In this paper I investigate the external debt sustainability using a quantile autoregression (QAR) model. I presented a methodology to separate periods of nonstationarity from stationarity ones, which allows us to identify various trajectories of external debt that are compatible with indebtness sustainability. I use such trajectories to construct a debt ceiling, that is, the largest value of external debt that does not jeopardize long-run indebtness sustainability. I make out-of-sample forecast of such a ceiling and I presented the debt ceiling as a “debt-warning system” which could be used by policy makers interest in keeping the external debt on a sustainable path. I illustrate the applicability of such econometric tool using Romanian data.