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An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela

Abstract : In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015 through a Time Varying Transition Probabilities Markov Switching model, our results show that crude oil price and its volatility are critical determinants of their sovereign debt. We highlight some differences between the two countries, depending on the state of the economy. Moreover, global and local factors play a major role in the determination of sovereign CDS spreads.
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https://hal-amu.archives-ouvertes.fr/hal-02194152
Contributor : Elisabeth Lhuillier <>
Submitted on : Thursday, July 25, 2019 - 11:38:42 AM
Last modification on : Saturday, September 19, 2020 - 3:53:00 AM

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Thomas Chuffart, Emma Hooper. An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela. Energy Economics, Elsevier, 2019, 80, pp.904-916. ⟨10.1016/j.eneco.2019.02.003⟩. ⟨hal-02194152⟩

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