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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/content/publicacoes/WorkingPaperSeries/TD457.pdf
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    References listed on IDEAS

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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.
    2. Souza, Rodrigo da Silva & Fry-McKibbin, Renée, 2021. "Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 781-800.
    3. Rodrigo da Silva Souza & Leonardo B. de Mattos & João E. de Lima, 2021. "Commodity prices and the Brazilian real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3152-3172, April.

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