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Type 'q()' to quit R. > library(testthat) > library(debtkit) > > test_check("debtkit") -- Bohn Fiscal Reaction Function ----------------------------------------------- * Method: ols * Observations: 50 * rho = 0.0365 (SE = 0.0058, p = 8.47e-08) v Sustainable: rho > 0 and significant at 5% level. -- Debt Projection Comparison -------------------------------------------------- * 2 scenarios: "Baseline" and "Austerity" Terminal debt/GDP: Baseline 52.3% Austerity 42.5% -- Debt Decomposition ---------------------------------------------------------- * Periods: 19 (2005–2023) * Cumulative change: 24 pp * Interest effect: 29.8 pp * Growth effect: -39.5 pp * Primary balance: 20.9 pp * Stock-flow adj.: 12.8 pp -- Debt Decomposition ---------------------------------------------------------- * Periods: 19 (2005–2023) * Cumulative change: 24 pp * Interest effect: 29.8 pp * Growth effect: -39.5 pp * Primary balance: 20.9 pp * Stock-flow adj.: 12.8 pp Year-by-year decomposition: year debt change interest growth pb sfa 2005 44% -1 pp 1.8 pp -2.1 pp -1.2 pp 0.5 pp 2006 42% -2 pp 1.7 pp -2.5 pp -1.5 pp 0.2 pp 2007 41% -1 pp 1.8 pp -1.8 pp -0.8 pp -0.2 pp 2008 55% 14 pp 1.7 pp 0.8 pp 4 pp 7.5 pp 2009 60% 5 pp 1.9 pp -1.6 pp 3.5 pp 1.2 pp 2010 62% 2 pp 1.9 pp -2 pp 2.5 pp -0.4 pp 2011 60% -2 pp 1.8 pp -2.4 pp 1.5 pp -2.9 pp 2012 58% -2 pp 1.6 pp -2.2 pp 1 pp -2.4 pp 2013 56% -2 pp 1.4 pp -2.3 pp 0.5 pp -1.6 pp 2014 55% -1 pp 1.2 pp -2.4 pp 0 pp 0.2 pp 2015 54% -1 pp 1.1 pp -1.9 pp -0.5 pp 0.3 pp 2016 55% 1 pp 0.9 pp -2.1 pp -0.3 pp 2.4 pp 2017 53% -2 pp 1.1 pp -2.2 pp -0.8 pp 0 pp 2018 52% -1 pp 1.1 pp -2.5 pp -1 pp 1.4 pp 2019 72% 20 pp 0.8 pp 1.9 pp 6 pp 11.3 pp 2020 75% 3 pp 1.2 pp -4.4 pp 4.5 pp 1.7 pp 2021 73% -2 pp 1.8 pp -3.9 pp 2 pp -1.9 pp 2022 71% -2 pp 2.4 pp -3.1 pp 1 pp -2.3 pp 2023 69% -2 pp 2.6 pp -2.7 pp 0.5 pp -2.4 pp -- Macro Shock Estimates ------------------------------------------------------- * Method: var * Observations: 29 * Variable means: growth = 2.1%, interest_rate = 3.1%, primary_balance = -1.9% * Shock std. deviations: growth = 1.4 pp, interest_rate = 0.8 pp, primary_balance = 0.9 pp * Shock correlation matrix: growth interest_rate primary_balance growth 1.000 0.068 0.041 interest_rate 0.068 1.000 0.388 primary_balance 0.041 0.388 1.000 -- Stochastic Debt Fan Chart --------------------------------------------------- * Simulations: 50 * Horizon: 5 years * Initial debt: 90% of GDP * Baseline terminal debt: 104.7% of GDP * Median terminal debt: 104.7% of GDP * Probability debt exceeds thresholds at horizon: 60% of GDP: 100% 90% of GDP: 100% 120% of GDP: 0% -- IMF Risk Heat Map (Advanced Economy) ---------------------------------------- Debt / GDP 90% HIGH Gross financing needs / GDP 18% MEDIUM Foreign currency share 30% HIGH -------------------------------------------------------------------------------- Overall risk: HIGH -- Debt Sustainability Projection ---------------------------------------------- * Horizon: 10 years * Initial debt/GDP: 60% * Terminal debt/GDP: 55.6% * Change: -4.4 pp * Debt-stabilising primary balance: 0.5% -- Debt Sustainability Projection ---------------------------------------------- * Horizon: 10 years * Initial debt/GDP: 60% * Terminal debt/GDP: 55.6% * Change: -4.4 pp * Debt-stabilising primary balance: 0.5% Decomposition of debt changes: year debt interest growth snowball pb sfa change 1 59.6% 2.3 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 2 59.2% 2.3 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 3 58.7% 2.3 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 4 58.3% 2.3 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 5 57.9% 2.3 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 6 57.4% 2.2 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 7 57% 2.2 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 8 56.5% 2.2 pp -1.7 pp 0.6 pp -1 pp 0 pp -0.4 pp 9 56.1% 2.2 pp -1.6 pp 0.5 pp -1 pp 0 pp -0.5 pp 10 55.6% 2.2 pp -1.6 pp 0.5 pp -1 pp 0 pp -0.5 pp -- IMF Stress Test Scenarios --------------------------------------------------- * Horizon: 5 years * Initial debt/GDP: 90% Terminal debt/GDP by scenario: Scenario Terminal Diff Baseline 80.9% 0 pp Growth shock 82.5% 1.7 pp Interest rate shock 89.3% 8.5 pp Exchange rate shock 80.9% 0 pp Primary balance shock 82.8% 1.9 pp Combined shock 85.9% 5 pp Contingent liabilities 90.5% 9.6 pp -- Sustainability Gap Indicators ----------------------------------------------- * Current debt/GDP: 90% * Current structural PB: -1% * Interest rate: 2.5% * GDP growth: 1.5% -- S1 Indicator -- * Required PB adjustment: 4.3 pp * Required structural PB: 2.3% * Target debt/GDP: 60% in 20 years Risk: MEDIUM -- S2 Indicator -- * Required PB adjustment: 204.9 pp * Ageing costs: 2 pp Risk: HIGH -- Bohn Fiscal Reaction Function ----------------------------------------------- * Method: quadratic * Observations: 100 * rho = 0.0734 (SE = 0.0078, p = 1.93e-15) * rho2 = -0.035733 (SE = 0.005105, p = 3.36e-10) * Turning point (debt/GDP): 1.027 ! Fiscal fatigue detected: negative and significant rho2. v Sustainable: rho > 0 and significant at 5% level. [ FAIL 0 | WARN 0 | SKIP 0 | PASS 330 ] > > proc.time() user system elapsed 5.56 1.06 6.61