The Impact of Oil Shocks on Sovereign Default Risk

The paper examines the impact of oil shocks on sovereign credit default swaps (CDS) for the G10 countries and major oil-exporting countries. The results show that oil demand shocks have a uniformly negative impact on CDS spreads. In contrast, oil s...

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Main Authors: Alturki, Sultan Abdulaziz M, Hibbert, Ann Marie
Format: Working Paper
Language:English
Published: World Bank, Washington, DC 2021
Subjects:
Online Access:http://documents.worldbank.org/curated/en/289701613502786051/The-Impact-of-Oil-Shocks-on-Sovereign-Default-Risk
http://hdl.handle.net/10986/35142
id okr-10986-35142
recordtype oai_dc
spelling okr-10986-351422022-09-20T00:09:46Z The Impact of Oil Shocks on Sovereign Default Risk Alturki, Sultan Abdulaziz M Hibbert, Ann Marie OIL PRICES OIL SHOCK DEBT SOVEREIGN DEBT SOVEREIGN CREDIT DEFAULT SWAPS OIL EXPORTERS G10 OIL-EXPORTING COUNTRY The paper examines the impact of oil shocks on sovereign credit default swaps (CDS) for the G10 countries and major oil-exporting countries. The results show that oil demand shocks have a uniformly negative impact on CDS spreads. In contrast, oil supply shocks increase the spreads of the G10 countries, but reduce the spreads of oil-exporting countries. Using quantile regressions, the findings show that oil demand shocks affect spreads across the conditional distribution, while oil supply shocks mostly influence the upper quantiles of spread changes. Furthermore, a two-state Markov-switching modeling confirms a significant non-linearity in the impact of oil shocks. 2021-02-18T14:45:58Z 2021-02-18T14:45:58Z 2021-02 Working Paper http://documents.worldbank.org/curated/en/289701613502786051/The-Impact-of-Oil-Shocks-on-Sovereign-Default-Risk http://hdl.handle.net/10986/35142 English Policy Research Working Paper;No. 9546 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo World Bank World Bank, Washington, DC Publications & Research Publications & Research :: Policy Research Working Paper
repository_type Digital Repository
institution_category Foreign Institution
institution Digital Repositories
building World Bank Open Knowledge Repository
collection World Bank
language English
topic OIL PRICES
OIL SHOCK
DEBT
SOVEREIGN DEBT
SOVEREIGN CREDIT DEFAULT SWAPS
OIL EXPORTERS
G10
OIL-EXPORTING COUNTRY
spellingShingle OIL PRICES
OIL SHOCK
DEBT
SOVEREIGN DEBT
SOVEREIGN CREDIT DEFAULT SWAPS
OIL EXPORTERS
G10
OIL-EXPORTING COUNTRY
Alturki, Sultan Abdulaziz M
Hibbert, Ann Marie
The Impact of Oil Shocks on Sovereign Default Risk
relation Policy Research Working Paper;No. 9546
description The paper examines the impact of oil shocks on sovereign credit default swaps (CDS) for the G10 countries and major oil-exporting countries. The results show that oil demand shocks have a uniformly negative impact on CDS spreads. In contrast, oil supply shocks increase the spreads of the G10 countries, but reduce the spreads of oil-exporting countries. Using quantile regressions, the findings show that oil demand shocks affect spreads across the conditional distribution, while oil supply shocks mostly influence the upper quantiles of spread changes. Furthermore, a two-state Markov-switching modeling confirms a significant non-linearity in the impact of oil shocks.
format Working Paper
author Alturki, Sultan Abdulaziz M
Hibbert, Ann Marie
author_facet Alturki, Sultan Abdulaziz M
Hibbert, Ann Marie
author_sort Alturki, Sultan Abdulaziz M
title The Impact of Oil Shocks on Sovereign Default Risk
title_short The Impact of Oil Shocks on Sovereign Default Risk
title_full The Impact of Oil Shocks on Sovereign Default Risk
title_fullStr The Impact of Oil Shocks on Sovereign Default Risk
title_full_unstemmed The Impact of Oil Shocks on Sovereign Default Risk
title_sort impact of oil shocks on sovereign default risk
publisher World Bank, Washington, DC
publishDate 2021
url http://documents.worldbank.org/curated/en/289701613502786051/The-Impact-of-Oil-Shocks-on-Sovereign-Default-Risk
http://hdl.handle.net/10986/35142
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