EconPapers    
Economics at your fingertips  
 

Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies

Susan Sharma and Kannan Thuraisamy ()

Working Papers from Deakin University, Department of Economics

Abstract: 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)
Date: 2012-12-26
New Economics Papers: this item is included in nep-ene and nep-sea
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1016/j.asieco.2013.06.001

Related works:
Journal Article: Oil price uncertainty and sovereign risk: Evidence from Asian economies (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dkn:ecomet:fe_2012_02

Access Statistics for this paper

More papers in Working Papers from Deakin University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Xueli Tang ().

 
Page updated 2021-04-04
Handle: RePEc:dkn:ecomet:fe_2012_02