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Risco, Dívida e Alavancagem Soberana

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  • José Renato Haas Ornelas

Abstract

The gross debt of a country is one of the main indicators used by investors to measure fiscal solvency of a country. This study estimates the relationship between an increase in the gross debt and external debt interest rates, based on a sample of 23 emerging economies. Additionally, it evaluate if the acquisition of sovereign assets with the respective increase of the gross debt is related with the sovereign spread. Results show that an increase of one percent on the gross debt, measure as a percentage of the GDP, is associated with an increase of approximately 0.7% on the sovereign spread of the emerging country, controlled by other variables. Furthermore, an increase in the gross debt motivated by the acquisition of some types of sovereign assets – for instance, lending to public banks – is associated with a harmful effect on the sovereign risk. However, an increase in the sovereign debt coming from accumulation of international reserves has a less damaging effect than those of other types of sovereign assets

Suggested Citation

  • José Renato Haas Ornelas, 2017. "Risco, Dívida e Alavancagem Soberana," Working Papers Series 457, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:457
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    File URL: https://www.bcb.gov.br/pec/wps/port/TD457.pdf
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    References listed on IDEAS

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    1. Costantini, Mauro & Fragetta, Matteo & Melina, Giovanni, 2014. "Determinants of sovereign bond yield spreads in the EMU: An optimal currency area perspective," European Economic Review, Elsevier, vol. 70(C), pages 337-349.
    2. António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012_14, Business School - Economics, University of Glasgow.
    3. Balazs Csonto & Iryna V. Ivaschenko, 2013. "Determinants of Sovereign Bond Spreads in Emerging Markets; Local Fundamentals and Global Factors vs. Ever-Changing Misalignments," IMF Working Papers 13/164, International Monetary Fund.
    4. Elva Bova & Marta Ruiz-Arranz & Frederik G Toscani & H. Elif Ture, 2016. "The Fiscal Costs of Contingent Liabilities; A New Dataset," IMF Working Papers 16/14, International Monetary Fund.
    5. Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
    6. Iva Petrova & Michael G. Papaioannou & Dimitri Bellas, 2010. "Determinants of Emerging Market Sovereign Bond Spreads; Fundamentals vs Financial Stress," IMF Working Papers 10/281, International Monetary Fund.
    7. Kaufmann, Daniel & Kraay, Aart & Mastruzzi, Massimo, 2010. "The worldwide governance indicators : methodology and analytical issues," Policy Research Working Paper Series 5430, The World Bank.
    8. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
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    Cited by:

    1. Renée Fry-McKibbin & Rodrigo da Silva Souza, 2018. "Chinese resource demand or commodity price shocks: Macroeconomic effects for an emerging market economy," CAMA Working Papers 2018-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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