EconPapers    
Economics at your fingertips  
 

Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters

Nader Naifar

The North American Journal of Economics and Finance, 2024, vol. 74, issue C

Abstract: This paper investigates the frequency and quantile connectedness between oil market shocks and sovereign credit risk of seven major oil exporting countries: Saudi Arabia, Russia, the United Arab Emirates, Norway, the United States, Brazil, and Mexico. We apply the time-domain approach of Diebold & Yılmaz (2012), the frequency-domain approach of Baruník & Křehlík (2018), and the quantile-based connectedness approach of Ando et al. (2018). Empirical results indicate that (i) spillover effects vary significantly across different investment horizons, with Mexico, Brazil, and Saudi Arabia emerging as key transmitters of credit risk volatility, (ii) the United Arab Emirates consistently appears as a major net receiver of these risks, highlighting its vulnerability to external shocks, (iii) in both short-term and long-term horizon, demand shocks stand out as the most influential determinants of volatility in sovereign credit risks, and (iv) during periods of heightened credit risk perception, the exacerbating role of oil demand shocks becomes more pronounced..

Keywords: Oil market shocks; Sovereign credit risk; Frequency connectedness; Quantile connectedness; Sovereign credit default swap (search for similar items in EconPapers)
JEL-codes: C2 C22 G1 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S106294082400130X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x

DOI: 10.1016/j.najef.2024.102205

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-23
Handle: RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400130x