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Measuring Sovereign Risk in Turkey

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  • Christian Keller
  • Peter Kunzel
  • Marcos Souto
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    Abstract

    Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey''s overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006 market turbulence. This paper examines these changes in Turkey''s risk profile using the Contingent Claims Approach (CCA), to quantify the evolution of Turkey''s sovereign risk, relate risk indicators to market prices of risk, and conduct scenario analyses to assess the effects of potential market volatility and policy adjustments on key risk indicators.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 07/233.

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    Length: 27
    Date of creation: 01 Oct 2007
    Date of revision:
    Handle: RePEc:imf:imfwpa:07/233

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    Related research

    Keywords: Public debt; Credit risk; Economic indicators; Economic models; domestic debt; exchange rate; external debt; foreign exchange; forward exchange rate; forward exchange; spot exchange rate; exchange risk; foreign debt; currency debt; foreign exchange risk; sovereign default; sovereign debt; debt reduction; short-term debt; foreign currency debt; debt management; debt holders; stock of debt; long-term debt; net debt; domestic currency; exchange reserves; external debt reduction; reserve holdings; exchange risks; debt statistics; maturity structure of debt; debt ratios; central bank; debt management policy; debt default; foreign exchange risks; exchange rates; exchange rate depreciation; foreign exchange reserves; currency swaps; public sector debt; debt servicing; debt management strategy; sovereign defaults; debt obligations;

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    Cited by:
    1. Kamil Janacek & Zlatuse Komarkova & Michal Hlavacek & Lubos Komarek, 2012. "Impacts Of The Sovereign Default Crisis On The Czech Financial Sector," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 118-128 Czech National Bank, Research Department.
    2. Kalteier, Eva-Maria & Posch, Peter N., 2013. "Sovereign asset values and implications for the credit market," Review of Financial Economics, Elsevier, vol. 22(2), pages 53-60.
    3. Nuno Silva, 2010. "Inter-Sector Relations in the Portuguese Economy: an Application of Contingent," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
    4. Dale F. Gray & Elena Loukoianova & Samuel W. Malone & Cheng Hoon Lim, 2008. "A Risk-Based Debt Sustainability Framework," IMF Working Papers 08/40, International Monetary Fund.
    5. Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2013. "Measuring financial stress in transition economies," Journal of Financial Stability, Elsevier, vol. 9(4), pages 597-611.
    6. Posch, Peter N & Kalteier, Eva-Maria, 2013. "Sovereign Asset Values and Implications for the Credit Market," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79986, Verein für Socialpolitik / German Economic Association.
    7. Martin Cihák & Petya Koeva Brooks, 2009. "From Subprime Loans to Subprime Growth? Evidence for the Euro Area," IMF Working Papers 09/69, International Monetary Fund.

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