This paper estimates the macroeconomic effects of changes in sovereign risk. I identify a novel series of shocks using a decomposition of high-frequency movements in asset prices around International Monetary Fund announcements concerning Argentina, which I characterize as sovereign liquidity shocks. Using this series, I estimate the dynamic causal effects of sovereign risk on key macroeconomic variables. A sovereign liquidity shock associated with a 100-basis-point increase in sovereign spreads decreases output by 0.96 percent in the months following the shock, with the contraction primarily driven by declines in investment. Evidence suggests that these effects operate through disruptions in international lending and trade, while domestic financial intermediation plays little to no role in propagating the shock.