An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela

Thomas Chuffart and Emma Hooper
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Emma Hooper: LabEx ReFi - Conseil Général de l'Economie, AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015 through a Time Varying Transition Probabilities Markov Switching model, our results show that crude oil price and its volatility are critical determinants of their sovereign debt. We highlight some differences between the two countries, depending on the state of the economy. Moreover, global and local factors play a major role in the determination of sovereign CDS spreads.

Keywords: Oil prices; Sovereign Credit Default Swaps; Markov-switching; Time series modeling; Venezuela; Russia (search for similar items in EconPapers)
Date: 2019-05
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Citations: View citations in EconPapers (21)

Published in Energy Economics, 2019, 80, pp.904-916. ⟨10.1016/j.eneco.2019.02.003⟩

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Journal Article: An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)
Working Paper: An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02194152

DOI: 10.1016/j.eneco.2019.02.003

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