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Oil price uncertainty and sovereign risk: evidence from Asian economies

journal contribution
posted on 01.10.2013, 00:00 authored by Susan SharmaSusan Sharma, Kannan ThuraisamyKannan Thuraisamy
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.

History

Journal

Journal of Asian economics

Volume

28

Pagination

51 - 57

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

1049-0078

eISSN

1873-7927

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2013, Elsevier