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Oil prices and government bond risk premiums

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Date
2010-11
Publishing date
11-2010
Link to item file
http://halshs.archives-ouvertes.fr/halshs-00642191
Dewey
Economie financière
Sujet
Risque; Nouveaux pays industrialisés; Dettes publiques; Huiles minérales; Prix; Oil prices; sovereign debt,; risk premium
JEL code
H63; F30; G12; G15
URI
https://basepub.dauphine.fr/handle/123456789/12053
Collections
  • DRM : Publications
Metadata
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Author
Alexandre, Hervé
De Benoist, Antonin
Type
Document de travail / Working paper
Item number of pages
31
Abstract (EN)
This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of seventeen countries, from 1998 to 2008. An analysis in time series has been carried out on each country. Then we use a panel analysis to determine the global impact of oil prices on the risk perceptions of investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show that the oil price influences the risk premiums of sovereign bonds, along with the price volatility that increases the accuracy of the model.

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