An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela

Thomas Chuffart, Emma Hooper

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015 through a Time Varying Transition Probabilities Markov Switching model, our results show that crude oil price and its volatility are critical determinants of their sovereign debt. We highlight some differences between the two countries, depending on the state of the economy. Moreover, global and local factors play a major role in the determination of sovereign CDS spreads.

langue originaleAnglais
Pages (de - à)904-916
Nombre de pages13
journalEnergy Economics
Volume80
Les DOIs
étatPublié - mai 2019

Empreinte digitale

Crude oil
Price impact
Venezuela
Oil prices
Credit default swap (CDS) spreads
Russia
Credit default swaps
Oils
Factors
Markov switching model
Time-varying
Oil
Crude oil price
Transition probability
Sovereign debt

Citer ceci

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An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela. / Chuffart, Thomas; Hooper, Emma.

Dans: Energy Economics, Vol 80, 05.2019, p. 904-916.

Résultats de recherche: Contribution à un journal/une revueArticle

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