Dynamic relationship of oil price shocks and country risks

Lee, Chi‐Chuan; Lee, Chien‐Chiang; Ning, Shao-Lin

doi:10.1016/j.eneco.2017.01.028

Cited by 132 publications

(58 citation statements)

References 43 publications

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“…Compare to other credit rating systems, e.g., Moody's and S&P ratings, the ICRG provides detailed and consistent monthly ratings for 140 countries dating back to 1984. In addition, the ICRG rating provides multidimensional assessments of country risk, which facilitate the comparative assessments for investors (Lee, Lee, & Ning, 2017b;Lee & Lee, 2018, 2019. It comprises of 22 variables, under three subcategories of risk.…”

Section: Data Descriptionmentioning

confidence: 99%

Income Inequality, Globalization, and Country Risk: A Cross-Country Analysis

Lee

Lien

2019

Technological and Economic Development of Economy

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Guided by the assessments of globalization in its broader sense, this paper explores the impact of globalization in terms of a salient aspect of economic, social and political on income inequality for a more comprehensive dataset of 121 countries from 1984 to 2014. We also investigate whether the correlations between globalization and inequality vary with economic, financial, and political country risk indicators. Our empirical results reveal that globalization deteriorates income distribution, but economic and financial stability can mitigate the adverse effect. In addition, lowerincome or non-OECD countries generally have higher inequality caused by globalization. Knowledge of these relationships can help the government to formulate more specific policies aiming at improving the income distribution.

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Section: Data Descriptionmentioning

confidence: 99%

Income Inequality, Globalization, and Country Risk: A Cross-Country Analysis

Lee

Lien

2019

Technological and Economic Development of Economy

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“…Shahzad et al (2017) show that the volatility of crude oil prices can predict the CDS spreads of oil-exporting countries. Lee et al (2017) show that country risk in oil-exporters (Canada, UK) is shaped by crude oil returns. Bouri et al (2019) show that the sovereign CDS spreads of MENA oil-exporters and importers are directionally predicted by shocks in oil prices and oil volatility.…”

Section: Research Backgroundmentioning

confidence: 99%

The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters

Bouri

2019

Risks

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We study the jump behaviour in the sovereign risks of major oil-exporting countries and examine whether it is affected by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect the presence of jumps in many oil exporters and find evidence of less frequent jumps in the crude oil market. The jumps in sovereign risks of oil-exporters are significantly affected by oil volatility jumps, not by oil price jumps. These findings suggest that the sovereign risks of oil-exporters are affected by abrupt movements in oil implied volatility, which points to a contagion effect. The findings are useful not only for refining the prediction of the sovereign risks of oil-exporters but also in reducing the potential effect of price discontinuity of sovereign risks on public finances sustainability and financial health.

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“…It is widely recognized that many economic activities consider energy as the most important required input in the productive process and as the economy is driven by increasing energy demands (Doran & Ronn, ; Gatfaoui, ; Lee, Lee, & Ning, ). As energy commodity price continue soaring and fluctuating, energy commodity futures have experienced an impressive increase in ﬁnancial investor demand to hedge price risk (Karali & Ramirez, ; Koch, ; Lubnau & Todorova, ).…”

Section: Introductionmentioning

confidence: 99%

Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

Lee

Lien

2018

Journal of Futures Markets

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Using an instrumental variable quantile regression technique, this paper assesses whether country risk and financial uncertainty exert an impact on energy commodity futures prices under different commodity conditional return distributions over the period from January 1994 to July 2017. We also discuss whether the correlations change with different dimensions of country risk, that is economic, financial, and political. The results reveal that country risk and financial stress do have a significant impact on energy commodity returns of futures contracts with different maturities, but their direction, intensity, and significance differ, caused by the distinct market situations and divergent channels of country risk.

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Dynamic relationship of oil price shocks and country risks

Cited by 132 publications

References 43 publications

Income Inequality, Globalization, and Country Risk: A Cross-Country Analysis

Income Inequality, Globalization, and Country Risk: A Cross-Country Analysis

The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters

Do country risk and ﬁnancial uncertainty matter for energy commodity futures?

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