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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carmen M. Reinhart & Kenneth S. Rogoff & Miguel A. Savastano, 2003.
NBER Working Papers
9908, National Bureau of Economic Research, Inc.
- Pierpaolo Benigno & Francesco Giavazzi & Alessandro Missale, .
"How is the Debt Managed? Learning from Fiscal Stabilizations,"
174, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- 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.
- repec:rus:hseeco:123922 is not listed on IDEAS
- 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.
- 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.
- 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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