Sovereign Risk: A Macro-Financial Perspective

Udaibir S. Das, Maria A. Oliva and Takahiro Tsuda
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Udaibir S. Das: Assistant Director and Division Chief, Monetary and Capital Markets Department, IMF
Maria A. Oliva: Senior Economist, Monetary and Capital Markets Department, IMF
Takahiro Tsuda: Financial Sector Expert, Monetary and Capital Markets Department, IMF

Public Policy Review, 2012, vol. 8, issue 3, 367-392

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.

Date: 2012
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