A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data
AbstractIn 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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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10336.
Date of creation: Mar 2004
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- Márcio Gomes Pinto Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data," Textos para discussÃ£o 484, Department of Economics PUC-Rio (Brazil).
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-07 (All new papers)
- NEP-FIN-2004-03-07 (Finance)
- NEP-LAM-2004-03-07 (Central & South America)
- NEP-MAC-2004-03-07 (Macroeconomics)
- NEP-RMG-2004-03-07 (Risk Management)
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- Afonso S. Bevilaqua & Márcio Gomes Pinto Garcia, 1999.
"Debt management in Brazil: evaluation of the Real Plan and challenges ahead,"
Textos para discussÃ£o
408, Department of Economics PUC-Rio (Brazil).
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- Bevilaqua, Alfonso S. & Garcia, Marcio G. P., 2000. "Debt management in Brazil : evaluation of the Real Plan and challenges ahead," Policy Research Working Paper Series 2402, The World Bank.
- Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003.
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 34(1), pages 1-74.
- 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.
- Missale, Alessandro & Giavazzi, Francesco & Benigno, Pierpaolo, 2002. " How Is the Debt Managed? Learning from Fiscal Stabilizations," Scandinavian Journal of Economics, Wiley Blackwell, vol. 104(3), pages 443-69, September.
- Pierpaolo Benigno & Francesco Giavazzi & Alessandro Missale, . "How is the Debt Managed? Learning from Fiscal Stabilizations," Working Papers 174, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- repec:rus:hseeco:123922 is not listed on IDEAS
- Eliana Cardoso & Ilan Goldfajn, 1998. "Capital Flows to Brazil: The Endogeneity of Capital Controls," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 161-202, March.
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