Does rollover risk matter in quantitative sovereign default models?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/28984 |
Resumo: | Em teoria, falhas de coordenação entre agentes podem levar países a não repagarem dívidas soberanas outrora contraídas. A presente dissertação busca compreender se este mecanismo é de fato importante para determinação do risco associado a uma dívida soberana. Argumentamos que a literatura existente de modelos quantitativos de dívida soberana não está pronta para estudar este tema. As predições destes modelos dependem crucialmente de uma função que captura perdas de produto agregado advindas do calote. Entretanto, as formas funcionais utilizadas mais comuns para esta função geram resultados completamente diferentes: riscos de falhas de coordenação podem ter efeitos negligíveis, significativos, ou muito significativos. As evidências encontradas levantam dúvidas sobre a literatura, já que a disciplina requerida para um exercício computacional adequado parece ser inexistente. |
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Lima, Lucas Tumkus deEscolas::EESPRibeiro, Marcel BertiniGonçalves, Carlos Eduardo SoaresGuimarães, Bernardo de Vasconcellos2020-04-13T13:14:53Z2020-04-13T13:14:53Z2020-03-12http://hdl.handle.net/10438/28984Em teoria, falhas de coordenação entre agentes podem levar países a não repagarem dívidas soberanas outrora contraídas. A presente dissertação busca compreender se este mecanismo é de fato importante para determinação do risco associado a uma dívida soberana. Argumentamos que a literatura existente de modelos quantitativos de dívida soberana não está pronta para estudar este tema. As predições destes modelos dependem crucialmente de uma função que captura perdas de produto agregado advindas do calote. Entretanto, as formas funcionais utilizadas mais comuns para esta função geram resultados completamente diferentes: riscos de falhas de coordenação podem ter efeitos negligíveis, significativos, ou muito significativos. As evidências encontradas levantam dúvidas sobre a literatura, já que a disciplina requerida para um exercício computacional adequado parece ser inexistente.In theory, coordination failures among lenders might lead countries to default on their debts. But is this an important source of sovereign debt risk? This paper argues that the literature on quantitative models of sovereign default is not ready to study this problem. The predictions of those models crucially depend on the function assumed to capture the output losses from default, and commonly used functions yield entirely different results: rollover risk might have negligible, significant, or huge effects. The findings raise questions about the literature since the discipline required for a sound computational exercise seems to be missing.engSovereign debtDefault costsSunspotsDívida soberanaCustos de caloteEconomiaDívida públicaDívida externaRisco (Economia)Does rollover risk matter in quantitative sovereign default models?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTDissertationEESP_LTL_ABNT.pdf.txtDissertationEESP_LTL_ABNT.pdf.txtExtracted texttext/plain85998https://repositorio.fgv.br/bitstreams/d0798d97-e39b-46d1-b565-3bb8d9732e2c/download7c02920263519bb20f8ec49d016312b1MD57THUMBNAILDissertationEESP_LTL_ABNT.pdf.jpgDissertationEESP_LTL_ABNT.pdf.jpgGenerated 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dc.title.por.fl_str_mv |
Does rollover risk matter in quantitative sovereign default models? |
title |
Does rollover risk matter in quantitative sovereign default models? |
spellingShingle |
Does rollover risk matter in quantitative sovereign default models? Lima, Lucas Tumkus de Sovereign debt Default costs Sunspots Dívida soberana Custos de calote Economia Dívida pública Dívida externa Risco (Economia) |
title_short |
Does rollover risk matter in quantitative sovereign default models? |
title_full |
Does rollover risk matter in quantitative sovereign default models? |
title_fullStr |
Does rollover risk matter in quantitative sovereign default models? |
title_full_unstemmed |
Does rollover risk matter in quantitative sovereign default models? |
title_sort |
Does rollover risk matter in quantitative sovereign default models? |
author |
Lima, Lucas Tumkus de |
author_facet |
Lima, Lucas Tumkus de |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Ribeiro, Marcel Bertini Gonçalves, Carlos Eduardo Soares |
dc.contributor.author.fl_str_mv |
Lima, Lucas Tumkus de |
dc.contributor.advisor1.fl_str_mv |
Guimarães, Bernardo de Vasconcellos |
contributor_str_mv |
Guimarães, Bernardo de Vasconcellos |
dc.subject.eng.fl_str_mv |
Sovereign debt Default costs Sunspots |
topic |
Sovereign debt Default costs Sunspots Dívida soberana Custos de calote Economia Dívida pública Dívida externa Risco (Economia) |
dc.subject.por.fl_str_mv |
Dívida soberana Custos de calote |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Dívida pública Dívida externa Risco (Economia) |
description |
Em teoria, falhas de coordenação entre agentes podem levar países a não repagarem dívidas soberanas outrora contraídas. A presente dissertação busca compreender se este mecanismo é de fato importante para determinação do risco associado a uma dívida soberana. Argumentamos que a literatura existente de modelos quantitativos de dívida soberana não está pronta para estudar este tema. As predições destes modelos dependem crucialmente de uma função que captura perdas de produto agregado advindas do calote. Entretanto, as formas funcionais utilizadas mais comuns para esta função geram resultados completamente diferentes: riscos de falhas de coordenação podem ter efeitos negligíveis, significativos, ou muito significativos. As evidências encontradas levantam dúvidas sobre a literatura, já que a disciplina requerida para um exercício computacional adequado parece ser inexistente. |
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2020 |
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2020-04-13T13:14:53Z |
dc.date.available.fl_str_mv |
2020-04-13T13:14:53Z |
dc.date.issued.fl_str_mv |
2020-03-12 |
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eng |
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