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Assessing new perspectives on country risk

  • Claudio Borio
  • Frank Packer

We examine in a unified framework three recent perspectives on country risk=debt intolerance, original sin, and currency mismatches. We find statistical evidence supporting aspects of all three, though the strength of that support varies considerably across hypotheses and a number of open questions remain. Our evidence is consistent with the view that good domestic macroeconomic and structural policies hold the key to addressing country risk.

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Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2004)
Issue (Month): (December)
Pages:

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Handle: RePEc:bis:bisqtr:0412e
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  1. Flandreau, Marc & Sussman, Nathan, 2004. "Old Sins: Exchange Rate Clauses and European Foreign Lending in the 19th Century," CEPR Discussion Papers 4248, C.E.P.R. Discussion Papers.
  2. Cukierman, A. & Miller, G.P. & Neyapti, B., 2000. "Central Bank Reform, Liberalization and Inflation in Transition Economies : An International Perspective," Discussion Paper 2000-106, Tilburg University, Center for Economic Research.
  3. Eaton, J., 1990. "Sovereign Debt, Reputation, And Credit Terms," ISER Discussion Paper 0223, Institute of Social and Economic Research, Osaka University.
  4. Reinhart, Carmen & Rogoff, Kenneth & Savastano, Miguel, 2003. "Debt intolerance," MPRA Paper 13932, University Library of Munich, Germany.
  5. Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
  6. G. Ferri & L.-G. Liu & J. E. Stiglitz, 1999. "The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 28(3), pages 335-355, November.
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