Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies
Susan Sharma and
Kannan Thuraisamy ()
Working Papers from Deakin University, Department of Economics
In this paper, we test whether oil price uncertainty predicts CDS returns for eight Asian countries. We use the Westerlund and Narayan (2011, 2012) predictability test that takes into consideration persistency, endogeneity, and heteroskedasticity of the data. In-sample evidence reveals that oil price uncertainty can predict CDS returns for three Asian countries whereas the out-of-sample evidence suggests that oil price uncertainty can predict CDS returns for six countries.
Keywords: Oil price uncertainty; Predictability; Asian markets; CDS returns (search for similar items in EconPapers)
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Journal Article: Oil price uncertainty and sovereign risk: Evidence from Asian economies (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:dkn:ecomet:fe_2012_02
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