01712cas a2200253 a 4500 AALejournalIMF008246 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451856903 1018-5941 BD-DhAAL BD-DhAAL Sutton, Bennett. Sovereign Defaults : The Role of Volatility / Bennett Sutton, Luis Catao. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (26 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Catao, Luis. IMF Working Papers; Working Paper ; No. 2002/149 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/149/001.2002.issue-149-en.xml IMF e-Library