File(s) under permanent embargo
Oil price uncertainty and sovereign risk: evidence from Asian economies
journal contribution
posted on 2013-10-01, 00:00 authored by Susan SharmaSusan Sharma, Kannan ThuraisamyKannan ThuraisamyIn 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 economicsVolume
28Pagination
51 - 57Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
1049-0078eISSN
1873-7927Language
engPublication classification
C1 Refereed article in a scholarly journalCopyright notice
2013, ElsevierUsage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC