Oil prices and sovereign credit risk of oil producing countries: an empirical investigation

DOI10.1080/14697688.2016.1211801MaRDI QIDQ4554261zbMATH OpenOpenAlexFDO

Authors Christoph Wegener, Tobias Basse, Frederik Kunze, Hans-Jörg von Mettenheim

Publication date 13 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1211801

zbMATH Keywords

oil pricessovereign debt crisisfiscal stability

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Oil price shocks and the credit default swap market
• Oil price risk exposure of BRIC stock markets and hedging effectiveness
• The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price
• Risk spillover effect between oil and exchange rates: based on MV-CAViaR model
• Oil price shocks and monetary policy in resource-rich economies: does capital matter?

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimating the probability of multiple EU sovereign defaults using CDS and bond data
• Generalized autoregressive conditional heteroscedasticity
• Oil price and FX-rates dependency
• Testing for a unit root in time series regression

Cited in

(2)

• Oil price shocks and the credit default swap market
• Asymmetric oil price shocks, tax revenues, and the resource curse

This page was built for publication: Oil prices and sovereign credit risk of oil producing countries: an empirical investigation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554261)