Sovereign Risk: A Macro-Financial Perspective

Udaibir S. Das, Maria A. Oliva and Takahiro Tsuda
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Udaibir S. Das: Asian Development Bank Institute
Maria A. Oliva: Asian Development Bank Institute
Takahiro Tsuda: Asian Development Bank Institute

No 383, ADBI Working Papers from Asian Development Bank Institute

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 (search for similar items in EconPapers)
JEL-codes: E43 F30 F34 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2012-10-02
New Economics Papers: this item is included in nep-cba, nep-mac, nep-rmg and nep-sea
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Citations: View citations in EconPapers (3)

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