Tail risk transmission from commodity prices to sovereign risk of emerging economies

被引：12

作者：

Zhang, Zhengyong ^{[1
]}

Shahzad, Syed Jawad Hussain ^{[2
,4
]}

Bouri, Elie ^{[3
]}

机构：

[1] Nanjing Univ Finance & Econ, Sch Accounting, Nanjing 210023, Jiangsu, Peoples R China

[2] Montpellier Business Sch, Montpellier, France

[3] Lebanese Amer Univ, Sch Business, Beirut, Lebanon

[4] South Ural State Univ, Chelyabinsk, Russia

来源：

RESOURCES POLICY | 2022年 / 78卷

关键词：

Commodity prices; Sovereign risk; Credit default swap (CDS); Emerging markets; Copulas; Quantile dependence; DIRECTIONAL PREDICTABILITY; STOCK MARKETS; CDS SPREADS; OIL MARKET; CRUDE-OIL; FUNDAMENTALS; DEPENDENCE; UNCERTAINTY; GOLD;

D O I：

10.1016/j.resourpol.2022.102869

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The aim of this paper is to examine the impact of large fluctuations in global commodity prices on the dynamics of sovereign risk for 18 emerging economies using a conditional quantile dependence approach and weekly data covering the period March 27, 2009-April 25, 2022. The results show the following: commodity prices and sovereign risk move in opposite directions. The impact of global commodity prices on sovereign risk differ across countries. Commodity price fluctuations have asymmetric effects on sovereign risk; for some emerging countries, large upward commodity price fluctuations reduce sovereign risk, whereas large downward commodity price movements have a limited impact. These results have potential implications for investors and policy makers regarding sovereign risk management decisions and the cost of funding of investment projects.

引用

页数：15

共 50 条

[1] Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors
Fong, Tom Pak Wing
Li, Ka-Fai
Fu, John
EMERGING MARKETS REVIEW, 2018, 34 : 98 - 110
[2] What drives the commodity-sovereign risk dependence in emerging market economies?
Boehm, Hannes
Eichler, Stefan
Giessler, Stefan
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2021, 111
[3] Physical climate change and the sovereign risk of emerging economies
Boehm H.
Journal of Economic Structures, 11 (1)
[4] Commodity prices and capital movements in emerging economies
Farias, Eliene de Sa
de Mattos, Leonardo Bornacki
Vieira, Fabricio de Assis Campos
CEPAL REVIEW, 2022, (137): : 23 - 41
[5] TFP Growth and Commodity Prices in Emerging Economies
Kataryniuk, Ivan
Martinez-Martin, Jaime
EMERGING MARKETS FINANCE AND TRADE, 2019, 55 (10) : 2211 - 2229
[6] Sovereign tail risk
Lopez-Espinosa, German
Moreno, Antonio
Rubia, Antonio
Valderrama, Laura
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2017, 79 : 174 - 188
[7] Sovereign risk and procyclical fiscal policy in emerging market economies
Suzuki, Yui
JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT, 2015, 24 (02): : 247 - 280
[8] Commodity prices and exchange rates: evidence from commodity-dependent developed and emerging economies
Haider, Saba
Nazir, Mian Sajid
Jimenez, Alfredo
Qamar, Muhammad Ali Jibran
INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2023, 18 (01) : 241 - 271
[9] Commodity prices, inflation and inflation uncertainty among emerging economies
Abaidoo, Rexford
Agyapong, Elvis Kwame
JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2024, 40 (03) : 622 - 640
[10] World Commodity Prices and Economic Activity in Advanced and Emerging Economies
Liu, Jinan
Serletis, Apostolos
OPEN ECONOMIES REVIEW, 2022, 33 (02) : 347 - 374

← 1 2 3 4 5 →