@article{36ceaed888ca4eb2b7e1382b7538f1c5,
title = "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela",
abstract = "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.",
keywords = "Markov-switching, Oil prices, Russia, Sovereign Credit Default Swaps, Time series modeling, Venezuela",
author = "Thomas Chuffart and Emma Hooper",
note = "Funding Information: We would like to thank Richard S.J. Tol and anonymous reviewers for their valuable suggestions which have significantly improved this paper. We thank Raouf Boucekkine, Anne Peguin-Feissolle, Emmanuel Flachaire, Gilles Dufr{\'e}not, Christophe Hurlin, S{\'e}bastien Laurent and Patrick Pintus for their many valuable comments. We are greatly indebted to the participants for their comments received at the Commodity Markets Conference in Hanover, INRA internal seminar in Rennes and the Aix-Marseille PhD seminar. Publisher Copyright: {\textcopyright} 2019 Elsevier B.V.",
year = "2019",
month = may,
doi = "10.1016/j.eneco.2019.02.003",
language = "English",
volume = "80",
pages = "904--916",
journal = "Energy Economics",
issn = "0140-9883",
publisher = "Elsevier",
}