Pricing of Sovereign Credit Risk: Evidence from Advanced Economies During the Financial Crisis
In: IMF Working Paper No. 12/24
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In: IMF Working Paper No. 12/24
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In: IMF Working Paper No. 12/11
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In: IMF Working Papers
This paper presents a range of tools and indicators for analyzing fiscal vulnerabilities and risks for advanced economies. The analysis covers key short-, medium- and long-term dimensions. Short-term pressures are captured by assessing (i) gross funding needs, (ii) market perceptions of default risk, and (iii) stress dependence among sovereigns. Medium- and long-term pressures are summarized by (iv) medium- and long-term budgetary adjustment needs, (v) susceptibility of debt projections to growth and interest rate shocks, and (vi) stochastic risks to medium-term debt dynamics. Aiming to cover