A Risk Management Approach to Emerging Marketâ€™s Sovereign Debt Sustainability with an application to Brazilian data
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
|Date of creation:||11 Aug 2004|
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- Afonso S. Bevilaqua & Márcio Gomes Pinto Garcia, 1999.
"Debt management in Brazil: evaluation of the Real Plan and challenges ahead,"
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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.
- repec:rus:hseeco:123922 is not listed on IDEAS
- Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003.
13932, University Library of Munich, Germany.
- Pierpaolo Benigno & Francesco Giavazzi & Alessandro Missale, "undated".
"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 443-469, 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.
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