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Sovereign Risk: A Macro-Financial Perspective

Author

Listed:
  • Udaibir S. Das

    (Asian Development Bank Institute)

  • Maria A. Oliva

    (Asian Development Bank Institute)

  • Takahiro Tsuda

    (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.

Suggested Citation

  • Udaibir S. Das & Maria A. Oliva & Takahiro Tsuda, 2012. "Sovereign Risk: A Macro-Financial Perspective," ADBI Working Papers 383, Asian Development Bank Institute.
    • Handle: RePEc:ris:adbiwp:0383
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    References listed on IDEAS

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    Cited by:

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    2. Mr. Serkan Arslanalp & Mr. Takahiro Tsuda, 2012. "Tracking Global Demand for Advanced Economy Sovereign Debt," IMF Working Papers 2012/284, International Monetary Fund.

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    Keywords

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F30 - International Economics - - International Finance - - - General
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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