Template-Type: ReDIF-Article 1.0 
Author-Name: Aktham Maghyereh
Author-Name:  Abdel Razzaq Al Rababa'a
Author-Name:  Salem Adel Ziadat
Author-Email:  a.almaghaireh@uaeu.ac.ae
Author-Workplace-Name:  Department of Accounting & Finance, United Arab Emirates University, United Arab Emirates
Title: Re-examining the Impact of Oil Price Uncertainty on Sovereign CDS Spread of GCC Countries - Accounting for the Asymmetry and Outliers
Abstract:  We examine the effect of oil price uncertainty on sovereign credit risks in Gulf Cooperation Council (GCC) countries. Unlike past studies, we employ a structural vector autoregression with multivariate GARCH-in-mean (VAR-GARCH-in-mean) approach after filtering out outliers in the observed series. The findings show that uncertainty in the oil market has a positive impact on the sovereign Credit Default Swap (CDS) spreads of the GCC countries. Furthermore, we find that GCC sovereign CDS spreads react asymmetrically to positive and negative oil price shocks.
Classification-JEL:  G32
Keywords:  Sovereign credit risk, Oil price uncertainty, VAR-GARCH-in-mean, GCC countries
Journal:  Energy RESEARCH LETTERS
Pages: 1-6
Volume: 5
Issue: 1
Year:  2024
DOI:  2024/07/10
File-URL:  https://erl.scholasticahq.com/api/v1/articles/77902-re-examining-the-impact-of-oil-price-uncertainty-on-sovereign-cds-spread-of-gcc-countries-accounting-for-the-asymmetry-and-outliers.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnerl:96