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 Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 484.
Length: 23 pages
Date of creation: Apr 2004
Date of revision:
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Public Debt; Debt Sustainability; Country Risk; Brazil JEL Codes: F34; F37; G15;
Other versions of this item:
- Marcio Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data," NBER Working Papers 10336, National Bureau of Economic Research, Inc.
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
- NEP-FIN-2004-07-26 (Finance)
- NEP-RMG-2004-07-26 (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.:
- Márcio Gomes Pinto Garcia & Tatiana Didier, 2000. "Very high interest rates and the cousin risks: Brazil during the Real Plan," Textos para discussÃ£o 441, Department of Economics PUC-Rio (Brazil).
- Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003.
13932, University Library of Munich, Germany.
- 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).
- 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.
- 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.
- Márcio gomes Pinto Garcia & Marcus Vinicius Ferrero Valpassos, 1998. "Capital flows, capital controls and currency crisis: the case of Brazil in the nineties," Textos para discussÃ£o 389, Department of Economics PUC-Rio (Brazil).
- 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.
- 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.
- 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.
- Márcio Gomes Pinto Garcia, 2002. "Public debt management, monetary policy and financial institutions," Textos para discussÃ£o 464, Department of Economics PUC-Rio (Brazil).
- repec:rus:hseeco:123922 is not listed on IDEAS
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