Analysis of Sovereign External Debt Variations by Cross Wavelet Transform

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NAMAKI ALI; NAZARI MOHSEN; Gaeeini Hossein

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Journal: IRANIAN JOURNAL OF FINANCE Year:2020 | Volume:4 | Issue:4 Page(s): 126-139

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Title

Analysis of Sovereign External Debt Variations by Cross Wavelet Transform

Author(s)

NAMAKI ALI | NAZARI MOHSEN | Gaeeini Hossein | Issue Writer Certificate

Keywords

Public Finance

Sovereign Debt

Cross Wavelet Transform

International Capital Flows

Developing Economy

Abstract

Since the 1970’ s developing and developed countries have experienced unprecedented public debt levels. This surge in public debt has emphasized the importance of public debt management. Since risks such as reducing economic growth, increasing inflation, and depreciation of the national currency accompany unplanned public debt accumulation, governments should be alert not to endanger economic growth with ill-considered borrowing. In this paper, we aim to analyze Iran’ s external debt variations concerning major macroeconomic variables such as GDP growth as a proxy of economic growth, inflation, and sovereign oil generated incomes. The method that is applied in this research is Cross Wavelet Transform which is a powerful mathematical approach for analyzing the financial data. Our results show there are different patterns in small and large scales between variables and external debt as a dependent variable has different relations with endogenous and exogenous factors. In the short run, low oil prices as an exogenous variable, during the 1980s have shaped governments’ debt accumulation behavior but on larger scales, indigenous variables such as governments’ budget deficits have been much more dominant in shaping governments borrowing patterns. In a chronological view, US cruel sanctions and the Iran-Iraq war were major events affecting sovereign borrowing behavior.

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APA: Copy

NAMAKI, ALI, NAZARI, MOHSEN, & Gaeeini, Hossein. (2020). Analysis of Sovereign External Debt Variations by Cross Wavelet Transform. IRANIAN JOURNAL OF FINANCE, 4(4), 126-139. SID. https://sid.ir/paper/983202/en

Vancouver: Copy

NAMAKI ALI, NAZARI MOHSEN, Gaeeini Hossein. Analysis of Sovereign External Debt Variations by Cross Wavelet Transform. IRANIAN JOURNAL OF FINANCE[Internet]. 2020;4(4):126-139. Available from: https://sid.ir/paper/983202/en

IEEE: Copy

ALI NAMAKI, MOHSEN NAZARI, and Hossein Gaeeini, “Analysis of Sovereign External Debt Variations by Cross Wavelet Transform,” IRANIAN JOURNAL OF FINANCE, vol. 4, no. 4, pp. 126–139, 2020, [Online]. Available: https://sid.ir/paper/983202/en

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