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Sovereign debt with adverse selection : a quantitative approach
(Escola de Pós-Graduação em Economia da FGV, 2002-10-17)
We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. ...
Can macroeconomic variables account for the term structure of sovereign spreads?: studying the Brazilian case
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2005-08-12)
A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data
(Escola de Pós-Graduação em Economia da FGV, 2004-05-27)
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 ...
Debt and default in a growth model
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia., 2006-08-11)
This paper presents a small open economy model with capital accumulation and without commitment to repay debt. The optimal debt contract specifies debt relief following bad shocks and debt increase following good shocks ...
Business cycles in emerging economies : the role of interest rates
(Escola de Pós-Graduação em Economia da FGV, 2001-10-25)
This paper documents the empirical relation between the interest rates that emerging economies face in international capital markets and their business cycles. It shows that the patterns observed in the data can be interpreted ...