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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2021
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Online Access: | 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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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 |
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World Bank |
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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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1764482413857079296 |