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Oil price uncertainty and sovereign risk: Evidence from Asian economies

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  • Sharma, Susan Sunila
  • Thuraisamy, Kannan

Abstract

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, 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.

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  • Sharma, Susan Sunila & Thuraisamy, Kannan, 2013. "Oil price uncertainty and sovereign risk: Evidence from Asian economies," Journal of Asian Economics, Elsevier, vol. 28(C), pages 51-57.
    • Handle: RePEc:eee:asieco:v:28:y:2013:i:c:p:51-57
    DOI: 10.1016/j.asieco.2013.06.001
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    Keywords

    Oil price uncertainty; Predictability; Asian markets; CDS returns;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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