Submitted by André Diniz (andrediniz89@yahoo.com.br) on 2014-02-04T18:20:18Z No. of bitstreams: 1 dissertacaovf.pdf: 527587 bytes, checksum: 98ea804e4e4f494e3f3e89a534c12776 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-07T18:57:56Z (GMT) No. of bitstreams: 1 dissertacaovf.pdf: 527587 bytes, checksum: 98ea804e4e4f494e3f3e89a534c12776 (MD5) / Made available in DSpace on 2014-02-07T18:58:13Z (GMT). No. of bitstreams: 1 dissertacaovf.pdf: 527587 bytes, checksum: 98ea804e4e4f494e3f3e89a534c12776 (MD5) Previous issue date: 2014-01-24 / This dissertation analyses quantitatively the costs of sovereign default for the economy, in a model where banks with long positions in government debt play a central role in the financial intermediation for private sector’s investments and face financial frictions that limit their leverage ability. Calibration tries to resemble some features of the Eurozone, where discussions about bailout schemes and default risk have been central issues. Results show that the model captures one important cost of default pointed out by empirical and theoretical literature on debt crises, namely the fall in investment that follows haircut episodes, what can be explained by a worsening in banks’ balance sheet conditions that limits credit for the private sector and raises their funding costs. The cost in terms of output decrease is though not significant enough to justify the existence of debt markets and the government incentives for debt repayment. Assuming that the government is able to alleviate its constrained budget by imposing a restructuring on debt repayment profile that allows it to cut taxes, our model generates an important difference for output path comparing lump-sum taxes and distortionary. For our calibration, quantitative results show that in terms of output and utility, it is possible that the effect on the labour supply response generated by tax cuts dominates investment drop caused by credit crunch on financial markets. We however abstract from default costs associated to the breaking of existing contracts, external sanctions and risk spillovers between countries, that might also be relevant in addition to financial disruption effects. Besides, there exist considerable trade-offs for short and long run path of economic variables related to government and banks’ behaviour / Este trabalho analisa de forma quantitativa os custos para a economia de um default soberano, num modelo onde bancos comprados em d´ıvida tˆem um papel central na intermedia¸c˜ao financeira para os investimentos do setor privado e enfrentam fric¸c˜oes financeiras que limitam sua alavancagem. A calibra¸c˜ao busca refletir economias da Eurozona, onde discuss˜oes sobre risco de calote das d´ıvidas e programas de resgate aos governos tem sido temas centrais. Os resultados mostram que o modelo captura um importante custo apontado pela literatura emp´ırica e te´orica, qual seja, a contra¸c˜ao do investimento que segue um epis´odio de default, o que pode ser explicado pela piora no balan¸co do setor financeiro, limitando cr´edito e liquidez para o setor privado e aumentando os custos para o seu financiamento. O custo em termos de perda de produto, no entanto, n˜ao ´e suficiente para explicar a existˆencia de mercados de d´ıvida e os incentivos dos governos em honrar seus compromissos. Assumindo que a reestrutura¸c˜ao do perfil de pagamentos da d´ıvida imposta num caso de default permite ao governo aliviar sua restri¸c˜ao or¸cament´aria e cortar impostos, o modelo apresenta resultados bastante distintos para impostos lump-sum e distorsivos. Para nossa calibra¸c˜ao, a resposta quantitativa de produto e utilidade mostra que ´e poss´ıvel que o efeito na oferta de trabalho gerado por cortes de impostos distorsivos domine a queda no investimento, causada pela escassez de cr´edito nos mercados privados. S˜ao abstra´ıdos, no entanto, os custos de default associados a quebras de contratos, san¸c˜oes externas e transbordamentos de risco entre pa´ıses, que podem ser bastante relevantes em adi¸c˜ao ao impacto sobre o cr´edito no sistema financeiro. Al´em disso, existem trade-offs consider´aveis na trajet´oria de curto e longo prazo das vari´aveis econˆomicas relacionados ao comportamento dos governos e dos bancos.

Made available in DSpace on 2014-12-17T15:28:50Z (GMT). No. of bitstreams: 1 FernandaPXF_DISSERT.pdf: 1956112 bytes, checksum: 765e57e876596c2a3922bb6f98c28b64 (MD5) Previous issue date: 2012-05-25 / Conselho Nacional de Desenvolvimento Cient?fico e Tecnol?gico / Ayahuasca is psychotropic beverage that has been used for ages by indigenous populations in South America, notably in the Amazon region, for religious and medicinal purposes. The tea is obtained by the decoction of leaves from the Psychotria viridis with the bark and stalk of a shrub, the Banisteriopsis caapi. The first is rich in N-N-dimethyltryptamine (DMT), which has an important and well-known hallucinogenic effect due to its agonistic action in serotonin receptors, specifically 5-HT2A. On the other hand, β-carbolines present in B. caapi, particularly harmine and harmaline, are potent monoamine oxidase inhibitors (MAOi). In addition, the tetrahydroharmine (THH), also present in B. caapi, acts as mild selective serotonin reuptake inhibitor and a weak MAOi. This unique composition induces a number of affective, sensitive, perceptual and cognitive changes in individuals under the effect of Ayahuasca. On the other hand, there is growing interest in the Default Mode Network (DMN), which has been consistently observed in functional neuroimaging studies. The key components of this network include structures in the brain midline, as the anterior medial frontal cortex, ventral medial frontal cortex, posterior cingulate cortex, precuneus, and some regions within the inferior parietal lobe and middle temporal gyrus. It has been argued that DMN participate in tasks involving self-judgments, autobiographical memory retrieval, mental simulations, thinking in perspective, meditative states, and others. In general, these tasks require an internal focus of attention, hence the conclusion that the DMN is associated with introspective mental activity. Therefore, this study aimed to evaluate by functional magnetic resonance imaging (fMRI) changes in DMN caused via the ingestion of Ayahuasca by 10 healthy subjects while submitted to two fMRI protocols: a verbal fluency task and a resting state acquisition. In general, it was observed that Ayahuasca causes a reduction in the fMRI signal in central nodes of DMN, such as the anterior cingulate cortex, the medial prefrontal cortex, the posterior cingulate cortex, precuneus and inferior parietal lobe. Furthermore, changes in connectivity patterns of the DMN were observed, especially a decrease in the functional connectivity of the precuneus. Together, these findings indicate an association between the altered state of consciousness experienced by individuals under the effect of Ayahuasca, and changes in the stream of spontaneous thoughts leading to an increased introspective mental activity / A Ayahusca ? uma bebida psicotr?pica que tem sido utilizada h? s?culos por popula??es originais da Am?rica do Sul, notadamente da regi?o Amaz?nica, com fins religiosos e medicinais. O ch? ? obtido pela decoc??o de folhas da Psychotria viridis com a casca e tronco de um arbusto, a Banisteriopsis caapi. A primeira ? rica em N,N-dimetiltriptamina (DMT), que tem importante e bem conhecido efeito alucin?geno devido a sua atua??o agonista nos receptores de serotonina, especificamente 5-HT2A. Por outro lado, as β-carbolinas presentes na B. caapi, particularmente a harmina e a harmalina, s?o potentes inibidores da monoamina oxidase (iMAO). Al?m disso, a tetrahidroharmina (THH), tamb?m presente na B. caapi, atua como leve inibidor seletivo da recapta??o de serotonina e um fraco inibidor de MAO. Essa composi??o ?nica provoca uma s?rie de altera??es afetivas, sensoriais, perceptuais e cognitivas em indiv?duos sob o efeito da Ayahuasca. Por outro lado, existe um interesse crescente na rede de modo padr?o, do ingl?s Default Mode Network (DMN), que tem sido consistentemente observada em estudos de neuroimagem funcional. As principais componentes dessa rede incluem estruturas da linha m?dia do c?rtex cerebral, como o c?rtex frontomedial anterior, c?rtex frontomedial ventral, o giro cingulado posterior, o pr?-cuneus e algumas regi?es do lobo parietal inferior e do giro temporal m?dio. Acredita-se que a DMN participe de tarefas que envolvem autojulgamentos, evoca??o de mem?rias autobiogr?ficas, realiza??o de simula??es mentais, pensar em perspectiva, estados meditativos, entre outros. De maneira geral, essas tarefas requerem um foco de aten??o interno, da? a conclus?o de que a DMN estaria associada ? atividade mental introspectiva. Assim, este estudo teve como objetivo avaliar, por meio de resson?ncia magn?tica funcional (fMRI), as poss?veis mudan?as da DMN causadas pela ingest?o da Ayahuasca em 10 volunt?rios saud?veis investigados enquanto se submeteram a dois protocolos: uma tarefa de flu?ncia verbal e a aquisi??o de dados cont?nuos durante estado de repouso. De maneira geral, observa-se que a Ayahuasca provoca redu??o na amplitude do sinal de fMRI nos nodos centrais da DMN, tais como o c?ngulo anterior, o c?rtex pr?-frontal medial, o c?ngulo posterior, o pr?-cuneus e o lobo parietal inferior. Al?m disso, tamb?m foram observadas altera??es no padr?o de conectividade da DMN, em particular, diminui??o da conectividade funcional no pr?-cuneus. Juntos, esses achados indicam a poss?vel associa??o entre o estado alterado de consci?ncia experimentado pelos indiv?duos sob efeito da Ayahuasca, e mudan?as no fluxo de pensamentos espont?neos ligados ao aumento da introspec??o

Submitted by Tiago Carvalho Machado de Souza (tiagocmsouza@gmail.com) on 2012-11-21T16:28:19Z No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-12-20T18:29:41Z (GMT) No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) / Made available in DSpace on 2012-12-20T18:41:37Z (GMT). No. of bitstreams: 1 Dissertação - Final.pdf: 587362 bytes, checksum: 312dd8e46588bdfe865a9741fdd287c1 (MD5) Previous issue date: 2012-09-19 / This paper provides a general equilibrium model of sovereign default with agents' heterogeneity, but without banking or foreign sectors. The heterogeneity is due to different kinds of consumers in the economy with distinct wealth shocks (but identical in other aspects) and the government, which decides whether or not to default, considers these agents differently in its welfare function. The intuition is that the default decision may be related to the bonds' owners (the distribution among agents) and not only the total resources borrowed or the economic activity. This approach matches empirical evidence which found a negative, though surprisingly weak, relationship between economic output and default. It also sheds light on other aspects that might influence the default decision, such as the existence and operation of secondary markets of public bonds. / Este artigo propõe um modelo de equilíbrio geral com inadimplência de dívida soberana (default soberano), sem setor bancário ou setor externo, em que há heterogeneidade dos agentes da economia. Essa heterogeneidade surge a partir da existência de dois tipos de consumidores com choques de riqueza distintos (mas idênticos em outros aspectos) e o governo, que toma decisão de default, pondera esses agentes de maneira distinta na função de bem-estar. O principal motivador dessa ideia vem da intuição de que a decisão de um país não cumprir com as suas obrigações de dívida pode estar ligada não somente ao valor de face dos títulos emitidos ou à situação econômica, mas também a quem detêm esses títulos (sua distribuição entre agentes). Essa abordagem permitiu que se reproduzissem comportamentos já identificados em estudos empíricos presentes na literatura, os quais encontraram uma relação negativa, porém surpreendentemente fraca, entre moratória da dívida e atividade econômica e lança luz sobre aspectos importantes que podem influenciar a decisão de default, como funcionamento de mercados secundários de títulos públicos.

Submitted by Oz Iazdi (oz@cinestec.com.br) on 2013-06-11T23:34:10Z No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-06-12T16:14:06Z (GMT) No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) / Made available in DSpace on 2013-06-12T16:39:39Z (GMT). No. of bitstreams: 1 Dissertação Oz_rev.pdf: 742508 bytes, checksum: 46a5da3060da347500ec1a6ace068bbd (MD5) Previous issue date: 2013-05-17 / The credit lines granted by the IMF in a liquidity crisis environment differ in their conditionalities. In some situations, the resources are borrowed without the need of mandatory conditionalities to be met by the borrowers. On the other hand, there are cases when the resources are granted only after the country fulfill these conditions. This paper aims to build a model which shows the tradeoffs that arise between the conditionalities that IMF imposes to give access of the credit lines by the countries. Additionally, the model tries to understand when it’s better an immediate assistance or a conditional assistance. Conditional loans increase the incentives for fiscal measures that improve the country capacity in paying its sovereign debt (because the loans aren’t granted if the country doesn’t carry out the measures), but the immediate assistance has the advantage in alleviate liquidity costs. The model shows that the incentive of the country in paying its sovereign debt is concave on the conditionality, meaning that, in extreme cases, the best type of conditionality is ex-ante (immediate assistance upon pre-established conditions) or ex-post (assistance conditional on the fulfillment of conditionalities). Nonetheless, in cases when both the immediate liquidity assistance and conditional assistance increase the incentives of payment, the conditionalities take on a complementary character. The results corroborate the IMF credit lines designs because there are facilities that contemplate both types of conditionalities and others that contemplate only one of them. / As linhas de crédito concedidas pelo FMI em casos de crises de liquidez diferem quanto às condições impostas aos credores. Em alguns casos, os recursos são emprestados sem a imposição de condições a serem cumpridas pelo país devedor. Em outros casos, os recursos são liberados depois que o país cumpriu as chamadas condicionalidades. O trabalho constrói um modelo teórico para estudar os trade-offs envolvidos nas condicionalidades que o FMI impõe ao conceder linhas de crédito. O modelo procura entender em quais momentos é melhor um auxílio imediato do FMI ou um auxílio condicional. Empréstimos condicionais aumentam os incentivos para medidas fiscais que melhoram a capacidade do país pagar a dívida (pois os empréstimos não são concedidos se essas medidas não são tomadas), mas um auxílio imediato tem a vantagem de economizar custos de liquidez. O modelo mostra que o incentivo do país para pagar sua dívida soberana é côncavo na condicionalidade. Isso significa que, em casos extremos, o melhor tipo de condicionalidade é o ex-ante (auxílio imediato mediante condições pre-estabelecidas) ou o ex-post (auxílio contingente ao cumprimento das condicionalidades). No entanto, em casos nos quais tanto uma ajuda de liquidez imediata, quanto o empréstimo condicional às mudanças na política fiscal aumentam o incentivo do país pagar a dívida, as condicionalidades assumem um caráter de complementaridade. O resultado corrobora o desenho das linhas de crédito do FMI, já que há desenhos que contemplam tanto as duas condicionalidades quanto apenas uma delas.

[pt] Uma possível razão para a alta acumulação de reservas internacionais observada em diversos países está relacionada à vontade de se assegurar contra eventuais crises. Os modelos quantitativos de seguro, entretanto, possuem dificuldade para racionalizar as posições de reserva, a menos que os agentes exibam níveis relativamente altos de aversão ao risco. Esse resultado sugere uma conexão entre o puzzle de reservas internacionais e o equity premium puzzle, que exploramos nesta dissertação. Introduzimos preferências Epstein- Zin em um modelo padrão de default soberano com dívida de longo prazo e um ativo livre de risco, e o calibramos para a economia mexicana. Em seguida, precificamos um ativo de ação dentro do modelo e usamos simulações para estabelecer uma relação positiva entre o nível ótimo de reservas e o equity premium, conforme variamos o grau de aversão ao risco dos agentes domésticos. Usando uma estimativa do equity premium para o México, calibramos o nível de aversão ao risco e encontramos um nível ótimo de reservas internacionais próximo aos dados. Por fim, fornecemos evidência empírica consistente com a relação estabelecida no modelo. Especificamente, introduzimos estimativas do equity premium e, usando especificações crosssectional e de painel, documentamos uma associação positiva e robusta entre essas duas variáveis. / [en] Insurance is a possible explanation for the large holdings of international reserves observed in many countries. Quantitative models of the insurance motive, however, struggle to rationalize reserve positions, unless agents exhibit relatively high levels of risk aversion. This result suggests a connection between the international reserves puzzle and the equity premium puzzle, which we explore in this paper. We introduce Epstein-Zin preferences into a standard sovereign default model with long-term debt and a risk-free asset, and calibrate it to the Mexican economy. We then price an equity claim within the model, and use simulations to establish a positive relationship between optimal reserve holdings and the equity premium, as we vary the degree of risk aversion of domestic agents. Using an estimate of the equity premium for Mexico, we calibrate the level of risk aversion and find it produces an optimal level of international reserves that is close to the data. Finally, we provide empirical evidence consistent with the relationship established with the model. Specifically, we introduce estimates of the equity premium into standard regressions used to explain countries holdings of international reserves. Using both cross-sectional and panel specifications, we document a robust positive association between these two variables.

In this dissertation a formalisation of nonmonotonic reasoning, namely Default logic, is discussed. A proof theory for default logic and a variant of Default logic - Prioritised Default logic - is presented. We also pursue an investigation into the relationship between default reasoning and making inferences in a neural network. The inference problem shifts from the logical problem in Default logic to the optimisation problem in neural networks, in which maximum consistency is aimed at The inference is realised as an adaptation process that identifies and resolves conflicts between existing knowledge about the relevant world and external information. Knowledge and data are transformed into constraint equations and the nodes in the network represent propositions and constraint equations. The violation of constraints is formulated in terms of an energy function. The Hopfield network is shown to be suitable for modelling optimisation problems and default reasoning. / Computer Science / M.Sc. (Computer Science)

In this dissertation a formalisation of nonmonotonic reasoning, namely Default logic, is discussed. A proof theory for default logic and a variant of Default logic - Prioritised Default logic - is presented. We also pursue an investigation into the relationship between default reasoning and making inferences in a neural network. The inference problem shifts from the logical problem in Default logic to the optimisation problem in neural networks, in which maximum consistency is aimed at The inference is realised as an adaptation process that identifies and resolves conflicts between existing knowledge about the relevant world and external information. Knowledge and data are transformed into constraint equations and the nodes in the network represent propositions and constraint equations. The violation of constraints is formulated in terms of an energy function. The Hopfield network is shown to be suitable for modelling optimisation problems and default reasoning. / Computer Science / M.Sc. (Computer Science)

This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. The main framework revolves around driving a Monte Carlo simulation with Copluas to predict future revenue scenarios across a portfolio of early-stage technology companies. Three models for a random Gaussian walk, a Linear Dynamic System and an Autoregressive Integrated Moving Average (ARIMA) time series are implemented and evaluated in terms of their portfolio Value-at-Risk influence. The model performance confirms that modeling portfolio risk in Venture Debt is challenging, especially due to lack of sufficient data and thus a heavy reliance on assumptions. However, the empirical results for Value-at-Risk and Expected Shortfall are in line with expectations. The evaluated portfolio is still in an early stage with a majority of assets not yet in their repayment period and consequently the spread of potential losses within one year is very tight. It should further be recognized that the scope in terms of explanatory variables for sales and model complexities has been narrowed and simplified for computational benefits, transparency and communicability. The main conclusion drawn is that alternative approaches to model Venture Debt risk is fully possible, and should improve in reliability and accuracy with more data feeding the model. For future research it is recommended to incorporate macroeconomic variables as well as similar company analysis to better capture macro, funding and sector conditions. Furthermore, it is suggested to extend the set of financial and operational explanatory variables for sales through machine learning or neural networks. / Detta examensarbete är en experimentell studie för kvantitativ modellering av kreditrisk i Venture Debt-portföljer. Givet en brist på tillgänlig konkurs-data från ArK samt från offentligt tillgängliga databaser i kombination med ambitionen att inkludera företag som misslyckas med skuldförpliktelser innan konkurs per se, presenterar vi en metod för riskmodellering baserad på trender i intäkter. Ramverket för modellen kretsar kring Monte Carlo-simulering med Copluas för att estimera framtida intäktsscenarier över en portfölj med tillväxtbolag inom tekniksektorn. Tre modeller för en random walk, ett linjärt dynamiskt system och ARIMA- tidsserier implementeras och utvärderas i termer av deras inflytande på portföljens Value-at- Risk. Modellens prestationer bekräftar att modellering av portföljrisk inom Venture Debt är utmanande, särskilt på grund av bristen på tillräckliga data och därmed ett stort beroende av antaganden. Dock är de empiriska resultaten för Value-at-Risk och Expected Shortfall i linje med förväntningarna. Den utvärderade portföljen är fortfarande i ett tidigt skede där en majoritet av tillgångarna fortfarande befinner sig i en amorteringsfri period och följaktligen är spridningen av potentiella förluster inom ett år mycket snäv. Det bör vidare tillkännages att omfattningen i termer av förklarande variabler för intäkter och modellkomplexitet har förenklats för beräkningsfördelar, transparens och kommunicerbarhet. Den främsta slutsatsen som dras är att alternativa metoder för att modellera risker inom Venture Debt är fullt möjliga och bör förbättras i tillförlitlighet och precision när mer data kan matas in i modellen. För framtida arbete rekommenderas det att inkorporera makroekonomiska variabler samt analys av liknande bolag för att bättre fånga makro-, finansierings- och sektorsförhållanden. Vidare föreslås det att utöka uppsättningen av finansiella och operationella förklarande variabler för intäkter genom maskininlärning eller neurala nätverk.

Cette thèse présente dans un premier temps l’histoire récente et les enjeux de l’économie et du système financier indien. Puis, en se concentrant la période récente, elle étudie la question de l’intégration financière sur différents marchés : les marchés actions sont traités dans le 1er chapitre, les spreads des CDS indiens sont abordés dans 2nd chapitre et la relation entre les prix des matières premières et la politique monétaire est analysée dans le 3e chapitre. Enfin, le dernier chapitre pose la question de savoir si un secteur bancaire plus efficient peut aider l’économie indienne à sortir de la crise. Globalement, les résultats indiquent que les marchés étudiés sont plus intégrés depuis la crise, ce qui suggère une fragilité du secteur financier indien aux chocs extérieurs. Néanmoins, les résultats du chapitre 4 montrent, dans le cadre d’un modèle simple, que le système financier peut aussi permettre à l’économie indienne de surmonter ses déboires actuels, s’il l’on y implémente les réformes adéquates et que la productivité des banques est améliorée. / This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are analyzed in the 2nd chapter while the 3rd chapter focuses on the monetary policy-commodity prices nexus. Finally, the last chapter reflects on the ability of the banking system to help the country out of the current crisis. Overall, our results indicate that markets are more integrated since the crisis, which suggest a frailty of the Indian financial structure to exterior shocks. Nevertheless, results for chapter 4 show that the financial system could also allow the economy to recover if the proper reforms are implemented and that banking efficiency is improved.

Each essay in this doctoral dissertation relates to a recent feature of sovereign finance in emerging market economies. In each article, I extend a quantitative macroeconomic model of sovereign debt and default to answer a particular question. In the first chapter, I investigate whether it is better for emerging countries to issue external debt denominated in local or foreign currency using a model with real exchange rates and inflation. I show how the welfare comparisons between the two options of debt denomination depend on the credibility of the monetary policy. In the next essay, I analyze the joint accumulation of sovereign debt and international reserves by emerging countries\' governments. In this theoretical framework, international reserves are a form of precautionary savings that can be used to smooth consumption even after a sovereign default. Statistics calculated with simulated data from a model with partial sovereign default indicate that the combined acquisition of assets and liabilities is an optimal policy in this type of model. In the last chapter, I examine whether low international risk-free interest rates, as observed in developed countries since the most recent global financial crisis, lead to a search for yield - identified via lower spreads even under higher default risk - in emerging markets sovereign bonds. I find that the inclusion of loss averse foreign lenders, a trait highlighted by the behavioral finance literature, in a standard model of sovereign default generates this result. / Cada ensaio desta tese trata de uma característica recente das finanças soberanas em economias de mercado emergentes. Em cada artigo, amplia-se um modelo macroeconômico quantitativo de dívida e default soberanos para responder a uma questão específica. No primeiro capítulo, investiga-se se é melhor para os países emergentes emitir dívida externa denominada em moeda local ou estrangeira usando um modelo com taxa de câmbio real e inflação. Mostra-se como as comparações de bem-estar entre as duas opções de denominação da dívida dependem da credibilidade da política monetária. No segundo ensaio, analisa-se a acumulação conjunta de dívida soberana e reservas internacionais pelos governos dos países emergentes. Nesse arcabouço teórico, as reservas internacionais são uma forma preventiva de poupança que pode ser usada para suavizar o consumo mesmo depois de um default soberano. As estatísticas calculadas com dados simulados de um modelo com default soberano parcial indicam que a aquisição simultânea de ativos e passivos é uma política ótima nesse tipo de modelo. No último capítulo, examina-se se as baixas taxas de juros livres de risco internacionais, observadas em países desenvolvidos desde a mais recente crise financeira global, levaram a uma busca por rentabilidade - identificada por meio de spreads menores mesmo sob maior risco de default - nos títulos soberanos de mercados emergentes. Verifica-se que a inclusão de investidores estrangeiros avessos a perdas, característica destacada pela literatura de finanças comportamentais, em um modelo padrão de default soberano gera esse resultado.