The Impact of Oil Shocks on Sovereign Default Risk

• Tác giả: Sultan Abdulaziz M Alturki
• Ngôn ngữ: eng
• Ký hiệu phân loại: 622.33 *Carbonaceous materials
• Thông tin xuất bản: World Bank, Washington, DC, 2021
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 320721
• Chủ đề: 1. DEBT; 2. OIL PRICES; 3. OIL SHOCK; 4. SOVEREIGN CREDIT DEFAULT SWAPS; 5. SOVEREIGN DEBT

Tóm tắt

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.