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Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies

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  • Susan S Sharma

    ()
    (Deakin University)

  • Kannan Thuraisamy

    ()
    (Deakin University)

Abstract

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.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/fin-econometrics/2012_02.pdf
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Bibliographic Info

Paper 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.

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Length: 21
Date of creation: 26 Dec 2012
Date of revision:
Handle: RePEc:dkn:ecomet:fe_2012_02

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Keywords: Oil price uncertainty; Predictability; Asian markets; CDS returns;

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