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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Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies
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
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