How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries

doi:10.1016/j.frl.2019.101350

CASISD OpenIR

	How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries
	Wang, Jun; Sun, Xiaolei; Li, Jianping
发表期刊	FINANCE RESEARCH LETTERS
摘要	Based on the GARCH-Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples. We reveal that the upside/downside CoVaR values of sovereign CDS spreads differ significantly from VaR values among all countries. This phenomenon illustrates that extreme oil returns are vital risks for both emerging and developed markets. Moreover, the impact of extreme oil returns on oil importers differs depending on the economic stability of each country, which is reflected in the heterogeneity of the spillover intensity.
	2020
卷号	34
DOI	10.1016/j.frl.2019.101350
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9773
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Wang, Jun,Sun, Xiaolei,Li, Jianping. How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries[J]. FINANCE RESEARCH LETTERS,2020,34.
APA	Wang, Jun,Sun, Xiaolei,&Li, Jianping.(2020).How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries.FINANCE RESEARCH LETTERS,34.
MLA	Wang, Jun,et al."How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries".FINANCE RESEARCH LETTERS 34(2020).