Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent

Beyza Mina Ordu-Akkaya and Süheyla Özyıldırım

Emerging Markets Review, 2025, vol. 67, issue C

Abstract: Given that commodities play a significant role in the sustainability of economies, we investigate the role of commodity dependence in the economic fundamentals through sovereign CDS spreads. We employ 17 commodities and 16 emerging countries in our analysis. Results show commodities spill information over emerging market CDS spreads and the most influential commodity is copper. Hence, we check for the role of copper and risk measures of copper in CDS spreads and we see that the variance of copper is significant in explaining CDS spreads, however when local and global factors are included in the model, the significance vanishes.

Keywords: Sovereign CDS; Commodity dependence; Emerging markets; Economic indicators; Copper (search for similar items in EconPapers)
JEL-codes: F3 G15 Q02 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000482

DOI: 10.1016/j.ememar.2025.101299

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