Dívida pública estadual no Brasil: uma análise de risco de crédito

Abstract

As public debt reaches record levels in 2021 and crises expand the public's financing needs, credit risk is highlighted as a useful metric for potential creditors and also for the public entities themselves, in terms of managing their liabilities portfolio. The financial deterioration of Brazilian states raises questions about the negative influence that this condition may have on national debt and also on sovereign credit risk, in view of the credit market perception and the federative relations between the states and the Union. This paper assesses, for the short term, perspectives for state-level credit risk, with focus on the probability of default. In addition to that, it also investigates hypotheses about the relationship between state-level and federal-level debt and the Credit Default Swap-CDS - as a metric for Brazilian sovereign risk. The investigation of these hypotheses used autoregressive vector models, and the perspectives for state credit risk were obtained using Panel Data model projections combined with Monte Carlo simulations. The study includes other relevant factors in addition to the debt of entities and CDS, such as the Gross Domestic Product (GDP), primary surplus, interest rate and exchange rate. The results indicate the persistence of a negative condition for most states, and also the possibility of ranking them in different levels of credit risk. In addition, state debt level has a direct influence on federal debt, as well as an indirect influence on sovereign risk, which confirms and indicates the persistence of the stress exerted by the states’ finances on the Union budget, and brings up other issues for future research. Another relevant result of the research is the construction of a practical, alternative and complementary method for analyzing subnational credit risk in the short term.