Oil Price Shocks and the Credit Default Swap Market
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DOI: 10.1007/s11079-017-9454-z
Abstract: We investigate the impact of supply and demand shocks in the global crude oil market on the CDX spread, in the context of a structural VAR model based on monthly data, over the period from… read more here.
Keywords: demand shocks; market; price; cdx spread ... See more keywords