Article ID Journal Published Year Pages File Type
5084457 International Review of Financial Analysis 2017 11 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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