[pt] O crescimento do volume de títulos indexados ao câmbio adicionou diversas questões a respeito da sustentabilidade da dívida pública. O objetivo deste trabalho é analisar a gestão da dívida pública ao longo dos anos de 1994 a 2003 quanto ao uso de títulos indexados à taxa de câmbio. Enfatiza-se o processo histórico do endividamento brasileiro e a evolução da composição da dívida interna. Através de um modelo de minimização de custos e riscos, estima-se a composição ótima da dívida interna para a economia brasileira com base em dados recentes. Analisa-se também a política monetária ótima frente a um choque externo em um país com elevado endividamento indexado à moeda estrangeira. Os resultados sugerem que a alocação da dívida deve ser predominantemente composta de títulos indexados a índices de preços e que frente a uma crise externa, a política monetária ótima deve ser restritiva, dado o elevado nível de endividamento indexado à moeda estrangeira. / [en] Concerning the composition of the public debt, the recent growth in the foreign currency linked debt provoked the debate about sustainability of the public debt. The objective of this work is to analyze the management of the foreign currency linked debt from 1994 to 2003. The evolution of the composition and its historical process is emphasized. A model that estimates the optimal internal debt composition through cost and risk minimization is applied to recent Brazilian data. It is also analyzed the optimal monetary police facing an external crises for a country that has a high level of foreign currency linked debt. The results suggest that the optimal composition of the public debt implies a massive use of price linked indexed bonds. And also, for facing an external crisis, the optimal monetary policy should be restrictive since the foreign currency linked debt is in such a high level.

Cette thèse a pour ambition d’analyser si la performance environnementale, sociale et de gouvernance (ESG) est intégrée par les marchés de la dette d'entreprise et souveraine. Le premier chapitre se concentre sur les informations ESG publiés à contenu négatif et leur impact négatif sur le coût de la dette. Plus exactement, dans les secteurs industriels et utilitaires les événements négatifs sociaux et de gouvernance font augmenter le coût de la dette. Également, un bon niveau général de performance ESG agit comme un mécanisme d'assurance contre ces événements négatifs. Dans un deuxième chapitre seront présentés les résultats d’une simulation de portefeuille intégrant la performance ESG d'entreprise. Un gérant de portefeuille peut améliorer le niveau agrégé de la performance ESG du portefeuille de 1,5 écart-type sans faire baisser la performance financière. Ainsi, le gérant peut combiner cette intégration avec des stratégies d'allocation d'actif financiers ou des stratégies de rendement absolu. Dans un troisième chapitre les résultats sur la réduction du coût de la dette dû à une bonne performance environnementale et sociale de souverains émergents seront analysés. Enfin dans le quatrième chapitre je décris comment la performance de gouvernance des souverains influence la différence entre le yield émis en devise étrangère et celui émis en devise locale. Dans les pays développés cette différence augmente avec le risque politique, i.e. le yield étranger augmente plus rapidement que le yield domestique. Dans les pays émergents, c'est l’effet inverse qui est observé. Cette différence entre les deux yields varie plus fortement avec un taux croissant de la dette domestique détenue par des investisseurs étrangers. / This thesis analyzes if and to what extent debt markets value the environmental, social and governance (ESG) performance of firms and sovereigns. The first chapter shows that negative ESG news has a negative impact on the cost of debt of firms. The news relates to environmental and social events within the industrial/utilities sector. In this sector, a sound corporate social performance acts as an insurance against the adverse impact of negative environmental events on bond prices. The second chapter reveals that ESG scores integrated into portfolios do not change the financial performance ex post. A portfolio manager can increase the average ESG rating of her portfolio by 1.5 standard deviations without incurring cost. This leaves substantial room and opportunity for ESG ratings to be combined with asset allocation or absolute return strategies. The third chapter shows how ESG performance is linked to a lower cost of debt of emerging sovereigns. Research indicates that an emerging country’s average cost of capital decreases with its positive environmental and social performance. The fourth chapter discusses how governance performance may influence the spread of debt denominated in local and foreign currency. In developed countries, the spread between a foreign currency yield and a hedged local currency yield increases with our political risk indicator, i.e. the foreign yield increases faster than the domestic one. For emerging countries, the reverse trend is true. Interestingly, the foreign currency and local currency yield spreads move significantly stronger in absolute terms with increasing foreign investment participation in both emerging countries and developed countries’ debt markets.