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Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries

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  • Bouri, Elie
  • de Boyrie, Maria E.
  • Pavlova, Ivelina

Abstract

We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility spillover from commodity markets to sovereign CDS spreads of emerging and frontier markets. We find that this effect is strong for most of the countries in our sample, but the results differ by country and over time. We also examine whether particular commodity sectors are the main driver of the transmission of volatility and our results show a stronger effect of energy and precious metals volatility.

Suggested Citation

  • Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
  • Handle: RePEc:eee:finana:v:49:y:2017:i:c:p:155-165
    DOI: 10.1016/j.irfa.2016.11.001
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    1. repec:eee:eneeco:v:70:y:2018:i:c:p:258-269 is not listed on IDEAS
    2. Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017. "Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains," Working Papers 201780, University of Pretoria, Department of Economics.

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