| DOI: | 10.1016/j.enpol.2019.111073
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| 论文题名: | Oil market conditions and sovereign risk in MENA oil exporters and importers |
| 作者: | Bouri E.; Kachacha I.; Roubaud D.
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| 刊名: | Energy Policy
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| ISSN: | 03014215
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| 出版年: | 2020
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| 卷: | 137 | | 语种: | 英语
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| 中文关键词: | Crude oil
; Dynamic conditional correlation
; MENA
; Oil exporters and importers
; Quantile dependence
; Sovereign credit risk
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| 英文关键词: | Commerce
; Crude oil
; Risk assessment
; Risk management
; Credit risks
; Dynamic conditional correlations
; MENA
; Oil exporters and importers
; Quantile dependence
; Investments
; correlation
; crude oil
; debt
; export
; import
; oil production
; oil trade
; sovereignty
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| 英文摘要: | We analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time-varying settings. Empirical analyses involve daily data from February 14, 2011 to November 23, 2018 covering a sample of MENA oil-exporters and importers. The results from a quantile-based approach show that the sovereign risk of MENA oil-exporters and importers is directionally predicted by shocks in oil prices and oil volatility, especially during the oil crash of 2014–2016. Overall, the impact of oil returns and volatility changes occur in a very short time span, that is within one day lag, and the quantile specific reactions of sovereign risk spreads are time varying. The impact of oil returns is asymmetric across quantiles. The results hold when we control for stock market returns. The findings have implications for investors in terms of portfolio and risk management. Importantly, the findings are useful to policymakers for sovereign risk management decisions, the cost of sovereign borrowing, and the market timing of debt issuance. Finally, the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt, which makes banking systems particularly exposed to their own sovereign stress. © 2019 Elsevier Ltd |
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| 资源类型: | 期刊论文
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| 标识符: | http://119.78.100.158/handle/2HF3EXSE/167044
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| Appears in Collections: | 气候变化与战略
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作者单位: | USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon; Montpellier Business School, Montpellier, France
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| Recommended Citation: | |
Bouri E.,Kachacha I.,Roubaud D.. Oil market conditions and sovereign risk in MENA oil exporters and importers[J]. Energy Policy,2020-01-01,137
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