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Journal article
Risk spillovers in oil-related CDS, stock and credit markets
Energy economics, v 36, pp 526-535
01 Mar 2013
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil-related Credit Default Swaps (CDS) indexes, the (expected equity volatility) VIX index and the (swaption expected volatility) SMOVE index for the full period than for the recovery subperiod. The auto sector CDS spread is the most error-correcting in the long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly regulated, natural monopoly utility sector does not error correct. The four oil-related CDS spread indexes are responsive to VIX in the short- and long-run, while no index is sensitive to SMOVE which, in turn, unilaterally assembles risk migration from VDC The 2007-2008 Great Recession seems to have led to "localization" and less migration of credit and market risk in the oil-related sectors. (C) 2012 Elsevier B.V. All rights reserved.
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Details
- Title
- Risk spillovers in oil-related CDS, stock and credit markets
- Creators
- Shawkat Hammoudeh - Drexel UniversityTengdong Liu - Drexel UniversityChia-Lin Chang - National Chung Hsing UniversityMichael McAleer - Complutense University of Madrid
- Publication Details
- Energy economics, v 36, pp 526-535
- Publisher
- Elsevier
- Number of pages
- 10
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000316240100048
- Scopus ID
- 2-s2.0-84874307014
- Other Identifier
- 991019167797404721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics