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Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies

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  • Sharma, Susan
  • Thuraisamy, Sivananthan

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.

Suggested Citation

  • Sharma, Susan & Thuraisamy, Sivananthan, 2012. "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Working Papers fe_2012_02, Deakin University, Department of Economics.
    • Handle: RePEc:dkn:ecomet:fe_2012_02
    DOI: 10.1016/j.asieco.2013.06.001
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    More about this item

    Keywords

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

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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