全球智库信息集成服务系统(G2TT): A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w10336
来源ID	Working Paper 10336
	A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data
	Marcio Garcia; Roberto Rigobon
发表日期	2004-03-08
出版年	2004
语种	英语
摘要	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.
主题	International Economics ; International Finance
URL	https://www.nber.org/papers/w10336
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/567966
推荐引用方式 GB/T 7714	Marcio Garcia,Roberto Rigobon. A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data. 2004.