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

[31] Transmission of sovereign risk in the Euro crisis
Brutti, Filippo
Saure, Philip
JOURNAL OF INTERNATIONAL ECONOMICS, 2015, 97 (02) : 231 - 248
[32] Risk Analysis on the Developed Economies' Sovereign Debt Crisis
Zhang Monan
China International Studies, 2010, (05) : 150 - 162
[33] News and sovereign default risk in small open economies
Durdu, C. Bora
Nunes, Ricardo
Sapriza, Horacio
JOURNAL OF INTERNATIONAL ECONOMICS, 2013, 91 (01) : 1 - 17
[34] Sovereign debt risk in emerging market economies: Does inflation targeting adoption make any difference?
Balima, Weneyam Hippolyte
Combes, Jean-Louis
Minea, Alexandru
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2017, 70 : 360 - 377
[35] Sovereign Risk and Natural Disasters in Emerging Markets
Klomp, Jeroen
EMERGING MARKETS FINANCE AND TRADE, 2015, 51 (06) : 1326 - 1341
[36] Asset Prices and Risk Sharing in Open Economies
Stathopoulos, Andreas
REVIEW OF FINANCIAL STUDIES, 2017, 30 (02): : 363 - 415
[37] SOVEREIGN RISK DEPENDENCE PATTERN IN EMERGING EUROPE
Gaiduchevici, Gabriel
PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON INFORMATICS IN ECONOMY (IE 2015): EDUCATION, RESEARCH & BUSINESS TECHNOLOGIES, 2015, : 504 - 509
[38] International risk sharing in emerging economies
Yepez, Carlos A.
INTERNATIONAL FINANCE, 2020, 23 (03) : 434 - 459
[39] RAW MATERIAL PRICES AND SOVEREIGN SPREAD IN EMERGING ECONOMIES. HOW IMPORTANT IS THE CONCENTRATION OF EXPORTS?
Munoz S, Ercio
ECONOMIA CHILENA, 2013, 16 (01): : 100 - 121
[40] The tail risk of emerging stock markets
Li, Xiao-Ming
Rose, Lawrence C.
EMERGING MARKETS REVIEW, 2009, 10 (04) : 242 - 256

← 1 2 3 4 5 →