Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies

Sharma, Susan and Thuraisamy, Sivananthan 2012, Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies, Deakin University, School of Accounting, Economics and Finance, Geelong, Vic..

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Title Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies
Author(s) Sharma, SusanORCID iD for Sharma, Susan orcid.org/0000-0002-7297-1557
Thuraisamy, Sivananthan
Publication date 2012-12-26
Series School Working Paper - Financial Econometrics Series ; SWP 2012/02
Total pages 19
Publisher Deakin University, School of Accounting, Economics and Finance
Place of publication Geelong, Vic.
Keyword(s) Oil price uncertainty
Predictability
Asian markets
CDS returns
RePEc:dkn:ecomet:fe_2012_02
Summary 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.
Notes This working paper was later published in the journal 'Journal of Asian Economics' and is available online: http://dx.doi.org/10.1016/j.asieco.2013.06.001
Language eng
HERDC Research category CN.1 Other journal article
Related work DU:30058777
Copyright notice ©2012, The Authors
Persistent URL http://hdl.handle.net/10536/DRO/DU:30104564

Document type: Report
Collection: RePEc Working Papers
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