Risco, Dívida e Alavancagem Soberana

Jose Ornelas

No 457, Working Papers Series from Central Bank of Brazil, Research Department

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.

Date: 2017-07
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