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Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries

Elie Bouri (), Maria E. de Boyrie and Ivelina Pavlova

International Review of Financial Analysis, 2017, vol. 49, issue C, 155-165

Abstract: We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility spillover from commodity markets to sovereign CDS spreads of emerging and frontier markets. We find that this effect is strong for most of the countries in our sample, but the results differ by country and over time. We also examine whether particular commodity sectors are the main driver of the transmission of volatility and our results show a stronger effect of energy and precious metals volatility.

Keywords: Volatility; Commodities; Energy commodities; Sovereign CDS; Emerging markets; Frontier markets (search for similar items in EconPapers)
Date: 2017
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