Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies
AbstractIn 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.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2012_02.
Date of creation: 26 Dec 2012
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Oil price uncertainty; Predictability; Asian markets; CDS returns;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
- NEP-ENE-2013-06-16 (Energy Economics)
- NEP-SEA-2013-06-16 (South East Asia)
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