Oil prices and sovereign credit risk of oil producing countries: an empirical investigation

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Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. / Wegener, Christoph; Basse, Tobias; Kunze, Frederik et al.
in: Quantitative Finance, Jahrgang 16, Nr. 12, 01.12.2016, S. 1961-1968.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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Wegener C, Basse T, Kunze F, von Mettenheim HJ. Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. Quantitative Finance. 2016 Dez 1;16(12):1961-1968. doi: 10.1080/14697688.2016.1211801

Bibtex

@article{f40603b96dd54483b7223133edd56bca,
title = "Oil prices and sovereign credit risk of oil producing countries: an empirical investigation",
abstract = "The low oil price recently has caused fears about the sustainability of public finances in some oil producing countries. We examine the relationship between oil prices and sovereign credit risk examining the CDS market. Analysing data from nine countries (Brazil, Malaysia, Norway, Qatar, Russia, Saudi Arabia, the United Kingdom, the United States of America and Venezuela) we have estimated bivariate VAR-GARCH-in-mean models. The results of our empirical investigations generally speaking do suggest that positive oil price shocks lead to lower sovereign CDS spreads. Thus, our findings support the hypothesis that higher oil prices improve the fiscal stability of oil producing countries.",
keywords = "Economics, sovereign debt crisis, Oil prices, Fiscal stability",
author = "Christoph Wegener and Tobias Basse and Frederik Kunze and {von Mettenheim}, {Hans J{\"o}rg}",
year = "2016",
month = dec,
day = "1",
doi = "10.1080/14697688.2016.1211801",
language = "English",
volume = "16",
pages = "1961--1968",
journal = "Quantitative Finance",
issn = "1469-7688",
publisher = "Routledge Taylor & Francis Group",
number = "12",

}

RIS

TY - JOUR

T1 - Oil prices and sovereign credit risk of oil producing countries: an empirical investigation

AU - Wegener, Christoph

AU - Basse, Tobias

AU - Kunze, Frederik

AU - von Mettenheim, Hans Jörg

PY - 2016/12/1

Y1 - 2016/12/1

N2 - The low oil price recently has caused fears about the sustainability of public finances in some oil producing countries. We examine the relationship between oil prices and sovereign credit risk examining the CDS market. Analysing data from nine countries (Brazil, Malaysia, Norway, Qatar, Russia, Saudi Arabia, the United Kingdom, the United States of America and Venezuela) we have estimated bivariate VAR-GARCH-in-mean models. The results of our empirical investigations generally speaking do suggest that positive oil price shocks lead to lower sovereign CDS spreads. Thus, our findings support the hypothesis that higher oil prices improve the fiscal stability of oil producing countries.

AB - The low oil price recently has caused fears about the sustainability of public finances in some oil producing countries. We examine the relationship between oil prices and sovereign credit risk examining the CDS market. Analysing data from nine countries (Brazil, Malaysia, Norway, Qatar, Russia, Saudi Arabia, the United Kingdom, the United States of America and Venezuela) we have estimated bivariate VAR-GARCH-in-mean models. The results of our empirical investigations generally speaking do suggest that positive oil price shocks lead to lower sovereign CDS spreads. Thus, our findings support the hypothesis that higher oil prices improve the fiscal stability of oil producing countries.

KW - Economics

KW - sovereign debt crisis

KW - Oil prices

KW - Fiscal stability

UR - http://www.mendeley.com/research/oil-prices-sovereign-credit-risk-oil-producing-countries-empirical-investigation

U2 - 10.1080/14697688.2016.1211801

DO - 10.1080/14697688.2016.1211801

M3 - Journal articles

VL - 16

SP - 1961

EP - 1968

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

IS - 12

ER -

DOI