Public Policy, UK: Edward Elgar.
Kaur, B., Mukherjee, A. & Ekka, A. P. (2017), Debt Sustainability of States in India: An Assessment, MPRA Paper, No. 81929, pp. 1-29. https://mpra.ub.uni-muenchen.de/81929
Kersan-Skabic, I. (2017), Is There a Debt-Overhang Problem in the European Union? Economic Imbalances and Institutional Changes to the Euro and the European Union, pp. 277-303. https://doi.org/10.1108/S1569-376720170000018014
Khalid, A. (2016), Perspectives on Public Debt Sustainability, SBP Staff Notes, 04/16, pp. 1-11.
Lau, E. & Kon, T.-L. (2014), External Debt, Export and Growth in Asian Countries: 1988-2006, Journal of Applied Sciences, Volume 14, pp. 2170-2176.
DOI: 10.3923/jas.2014.2170.2176
Loser, C. M. (2004), External Debt Sustainability: Guidelines for Low- and Middle-income Countries, G-24 Discussion Paper Series, pp. 1-17. UNCTAD
Lukkezen, J. & Rojas-Romagosa, H. (2013), Stochastic debt sustainability indicators, Revue de l’OFCE, 127(1), 97-121. doi:10.3917/reof.127.0097
Mahmood, T., Arby, M. F. & Sherazi, H. (2014), Debt Sustainability: A Comparative Analysis of SAARC Countries, Pakistan Economic and Social Review, Volume 52, No. 1, pp. 15-34.
Masron, T.A. (2017), Relative Institutional Quality and FDI Inflows in ASEAN, Journal of Economic Studies, 44(1), pp. 115-137. DOI: 10.1108/JES-04-2015-0067
Moon, H.R. & Perron, B. (2004), Asymptotic Local Power of Pooled t−Ratio Tests for Unit Roots in Panels with Fixed Effects, mimeo.
Moon, H.R., Perron, B. & Phillips, P.C.B. (2005), Incidental Trends and the Power of Panel Unit Root Tests, IEPR Working Papers, Institute of Economic Policy Research (IEPR).
Mustapha, S. & Prizzon, A. (2015), Debt Sustainability and Debt Management in Developing Countries, EPS-PEAKS Topic Guide, pp. 1-33. Overseas Development Institute
Ncube, M. & Brixiová, Z. (2015), Public Debt Sustainability in Africa: Building Resilience and Challenges Ahead, Working Paper No. 227, pp. 1-27. African Development Bank Group
Neck, R. & Sturm, J.-E. (2008), Sustainability of Public Debt: Introduction and Overview, Cambridge: Massachusetts Institute of Technology.
North, D.C. (1990), Institutions, Institutional Change and Economic Performance, Cambridge and New York: Cambridge University Press.
Onafowora, O. & Owoye, O. (2019), Public debt, foreign direct investment and economic growth dynamics: Empirical evidence from the Caribbean, International Journal of Emerging Markets, pp. 1-23. https://doi.org/10.1108/IJOEM-01-2018-0050
Paret, A.-C. (2017), Debt sustainability in emerging market countries: Some policy guidelines from a fan-chart approach, Economic Modelling, 63, pp. 26-45. http://dx.doi.org/10.1016/j.econmod.2017.01.010
Pedroni, P. (1996), Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity, Indiana University Working Papers in Economics, No. 96-020, June.
Pesaran, M.H. (2007), A Simple Panel Unit Root Test in the Presence of Cross Section Dependence, Journal of Applied Econometrics, 22, pp. 265-312.
Pesaran, M.H. & Smith, R. (1995), Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics, 68 (1), pp. 79-113.
Pesaran, M.H., Shin, Y., & Smith, R.P. (1999), Pooled mean group estimation of dynamic heterogeneous panels, J. Am. Stat. Assoc., 94 (446), pp. 621-634.
Phillips, P.C.B. & Sul, D. (2003), Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence, Econometrics Journal, 6, pp. 217-259.
Romer, D. (2012), Advanced Macroeconomics, Fourth Edition, New York: McGraw-Hill.
Saikkonen, P. (1992), Estimation and Testing of Cointegrated System by an Autoregressive Approximation, Econometric Theory, 8(1), pp. 1-27.
Semmler, W. & Tahri, I. (2017), Current account imbalances: A new approach to assess external debt sustainability, Economic Modelling, pp. 1-10. http://dx.doi.org/10.1016/j.econmod.2016.12.005
Stock, J.H. & Watson, M.W. (1993), A Simple Estimator of Cointegrating Vectors in High Order Integrated Systems, Econometrica, 61(4), pp. 783-820.
UNCTAD (2018), Financing for development: Debt and debt sustainability and interrelated systemic issues, pp. 1-14. Geneva. United Nation.
Wyplosz, C. (2007), Debt Sustainability Assessment: The IMF Approach and Alternatives, HEI Working Paper, No. 03/2007, pp. 1-33. Geneva.
Published
2021-02-28
How to Cite
CAHYADIN, malik.
External Debt Sustainability in Selected ASEAN Countries: Do Macroeconomic Data and Institutions Matter?.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], p. 37-58, feb. 2021.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/69318>. Date accessed: 21 nov. 2024.
doi: https://doi.org/10.24843/JEKT.2021.v14.i01.p03.
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