Sovereign Risk: A Macro-Financial Perspective
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 of creation:||02 Oct 2012|
|Contact details of provider:|| Postal: Kasumigaseki Building 8F, 3-2-5, Kasumigaseki, Chiyoda-ku, Tokyo 100-6008, Japan|
Fax: (81-3) 3593-5571
Web page: http://www.adbi.org/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R. Gaston Gelos, Ratna Sahay and Guido Sandleris, 2008.
"Sovereign Borrowing by Developing Countries: What Determines Market Access?,"
Business School Working Papers
2008-02, Universidad Torcuato Di Tella.
- Gelos, R. Gaston & Sahay, Ratna & Sandleris, Guido, 2011. "Sovereign borrowing by developing countries: What determines market access?," Journal of International Economics, Elsevier, vol. 83(2), pages 243-254, March.
- R. G Gelos & Guido M Sandleris & Ratna Sahay, 2004. "Sovereign Borrowing by Developing Countries; What Determines Market Access?," IMF Working Papers 04/221, .
- Christoph Trebesch & Michael G Papaioannou & Udaibir S Das, 2012. "Sovereign Debt Restructurings 1950-2010; Literature Survey, Data, and Stylized Facts," IMF Working Papers 12/203, .
- Udaibir S Das & Michael G. Papaioannou & Christoph Trebesch, 2010.
"Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets,"
IMF Working Papers
- Das, Udaibir S. & Papaioannou, Michael G. & Trebesch, Christoph, . "Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets," Chapters in Economics, University of Munich, Department of Economics.
- Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2013.
"What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk,"
Journal of International Money and Finance,
Elsevier, vol. 34(C), pages 37-59.
- Aizenman, Joshua & Hutchison, Michael & Jinjarak, Yothin, 2011. "What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk," Santa Cruz Department of Economics, Working Paper Series qt2914v9fh, Department of Economics, UC Santa Cruz.
- Joshua Aizenman & Michael M. Hutchison & Yothin Jinjarak, 2011. "What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk," NBER Working Papers 17407, National Bureau of Economic Research, Inc.
- Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007.
"New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability,"
NBER Working Papers
13607, National Bureau of Economic Research, Inc.
- Dale F. Gray; & Robert C. Merton & Zvi Bodie, 2009. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," Working Papers Central Bank of Chile 541, Central Bank of Chile.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009.
"Varieties of Crises and Their Dates,"
in: This Time Is Different: Eight Centuries of Financial Folly
Princeton University Press.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, number 8973.
- International Monetary Fund, 2011. "Government Debt Issuance in the Euro Area; The Impact of the Financial Crisis," IMF Working Papers 11/21, .
- Gabriela Dobrescu & Iva Petrova & Nazim Belhocine & Emanuele Baldacci, 2011. "Assessing Fiscal Stress," IMF Working Papers 11/100, .
- Merler, S. & Pisani-Ferry, J., 2012. "Hazardous tango: sovereign-bank interdependence and financial stability in the euro area," Financial Stability Review, Banque de France, issue 16, pages 201-210, April.
- Udaibir S Das & Jay Surti & Faisal Ahmed & Michael G Papaioannou & Guilherme Pedras, 2010. "Managing Public Debt and Its Financial Stability Implications," IMF Working Papers 10/280, .
- Reinhart, Karmen & Rogoff, Kenneth, 2009. ""This time is different": panorama of eight centuries of financial crises," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 77-114, March.
- Roberto Rigobon & Marcio Garcia, 2004. "A Risk Management Approach to Emerging Marketâ€™s Sovereign Debt Sustainability with an application to Brazilian data," Econometric Society 2004 Latin American Meetings 24, Econometric Society.
When requesting a correction, please mention this item's handle: RePEc:ris:adbiwp:0383. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marc Benger)
If references are entirely missing, you can add them using this form.