Ensaios em dívida soberana

• Ano de defesa: 2012
• Autor(a) principal: Delfino, Denísio Augusto Liberato
• Orientador(a): Brito, Márcio Holland de
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Modelo de correção de erro vetorial (MCEV); Dívida soberana; Pecado original; Efeitos fixos; Efeitos aleatórios
• Palavras-chave em Inglês: Fixed effects; Random effects; Price discovery; Vetorial error correction model (VECM)
• Link de acesso: http://hdl.handle.net/10438/9900

The aim of this dissertation is to collaborate with the international finance literature, addressing the debate on the 'acceptable' sovereign debt limits debt, as well as addressing on debt denomination in the international market. The analysis of debt limits is based on a model in which self-fulfilling debt crises can occur when the debt level reaches a certain range. Once this range is reached, the debt may (or may not) be rolled over and, if creditors do not grant new loans, the crisis becomes, in fact, a self-fulfilling prophecy. The results indicate that the indebtedness limit, besides being persistent, depends highly on the debt/GDP ratio, as well as on historical inflation, banking crises and default (or restructuring) of sovereign debt. Subsequently, an application of the estimated model is made to peripheral countries of the Euro Zone. The results suggest that countries like Portugal and Greece, even after the adoption of the single currency, have difficulties in managing their debt levels. The results also suggest that the worse the macroeconomic history, the lower the country's ability 'to tolerate' debt. In relation to debt denomination, the study seeks to identify to what extent the volatility of real effective exchange rate, controlled by several factors, have an influence on how countries gain access to the international bond market. The results indicate that low exchange rate volatility is a fundamental condition for debt denominated in local currency in international markets. Moreover, the size of the economy, stability of regulations, enforcement of contracts and ample liquidity in domestic financial markets are factors that contribute to the acceptance of a currency in international debt contracts. Additional evidence of the study suggests that the broad international liquidity, mainly observed in the 2000s, was unable to expand significantly the number of currencies used in international debts. Still regarding this issue, the dissertation analyzes the first steps of the Brazilian economy in order to extend the profile of its public debt through the issuance of bonds denominated in Reais in the international market.