How to order
IMF Publications

Related material:
Proposals for a Sovereign Debt Restructuring Mechanism (SDRM)--A Factsheet

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



Sovereign Defaults: The Role of Volatility

Author/Editor: Catão, Luis | Sutton, Bennett
Authorized for Distribution: September 1, 2002
Electronic Access: Free Full Text (PDF file size is 879KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper presents new econometric estimates for a panel of 25 emerging market countries over 1970-2001, breaking down aggregate volatility into its external and domestic policy components. We find that countries with historically higher macroeconomic volatility are more prone to default, and particularly so if part of this volatility is policy-induced. Reducing policy volatility thus appears to be key to improving a country's credit standing.
 
Series: Working Paper No. 02/149
Subject(s): Debt problems | Exchange rate instability | Emerging markets | Sovereign Debt Restructuring Mechanism
Author's keyword(s): Sovereign debt | macroeconomic volatility | emerging markets
 
English  
    Published:   September 1, 2002        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA1492002   Pages:   26
    Price:   US$15.00
       
     
Price Delivery Note: Prepayment required for individual copies. An annual subscription is $375.00 a year. It includes 12 monthly shipments and priority mail delivery. The Stock No. for the subscription is WPEA.
Please address any questions about this title to publications@imf.org.