IMF-各国最大可持续债务：基于P理论的评估（英）

Maximum Sustainable Debt Across Countries: An Assessment using P-Theory Yongquan Cao, Wei Jiang, W. Raphael Lam, Neng Wang WP/25/223IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 OCT * International Monetary Fund+ University of Science and Technology, Hong Kong# Cheung Kong Graduate School of BusinessWe would like to thank Vitor Gaspar, Era Dabla-Norris, Davide Furceri, Rodrigo Alfaro, and the participants of the IMF FiscalAdvisory Group and IMF seminars for their valuable feedback and insights. We are also grateful to Hongchi Li for excellent research assistance. The views expressed in IMF Working Papers are those of the authors and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. © 2025 International Monetary Fund WP/25/223IMF Working Paper Fiscal Affairs Department Maximum Sustainable Debt Across Countries: An Assessment using P-Theory Prepared by Yongquan Cao*, Wei Jiang+, W. Raphael Lam*, and Neng Wang# Authorized for distribution by Davide Furceri October 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: This paper provides a parsimonious yet tractable approach to evaluating maximum sustainable debt across countries and over time within the p-theory framework developed by Jiang et al. (2024). By incorporating tax distortions, asset-pricing components (risk-free rates, convenience yields, and jump-risk premia), and sovereign default risks into the model, we calibrate it for a large sample of over 170 countries. Our illustrative findings show that while current debt levels in many economies remain within maximum sustainable debt levels, debt burdens in many emerging markets and low-income countries are near their respective sustainable levels. In contrast, a few countries that are in—or at high risk of—debt distress have debt levels exceeding their sustainable thresholds. The analysis highlights how sustainable debt estimates evolve over time in response to shifts in financial conditions and macro-fiscal fundamentals. These estimates are particularly sensitive to key parameters—most notably when interest-growth differentials are narrow. RECOMMENDED CITATION: Cao, Yongquan, Wei Jiang, W. Raphael Lam, and Neng Wang. 2025. “Maximum Sustainable Debt across Countries: An Assessment using P-Theory” IMF Working Papers No. 2025/223. JEL Classification Numbers: H21, H63, E62, F34 Keywords: Debt limit; debt carrying capacity; convenience yields, risk premium, asset pricing; maximum sustainable debt Author’s E-Mai