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

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