How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.101350
Abstract: Abstract Based on the GARCH Copula-CoVaR model, this paper explores the behavior of sovereign CDS spreads under extreme oil price movements by taking G7 and BRICS countries as examples. We reveal that the upside/downside CoVaR… read more here.
Keywords: brics countries; extreme oil; price movements; oil price ... See more keywords