Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries

被引：29
|
作者：
Liu, Chang [1 ,2 ]
Sun, Xiaolei [1 ]
Chen, Jianming [1 ]
Li, Jianping [1 ]
机构：
[1] Chinese Acad Sci, Inst Policy & Management, Beijing 100190, Peoples R China
[2] Univ Chinese Acad Sci, Beijing 100049, Peoples R China
来源：
ENERGY POLICY | 2016年 / 92卷
基金：
中国国家自然科学基金;
关键词：
Country risk rating; Oil price; Oil-exporting country; Volatility property; Country clustering; SYSTEMATIC-RISK; POLITICAL RISK; PANEL-DATA; MATTER; SHOCKS; INDEX;
D O I：
10.1016/j.enpol.2016.02.007
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stern from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on Cruces (2006). Secondly, considering the oil price volatility, numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil-exporting countries. Empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility. It is also found that the oil price volatility can obviously exaggerate the country risk volatility, as it happened during 2007-2009. Country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency. These features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations. (C) 2016 Elsevier Ltd. All rights reserved.
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页码：234 / 245
页数：12
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