The Impact of Major Oil, Financial and Uncertainty Factors on Sovereign CDS Spreads: Evidence from GCC, Other Oil-Exporting Countries and Regional Markets
Syed Jawad Hussain Shahzad () and
No 1129, Working Papers from Economic Research Forum
The aim of this paper is to investigate the impact of oil price volatility and major financial and uncertainty factors on sovereign credit default swap (CDS) spreads in the case of the oil-rich Gulf Cooperation Council (GCC) countries, other oil-exporting countries and regional markets namely the G7, BRICS, Council of Europe (CE), Asia, North America (NA) and the N11 nations. We first employ the standard quantile regression analysis that allows one to investigate the dependence dynamics of the sovereign CDS spreads under different market circumstances. Consequently, we use the causality-in-quantiles, which allows for identifying the quantile range for which causality is relevant. Empirical results show that the sovereign CDSs of the non GCC oil-exporting countries (i.e., Venezuela, Mexico and Russia) are the most affected by oil prices, which is more than those of major global regions/blocs. However, the results show no or little dependence for Saudi Arabia, UAE and Norway which have the largest sovereign wealth funds. The results also show that the sovereign CDS spreads are more sensitive to global bond market uncertainty factors than to global equity market uncertainty factors. Finally, we find causality-in-quantiles between sovereign CDS and global financial risk and uncertainty factors and this causality relationship is different across countries and regions/blocs, particularly in the lower quantiles (i.e., bearish markets).
New Economics Papers: this item is included in nep-ara, nep-cis and nep-ene
Date: 2017, Revised 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published by The Economic Research Forum (ERF)
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:erg:wpaper:1129
Access Statistics for this paper
More papers in Working Papers from Economic Research Forum Contact information at EDIRC.
Bibliographic data for series maintained by Sherine Ghoneim ().