Author:
Alexandre Hervé,de Benoist Antonin
Abstract
This article analyses the impact of oil prices on bond risk premiums
issued by emerging economies. No empirical study has yet focused on the effects
of oil prices on government bond risk premiums. We develop a model of credit
spread with data from the EMBIG index of 17 countries, from 1998 to 2008. An
analysis in time series is carried out on each country and a panel analysis used to
determine the global impact of oil prices on investors’ risk perceptions. We
suggest a new estimator for oil prices to take into account the effect of the price
variance, and show that oil prices influence the risk premiums of sovereign bonds
along with the price volatility that increases the accuracy of the model.
Publisher
Lahore School of Economics
Cited by
15 articles.
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