Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/175971 
Year of Publication: 
2004
Series/Report no.: 
Texto para discussão No. 484
Publisher: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Abstract: 
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.
Subjects: 
Public Debt
Debt Sustainability
Country Risk
Brazil JEL Codes: F34
F37
G15
Document Type: 
Working Paper

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