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Risk Spillovers in Oil-Related CDS, Stock and Credit Markets

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dc.contributor.authorHammoudeh, Shawkat
dc.contributor.authorLiu, Tengdong
dc.contributor.authorChang, Chia-Lin
dc.contributor.authorMcAleer, Michael
dc.date.accessioned2023-06-20T09:13:00Z
dc.date.available2023-06-20T09:13:00Z
dc.date.issued2011-04
dc.descriptionFor financial support, the third author wishes to thank the National Science Council, Taiwan, and the fourth author wishes to thank the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.
dc.description.abstractThis 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 VIX. The 2007-2008 Great Recession seems to have led to “localization” and less migration of credit and market risk in the oil-related sectors.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedFALSE
dc.description.sponsorshipNational Science Council, Taiwan
dc.description.sponsorshipAustralian Research Council
dc.description.sponsorshipJapan Society for the Promotion of Science
dc.description.statusunpub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/12627
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/48992
dc.issue.number12
dc.language.isoeng
dc.page.total41
dc.publication.placeMadrid
dc.publisherFacultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
dc.relation.ispartofseriesDocumentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rightsAtribución-NoComercial 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttps://creativecommons.org/licenses/by-nc/3.0/es/
dc.subject.jelC13
dc.subject.jelC22
dc.subject.jelG1
dc.subject.jelG12
dc.subject.jelQ40
dc.subject.keywordRisk
dc.subject.keywordSectoral CDS
dc.subject.keywordVIX
dc.subject.keywordSMOVE
dc.subject.keywordMOVE
dc.subject.keywordAdjustments.
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5302 Econometría
dc.titleRisk Spillovers in Oil-Related CDS, Stock and Credit Markets
dc.typetechnical report
dc.volume.number2011
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