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Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies

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posted on 2012-12-26, 00:00 authored by Susan SharmaSusan Sharma, Kannan ThuraisamyKannan Thuraisamy
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.

History

Series

School Working Paper - Financial Econometrics Series ; SWP 2012/02

Pagination

1 - 19

Publisher

Deakin University, School of Accounting, Economics and Finance

Place of publication

Geelong, Vic.

Language

eng

Publication classification

CN.1 Other journal article

Copyright notice

2012, The Authors

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