ダウンロード数: 286

このアイテムのファイル:
ファイル 記述 サイズフォーマット 
DP772.pdf494.31 kBAdobe PDF見る/開く
タイトル: Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
著者: Hammoudeh, Shawkat
Liu, Tengdong
Chang, Chia-Lin
McAleer, Michael
キーワード: Risk
Sectoral CDS
VIX
SMOVE
MOVE
Adjustments
発行日: Apr-2011
出版者: Institute of Economic Research, Kyoto University
誌名: KIER Discussion Paper
巻: 772
抄録: 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 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.
URI: http://hdl.handle.net/2433/139544
関連リンク: http://ideas.repec.org/p/kyo/wpaper/772.html
出現コレクション:KIER Discussion Paper (英文版)

アイテムの詳細レコードを表示する

Export to RefWorks


出力フォーマット 


このリポジトリに保管されているアイテムはすべて著作権により保護されています。