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 Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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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 -