The relationship between sovereign risk and indebtedness level is an important guide for evaluating the probability of a debt default. The market discipline hypothesis establishes that the risk premium increases with debt-to-GDP ratio. According to this hypothesis' strong version, this relation is non-linear, and there is a threshold - here called debt limit - from which the credit access would be very difficult. This study provides debt limits for a panel of 18 emerging countries, using generalized method of moments for joint estimation of the thresholds. The countries studied were grouped by cluster analysis, and separately analyzed for each group. We find statistical evidence against the hypothesis of a common debt limit for all emerging countries. The main conclusion of the work is that those countries whose debt-to-GDP ratio exceeded their limits either had problems to get new loans to finance its debt and/or needed help from international institutes, as expected by the strong version of the market discipline hypothesis.

主权风险与负债水平之间的关系是评估债务违约概率的重要指南。市场纪律假设确定风险溢价随着债务与 GDP 的比率而增加。根据这个假设的强版本，这种关系是非线性的，并且有一个门槛——这里称为债务限额——从那里获得信贷将非常困难。本研究为 18 个新兴国家的小组提供债务限额，使用广义矩方法联合估计阈值。所研究的国家通过聚类分析进行分组，并对每组进行单独分析。我们找到了反对所有新兴国家共同债务限额假设的统计证据。