کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084457 1477904 2017 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries
چکیده انگلیسی
We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility spillover from commodity markets to sovereign CDS spreads of emerging and frontier markets. We find that this effect is strong for most of the countries in our sample, but the results differ by country and over time. We also examine whether particular commodity sectors are the main driver of the transmission of volatility and our results show a stronger effect of energy and precious metals volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 49, January 2017, Pages 155-165
نویسندگان
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