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.. Attached Files Name Description MIMEType Size Downloads Title Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies Author(s) Sharma, Susan orcid.org/0000-0002-7297-1557 Thuraisamy, Sivananthan orcid.org/0000-0001-5164-5456 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 Collections: Faculty of Business and Law RePEc Working Papers Related Links Link Description Connect to published journal article Go to link with your DU access privileges     Link to Related Work Oil price uncertainty and sovereign risk: evidence from Asian economies Journal Article (deposited 05-12-2013) Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies Report (deposited 10-11-2017)   Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Fri, 10 Nov 2017, 08:36:12 EST Sat, 11 Nov 2017, 04:01:28 EST Sat, 11 Nov 2017, 05:04:54 EST Thu, 14 Dec 2017, 11:37:25 EST Thu, 14 Dec 2017, 11:38:22 EST Thu, 14 Dec 2017, 11:39:03 EST Wed, 22 Aug 2018, 13:52:37 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 117 Abstract Views, 1 File Downloads  -  Detailed Statistics Created: Fri, 10 Nov 2017, 08:36:12 EST

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