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Sovereign Risk: A Macro-Financial Perspective

Author

Listed:
  • 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)

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," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 367-392, August.
    • Handle: RePEc:mof:journl:ppr017g
    as

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    File URL: http://warp.ndl.go.jp/info:ndljp/pid/10248500/www.mof.go.jp/english/pri/publication/pp_review/ppr017/ppr017g.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. 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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