This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit...

Governments and fiscal stability authorities have an interest in the sovereign-debt implications of climate change being transparent. To this end, we look at the exposure of EU sovereigns to climate risks, study international best practices, and describe the transmission channels from climate...

The OECD Sovereign Borrowing Outlook provides an update of trends and developments associated with sovereign borrowing requirements, funding strategies, market infrastructure and debt levels from the perspective of public debt managers. The central government marketable gross borrowing needs are...

The changing landscape for European banks influences the future of sovereign borrowing and vice versa. The fates of banks and sovereigns are intertwined, including by toxic feed-back loops between them. The study suggests considering four policy principles or guidelines to weaken the toxic...

This paper seeks to eliminate or reduce confusions about (related) key concepts such as the risk free rate, safe assets and sovereign risk in policy and academic discussions. A lack of consensus and confusions on how to define, measure and price “sovereign risk” is an important obstacle in...

Debt-to-GDP ratios do not predict fiscal outcomes. As ratios of government debt rise, some societies manage to deliver more responsible fiscal behaviour. Low debt ratios often mask dangerous currency or maturity mismatches which can suddenly impair banks and governments. Contingent liabilities,...

The Bloomberg sovereign risk function (SRSK) provides quantitative estimates of a sovereign entity's default probability (DP) term structure.The SRSK model was last updated in June 2017. This year we have reviewed and revised the model. This white paper documents the newly updated DP model and...

This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit...

This study develops an early warning signal (EWS) of government debt crisis using a panel data consisting of 43 developing countries over the period of 1960 to 2017. It employs two different methods: the noise to signal ratio to capture the signaling power of individual indicators; and the...

Political risk is a significant determinant of sovereign debt dynamics. We estimate the sensitivity of bond yields and economic growth to a country-level broad proxy of political risk and develop a stochastic debt sustainability analysis optimization model with both yields and growth channels to...