Oil Price Shocks and the Credit Default Swap Market

Wei Dai and Apostolos Serletis
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Wei Dai: University of Calgary

Open Economies Review, 2018, vol. 29, issue 2, No 5, 283-293

Abstract: Abstract We investigate the impact of supply and demand shocks in the global crude oil market on the CDX spread, in the context of a structural VAR model based on monthly data, over the period from November 2003 to October 2015. We find that the reaction of the CDX spread to changes in the real price of crude oil differs considerably depending on the sources of shocks. In the long run, crude oil supply shocks, aggregate demand shocks, and oil-specific demand shocks together account for nearly 90% of the variation of the CDX spread.

Keywords: Oil price shocks; credit default swaps; structural VAR (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11079-017-9454-z

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