Oil price uncertainty and sovereign risk: evidence from Asian economies

Sharma, Susan Sunila and Thuraisamy, Kannan 2013, Oil price uncertainty and sovereign risk: evidence from Asian economies, Journal of Asian economics, vol. 28, pp. 51-57.

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Title Oil price uncertainty and sovereign risk: evidence from Asian economies
Author(s) Sharma, Susan Sunila
Thuraisamy, Kannan
Journal name Journal of Asian economics
Volume number 28
Start page 51
End page 57
Total pages 7
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2013-10
ISSN 1049-0078
1873-7927
Keyword(s) oil price uncertainty
predictability
Asian markets
CDS returns
Summary In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan, 2011 and Westerlund and Narayan, 2012 predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also accounts for any heteroskedasticity in the regression model. In-sample evidence reveals that oil price uncertainty predicts CDS returns for three Asian countries, whereas out-of-sample evidence suggests that oil price uncertainty predicts CDS returns for six countries.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30058777

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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