Sovereign Risk: A Macro-Financial Perspective

31 Pages Posted: 3 Oct 2012

See all articles by Udaibir Das

Udaibir Das

International Monetary Fund (IMF)

Maria Angels A. Oliva

International Monetary Fund (IMF) - Policy Development and Review Department

Takahiro Tsuda

International Monetary Fund (IMF)

Date Written: October 2, 2012

Abstract

We examine some of the macro-financial dimensions of sovereign risk and propose a conceptual framework that captures risks other than just the default risk. Morphed under a multi-dimensional notion of sovereign risk, we argue that the existing empirical methodologies to measure sovereign risk cover only partial aspects of sovereign risk and fail to capture its macro-financial dimensions. We highlight a menu of tools that could be used to tackle the broader notion of sovereign risk, and suggest that authorities should actively use them to manage the macro financial dimensions of sovereign risk and before those risks feed into the real economy.

Keywords: sovereign risk, default risk, macro-financial dimensions

JEL Classification: F30, F34, E43

Suggested Citation

Das, Udaibir and Oliva, Maria Angels A. and Tsuda, Takahiro, Sovereign Risk: A Macro-Financial Perspective (October 2, 2012). ADBI Working Paper No. 383, Available at SSRN: https://ssrn.com/abstract=2156044 or http://dx.doi.org/10.2139/ssrn.2156044

Udaibir Das (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Maria Angels A. Oliva

International Monetary Fund (IMF) - Policy Development and Review Department ( email )

700 19th St. NW
Washington, DC 20431
United States

Takahiro Tsuda

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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