Index. Calvo, Guillermo, 86 87, 227, 239 Capital flows, 288 relation estimation, trade balance and, 53 55

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1 Index Agénor, P., 231 Alesina, A., , 241, 249 Alexius, A., 98 Annual borrowing plans (PAF), Araujo, A., 234 Argentina, economic crisis in, 5 6, 19, 30, 227, , , 249, 259, , 267, 296 Arida, P., 295 Artificial debt term lengthening, Asset and liability management (ALM) analysis, 159 Aversion, risk, 61 62, 75 76, 168 Baa spread, 63 65, 90 91, 154 Bacha, E. L., 295 Balance of payments, 34 38, 46, 288 Belaish, A., 17 Bernanke, B., 23 Bevilaqua, A. S., 127, 132, 166 Blanchard, O., 288 Blanco Cosio, F. A., 127 Bonds expected return differentials on, fixed-rate, , , price-indexed, , Boschi, M., 231 Budget-at-risk (BarR) model, Budget Guidelines Law, 195 Budgets inflation targeting and, short- vs. long-run objectives, 202 structures, Calvo, Guillermo, 86 87, 227, 239 Capital flows, 288 relation estimation, trade balance and, Cardoso, Fernando Henrique, 166, 260 Carneiro, D. D., 83 Cash-flow-at-risk (CfaR) model, Chang, R., 236 Chávez, Hugo, 260 Chile, 274, 276 Choleski decomposition, 171, 179 Claessens, S., 231 Cole, H., Colombia, 276 Colosio, Luis Donaldo, 233 Commodities and Futures Exchange (BM&F), 24 Composition, debt demand shocks and, EMBI shocks and, forecasting regressions for estimating, optimal, , , structural model for estimating, supply shocks and, Compulsory savings, Consumer prices and exchange rates, 7 8, Contagion determining sovereign spreads and, empirical evidence of, IMF intervention in, , sovereign spread and political risk and, theoretical literature on, Convertibility restrictions, , 290 Corsetti, G., 234 Cost-at-risk (CaR) model, Country risk, , , ,

2 300 Index Credit, long-term, artificial debt term lengthening and, Debt composition estimation, demand shocks and, , denomination and indexation, , dynamics, 55 59, 81 83, , EMBI spread effect on, fiscal policy and, 4 6, 43 44, forecasting regressions for estimating composition of, global games and uniqueness of equilibrium affecting, impulse responses to shocks and, management, 43 44, optimal structure of, , ratio stabilization, real exchange rate and, 6 13, risk aversion and, risk management approach to sustainability of, shock decomposition, sovereign, , , , stocks, structural model for estimating composition of, Sudden Stop equilibrium, 234, , 241, , 260 supply shocks and, , sustainability (See Sustainability, debt) term lengthening, artificial, uncertainty of returns on, Default risk EMBI spread and, interest rates and, 59 62, relation estimation, De Freitas, P. S., 17 Demand shocks, , Denomination and indexation, debt, , De Souza, A., 270 Dornbusch, R., 36, 260 Double equilibrium hypothesis, Economic growth slowdowns, Eichengreen, B., 273, 274 Emerging Market Bond Index (EMBI spread), computation of, debt sustainability and, effect on interest rates, effect on public debt servicing, fiscal policy and, inflation targeting and, international factors affecting, monetary policy and, 90 93, risk premium and, shocks, , term premia on long-term interest rates, Engel, C., 35 Enron, 227 Equilibrium, uniqueness of, Exchange rates balance of payments and, 34 38, 46 capital flows and, 53 55, consumer prices and, 6 13, convertibility restrictions on, debt dynamics and, 55 59, debt sustainability and, 173, 190 effects of interest rates on default risk and real, EMBI spread and, equilibrium rates of return and, 52 inflation and, 68, intervention in foreign market, 24 28, probability of default and, public debt and, 6 13 risk premium, 96 97, targets, volatility, Expected return differentials, Expenditure-switching and reducing policies, Favero, C., 243, 245 Fiscal policy debt management and, 43 44, debt sustainability and, in Europe, 217 independent watchdogs and, 216, inflation targeting and, institutional approach to, rules applied to Brazil, Taylor rule for,

3 Index 301 Fiscal Responsibility Law (Brazil), 11 12, 194, 224 fiscal policy and debt sustainability, main measures of, Fischer, S., 5 Fixed-rate bonds, , , Forbes, K., 260 Forecasting regressions for debt composition estimation, Foreign exchange market intervention, 24 28, Fraga, A., 20, 21 Freund, C., 12 Friedman, Milton, 36 Garcia, M. G. P., 132, 166 Ghosal, S., 234 Giavazzi, F., 243, 245 Global games, Goldfajn, I., 11, 12, 17, 20, 21, 36, 117, 193, 197, 227 Goldstein, M., 193, 197 Goretti, M., 231, 250 Guimares, B., 234 Hausmann, R., 273, 274 Herrera, S., 127 Impulse responses to shocks, Incomeless taxes, Independent watchdog committees, 216, Indexation, debt denomination and, , India, 274 Inflation debt sustainability and, 189 exchange rates and, 68, expected return differentials and, fiscal policy and, interest rates and, monetary policy and, 16 20, 45, 76 79, 81 83, 93, 98 99, targeting, 20 24, 49 50, , 198, , Institutional approach to fiscal policy, Interest rates capital flows and, 53 55, current interpretations of high, debt dynamics and, 55 59, debt sustainability and, effects on default risk and real exchange rates, 59 62, EMBI spread effect on, equilibrium rates of return and, 52 historical perspective of, inflation and, jurisdictional uncertainty effect on, , term premia on long-term, International influence on Brazil s economy the Argentine crisis and, 5 6, 19, 30, 227, , , 249, 259, , , foreign investment and, 24 28, global games and, IMF intervention and, jurisdictional uncertainty and, self-fulfilling crises and, , sovereign spreads and, , International Monetary Fund, , Intertemporal constraint and debt sustainability, Interventions, policy artificial debt term lengthening, compulsory savings, convertibility restriction, incomeless taxes, possible outcomes of, Investment, private, Israel, 274 Izquierdo, A., 227 Jeanne, O., 273 Junk bonds, US, 227 Jurisdictional uncertainty impact on private savings and investment, interest rates and, , long-term credit and, policy interventions for, possible intervention outcomes of, price level and exchange rate volatility and,

4 302 Index Kehoe, T., Keynes, J. M., 270 Kim, Jung Yeon, 231 Kiyotaki, N., 275 Lamounier, B., 270 Lara-Resende, A., 295 Laubach, T., 23 Leon, M., 234 Local currency pricing (LCP), Loyo E., 50 Lula da Silva, Luiz Inacio, 49, 73, 104, 241, 250, 259, 296 first year in office of, policy adaptation by, popularity of, Lyons, R., 260 Masson, P., 231 McCallum, B. T., 98, 99 Mexico, , 277 Miller, M., 231, 234, 259, 260 Minella, A., 17, 20, 21 Minimization, risk, Mishkin, F. S., 23, 45 Missale, A., 131 Modigliani, F., 271 Monetary policy, 16 20, 45, 76 79, 81 83, 93 and government adherence to Taylor rule for fiscal policy, high interest rates and, inflation targeting and, 98 99, Moore, J., 275 Morris, S., 234 Morris-Shin model, Muinhos, M. K., 17 Mussa, M., 34 National Association of Investment and Development Banks (ANBID), 27 National Confederation of Industry (CNI), 34, 36 North, D., 271 Obstfeld, M., 35, 239 Offshore credit, Olivares, G., 36 Optimal debt composition, , , Other cost and capital expenditures (OCC), Brazil, Output capital ratios, Paniza, U., 274 Pinheiro, Armando Castelar, 296 Politics debt sustainability and, , 260 the election of Lula da Silva and, , 296 global games and, IMF intervention and, , self-fulfilling crises and, , , 259 sovereign spread and, Posen, A. S., 23 Prati, A., Premium, risk, 7 9, 90 97, Price-indexed bonds, , Private savings and investment, Producer currency pricing (PCP), 35 Public sector borrowing requirements (PSBR), Rates of return, equilibrium, 52 Ratio stabilization, debt, Rigobon, R., 260 Risk aversion, 61 62, 75 76, 168 budget-at-, cash-flow-at-, cost-at-, default, 59 62, exchange rate, 96 97, jurisdictional uncertainty and, management of debt sustainability, minimization, premium, 7 9, 90 97, Roubini, N., 234 Sachs, J., 233, 239, 240 Sargent, T., 50, 89, 104 Savings compulsory, private, Schmuckler, S., 260 Self-fulfilling crises, , , 259 Shin, H. S., 234 Shocks, , impulse responses to,

5 Index 303 Simonsen, M. H., 277 Sovereign spreads, , , determining, IMF intervention in, political risk and, Structural model for debt composition estimation, Sudden Stop, 234, , 241, , 260 Supply shocks, , Surpluses, primary, EMBI spread and, risk factors and, Sustainability, debt budget structures and, defining, fiscal policy and, guaranteeing, intertemporal constraint and, measuring, , necessary conditions for credible, political control and, , 260 risk management approach to, sovereign debt data and, sovereign spreads and, Taylor rule for fiscal policy in, Sutch, R., 271 Valdés, R. O., 12 Velasco, A., 36, 233, 239, 240 Vines, D., 231 Wallace, N., 50, 89, 104 Weber, A., 231 Werlang, S. R. da Costa, 18 Werneck, R. L. F., 127 Williamson, J., 229, 235, 236, 243, 245, 249 Woodford, M., 50 Wu, T., 83 Wyplosz, C., 213, 223 Zhang, L., 259, 260 Tabellini, G., Talvi, E., 227 Targeting, inflation, 20 24, 49 50, 97 98, 198, , Taxes base erosion, 281 burden, 13 14, 38, 127, incomeless, Taylor, M. P., 231, 250 Taylor rule for fiscal policy applied to Brazil, assessing, 213 debt sustainability and, monetary policy and government adherence to, principles of, Term premia on long-term interest rates, Thampanishvong, K., 241, 259, 260 Tornell, A., 233, 239, 240 Truman, E. M., 246 Uncertainty of debt returns, Uniqueness of equilibrium,