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

DOI10.1080/14697688.2016.1211801zbMATH Open1400.91641OpenAlexW2515155285MaRDI QIDQ4554261FDOQ4554261

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

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zbMATH Keywords

oil pricessovereign debt crisisfiscal stability

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Testing for a unit root in time series regression
• Estimating the probability of multiple EU sovereign defaults using CDS and bond data
• Oil price and FX-rates dependency

Cited In (2)

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

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