Oil price uncertainty and sovereign risk: Evidence from Asian economies
Susan Sharma and
Kannan Thuraisamy ()
Journal of Asian Economics, 2013, vol. 28, issue C, 51-57
In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan (2011, 2012) predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also accounts for any heteroskedasticity in the regression model. In-sample evidence reveals that oil price uncertainty predicts CDS returns for three Asian countries, whereas out-of-sample evidence suggests that oil price uncertainty predicts CDS returns for six countries.
Keywords: Oil price uncertainty; Predictability; Asian markets; CDS returns (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
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Working Paper: Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:28:y:2013:i:c:p:51-57
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