کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7383331 1480432 2018 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries
ترجمه فارسی عنوان
تجزیه و تحلیل پویایی پویا از اثرات نفت خام بر ریسک اعتبار مستقل کشورهای صادر کننده
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We study the dynamic spillover of crude oil prices and volatilities on sovereign risk premia of ten oil-exporting countries. Among the determining variables, we include a set of local and global factors that are identified through principal components analysis. The results indicate 4%-31% directional spillover from crude oil prices to sovereign credit default swap (CDS) spreads. Venezuela, Colombia, Russia, and Mexico are the top recipients of crude oil shocks. The local and global factors explain a relatively large portion of the spillover as well (22.50% and 17.40% maximum, respectively). Further, using the OVX volatility index as a proxy for oil price uncertainty, we find an average directional volatility spillover of 9%. The effect of political variables, and aggregate demand and supply shocks are relatively less than the oil-specific shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 68, May 2018, Pages 10-22
نویسندگان
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