Knowledge Management System of Institutes of Science and Development ,CAS
| 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
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| Source Publication | FINANCE RESEARCH LETTERS
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| Abstract | 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 | |
| Volume | 34 |
| DOI | 10.1016/j.frl.2019.101350 |
| Language | 英语 |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.casisd.cn/handle/190111/9773 |
| Collection | 中国科学院科技战略咨询研究院 |
| Recommended Citation 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). |
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