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A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an application to Brazilian data

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Author Info
Roberto Rigobon
Marcio Garcia

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Abstract

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. We illustrate the methodology by studying the Brazilian case. We find that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, we show that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt

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Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 24.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:latm04:24

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Related research
Keywords: Public Debt; Debt Sustainability; Country Risk; Brazil;

Find related papers by JEL classification:
F34 - International Economics - - International Finance - - - International Lending and Debt Problems
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003. "Debt intolerance," MPRA Paper 13932, University Library of Munich, Germany. [Downloadable!]
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  2. Benigno, Pierpaolo & Giavazzi, Francesco & Missale, Alessandro, 2001. "How is the Debt Managed? Learning from Fiscal Stabilizations," CEPR Discussion Papers 2655, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Bevilaqua, Afonso S & Garcia, Marcio G P, 2002. "Debt Management in Brazil: Evaluation of the Real Plan and Challenges Ahead," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(1), pages 15-35, January. [Downloadable!] (restricted)
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  4. repec:rus:hseeco:123922 is not listed on IDEAS
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