A risk management approach to emerging market's sovereign debt sustainability with an application to brazilian data
By: Marcio Garcia, Roberto Rigobon.
Contributors: Rigobón, Roberto.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10336; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10336.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
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Mode of access: World Wide Web.