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

被引：11
|
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.
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页数：15
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