Oil prices and government bond risk premiums

Hervé Alexandre () and Benoist Antonin De
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Benoist Antonin De: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of seventeen countries, from 1998 to 2008. An analysis in time series has been carried out on each country. Then we use a panel analysis to determine the global impact of oil prices on the risk perceptions of investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show that the oil price influences the risk premiums of sovereign bonds, along with the price volatility that increases the accuracy of the model.

Keywords: Oil prices; sovereign debt; risk premium (search for similar items in EconPapers)
Date: 2010-09-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00642191v1
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Citations: View citations in EconPapers (18)

Published in Lahore Journal of Business, 2010, 1 (1), pp.1-21

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00642191

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