An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela

Thomas Chuffart and Emma Hooper

Energy Economics, 2019, vol. 80, issue C, 904-916

Abstract: In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015 through a Time Varying Transition Probabilities Markov Switching model, our results show that crude oil price and its volatility are critical determinants of their sovereign debt. We highlight some differences between the two countries, depending on the state of the economy. Moreover, global and local factors play a major role in the determination of sovereign CDS spreads.

Keywords: Oil prices; Sovereign Credit Default Swaps; Markov-switching; Time series modeling; Venezuela; Russia (search for similar items in EconPapers)
JEL-codes: C22 G1 H6 O16 O57 P28 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Working Paper: An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)
Working Paper: An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:80:y:2019:i:c:p:904-916

DOI: 10.1016/j.eneco.2019.02.003

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