Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach
Abstract
:1. Introduction
2. Literature Review
3. Methodology
3.1. CDS as a Credit Risk Measure
3.2. Bayesian Model Averaging
4. Data
5. Baseline Results
6. Sensitivity Analysis
7. Shale Oil and Gas Firms
8. Conclusions
Author Contributions
Funding
Acknowledgments
Conflicts of Interest
References
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Sample Considered | Companies with 5Y CDS Spreads |
---|---|
Oil & gas industry in the US and Canada (baseline sample) | 36 companies: Anadarko Petroleum Corp, Andeavor Corp, Apache Corp, Canadian Natural Resources Ltd., Chevron Corp, ConocoPhillips, Continental Resources Inc./OK, Devon Energy Corp, EOG Resources Inc., ETC Sunoco Holdings LLC, Enbridge Energy Partners LP, Enbridge Inc., Energy Transfer LP, Energy Transfer Operating LP, Enterprise Products Operating LLC, Exxon Mobil Corp, Hess Corp, Kinder Morgan Energy Partners LP, Kinder Morgan Inc., Magellan Midstream Partners LP, Marathon Oil Corp, MarkWest Energy Partners LP, Murphy Oil Corp, Newfield Exploration Co, Noble Energy Inc., ONEOK Inc., ONEOK Partners LP, Occidental Petroleum Corp, Ovintiv Canada ULC, Pioneer Natural Resources Co, Sabine Pass Liquefaction LLC, Spectra Energy Capital LLC, Targa Resources Partners LP, TransCanada PipeLines Ltd., Valero Energy Corp, Williams Cos Inc./The. |
Shale industry in the US and Canada (shale sample) | 21 companies: Anadarko Petroleum Corp, Andeavor Corp, Apache Corp, ConocoPhillips, Continental Resources Inc./OK, Devon Energy Corp, EOG Resources Inc., Enbridge Energy Partners LP, Enbridge Inc., Hess Corp, Marathon Oil Corp, Murphy Oil Corp, Newfield Exploration Co, Noble Energy Inc., ONEOK Inc., ONEOK Partners LP, Occidental Petroleum Corp, Ovintiv Canada ULC, Pioneer Natural Resources Co, Targa Resources Partners LP, Williams Cos Inc./The. |
Mean | SD | Min. | Max. | Skew. | Kurt. | ADF | |
---|---|---|---|---|---|---|---|
Anadarko Petroleum Corp | 0.01 | 0.17 | −1.07 | 1.19 | 1.34 | 26.26 | −5.23 |
Andeavor Corp | 0.00 | 0.11 | −0.82 | 0.76 | −0.39 | 29.07 | −4.32 |
Apache Corp | 0.00 | 0.14 | −0.75 | 1.20 | 3.01 | 40.23 | −5.57 |
Canadian Natural Resources Ltd. | 0.00 | 0.12 | −0.34 | 1.06 | 3.45 | 32.08 | −4.81 |
Chevron Corp | 0.01 | 0.10 | −0.18 | 0.76 | 4.25 | 31.74 | −4.63 |
ConocoPhillips | 0.00 | 0.18 | −1.49 | 1.37 | −0.72 | 48.07 | −6.52 |
Continental Resources Inc./OK | 0.00 | 0.09 | −0.32 | 0.76 | 3.80 | 34.90 | −5.06 |
Devon Energy Corp | 0.00 | 0.13 | −0.52 | 1.04 | 2.73 | 25.52 | −5.71 |
EOG Resources Inc. | 0.01 | 0.09 | −0.18 | 0.76 | 4.26 | 33.27 | −4.63 |
ETC Sunoco Holdings LLC | 0.01 | 0.07 | −0.18 | 0.76 | 5.96 | 61.30 | −4.70 |
Enbridge Energy Partners LP | 0.00 | 0.02 | −0.18 | 0.18 | 0.29 | 38.82 | −8.15 |
Enbridge Inc. | 0.00 | 0.10 | −0.36 | 0.82 | 2.84 | 25.24 | −4.88 |
Energy Transfer LP | 0.00 | 0.09 | −0.45 | 0.76 | 2.69 | 34.93 | −5.24 |
Energy Transfer Operating LP | 0.00 | 0.13 | −0.69 | 0.79 | 0.10 | 17.21 | −6.42 |
Enterprise Products Operating LLC | −0.01 | 0.04 | −0.37 | 0.32 | −1.37 | 42.29 | −6.90 |
Exxon Mobil Corp | 0.01 | 0.18 | −1.16 | 1.36 | 1.08 | 33.78 | −6.73 |
Hess Corp | 0.00 | 0.13 | −0.44 | 1.05 | 3.00 | 29.13 | −4.78 |
Kinder Morgan Energy Partners LP | 0.00 | 0.10 | −0.47 | 0.73 | 1.68 | 20.15 | −5.79 |
Kinder Morgan Inc. | 0.00 | 0.12 | −0.70 | 0.97 | 1.93 | 35.47 | −5.25 |
Magellan Midstream Partners LP | 0.01 | 0.09 | −0.18 | 0.76 | 4.20 | 33.17 | −4.58 |
Marathon Oil Corp | 0.00 | 0.11 | −0.42 | 0.98 | 3.96 | 35.67 | −6.29 |
MarkWest Energy Partners LP | 0.00 | 0.10 | −0.81 | 0.76 | −0.55 | 48.12 | −5.53 |
Murphy Oil Corp | 0.00 | 0.14 | −1.06 | 1.12 | 0.72 | 39.38 | −4.99 |
Newfield Exploration Co | 0.00 | 0.09 | −0.55 | 0.76 | 2.12 | 32.09 | −5.55 |
Noble Energy Inc. | 0.00 | 0.09 | −0.33 | 0.76 | 3.33 | 32.80 | −5.48 |
ONEOK Inc. | 0.00 | 0.15 | −0.69 | 0.89 | 0.53 | 16.22 | −5.68 |
ONEOK Partners LP | 0.00 | 0.13 | −0.75 | 1.04 | 3.96 | 46.95 | −5.82 |
Occidental Petroleum Corp | 0.01 | 0.15 | −0.25 | 1.75 | 8.62 | 96.17 | −5.49 |
Ovintiv Canada ULC | 0.00 | 0.09 | −0.29 | 0.57 | 1.47 | 10.55 | −4.91 |
Pioneer Natural Resources Co | 0.00 | 0.08 | −0.16 | 0.76 | 5.09 | 48.41 | −5.60 |
Sabine Pass Liquefaction LLC | −0.01 | 0.11 | −0.89 | 0.76 | −1.31 | 36.44 | −5.51 |
Spectra Energy Capital LLC | 0.00 | 0.03 | −0.22 | 0.23 | −0.24 | 28.22 | −4.81 |
Targa Resources Partners LP | 0.00 | 0.09 | −0.71 | 0.76 | 0.64 | 44.73 | −5.53 |
TransCanada PipeLines Ltd. | 0.00 | 0.06 | −0.56 | 0.45 | −1.60 | 47.65 | −5.43 |
Valero Energy Corp | 0.00 | 0.16 | −0.89 | 0.82 | 0.54 | 12.79 | −6.30 |
Williams Cos Inc./The | 0.00 | 0.13 | −0.82 | 0.94 | 1.04 | 27.36 | −6.41 |
Variable | Description | Category | Transformation | Source |
---|---|---|---|---|
CDS5Y | Credit Default Swap (5Y Tenor) | CDS | Bloomberg | |
OIL:PRICES | Crude Oil Futures Prices (New York Mercantile Exchange) | Oil market fundamentals | Bloomberg | |
OIL:SPREAD | Spread between the WTI price and the Brent Price | Oil market fundamentals | Bloomberg | |
OIL:PROD | US DOE Crude Oil Total Production | Oil market fundamentals | Bloomberg | |
OIL:INV | US DOE Crude Oil Inventory Data (excluding Strategic Petroleum Reserve) | Oil market fundamentals | Bloomberg | |
OIL:RIGS | US Active Oil Rotary Rigs | Oil market fundamentals | Bloomberg | |
ACT:ADS | ADS US Business Conditions Index | Real activity | 0–1 | Aruoba et al. [52] |
ACT:BDI | Baltic Exchange Dry Index | Real activity | Bloomberg | |
ACT:REC | Recession Indicator for the US (NBER dates) | Real activity | 0–1 | FRED |
COM:GAS | Natural Gas Futures Prices (New York Mercantile Exchange) | Commodity prices | Bloomberg | |
COM:IN | S&P GSCI Industrial Metals Index | Commodity prices | Bloomberg | |
COM:COP | Copper Futures Prices (Chicage Mercantile Exchange) | Commodity prices | Bloomberg | |
COM:IOE | Iron Ore Futures Prices (Dalian Commodity Exchange) | Commodity prices | Bloomberg | |
COM:ALU | Aluminium Futures Prices (London Metals Exchange) | Commodity prices | Bloomberg | |
COM:SRB | Steel Rebart Futures Prices (London Metals Exchange) | Commodity prices | Bloomberg | |
UNC:OVX | Oil Prices Implied Volatility (CBOE Estimates Based on Option Prices) | Uncertainty | Bloomberg | |
UNC:GVX | Natural Gas Prices Implied Volatility (Bloomberg estimates) | Uncertainty | Bloomberg | |
UNC:OSIG | Oil Prices Historical Volatility (GARCH estimates) | Uncertainty | Own | |
UNC:GSIG | Natural Gas Prices Historical Volatility (GARCH estimates) | Uncertainty | Own | |
UNC:GLD | Gold Spot Prices | Uncertainty | Bloomberg | |
UNC:SUR | Citi Economic Surprise Index for Global Economy | Uncertainty | Bloomberg | |
UNC:EPU | US Economic Policy Uncertainty Index by Baker et al. [58] | Uncertainty | Bloomberg | |
UNC:USD | US Dollar Index | Uncertainty | Bloomberg | |
FIN:NFCI | National Financial Conditions Index | Financial conditions | FRED | |
FIN:ANFCI | Adjusted National Financial Conditions Index | Financial conditions | FRED | |
FIN:NFCIR | National Financial Conditions Index—Risk Subindex | Financial conditions | FRED | |
FIN:NFCIL | National Financial Conditions Index—Leverage Subindex | Financial conditions | FRED | |
FIN:NFCIC | National Financial Conditions Index—Credit Subindex | Financial conditions | FRED | |
MP:FFR | US Federal Funds Effective Rate | Monetary policy | Bloomberg | |
OE:250517 | Extending the adjustment period (25 May 2017, 172nd OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OE:301117 | Extending the adjustment period (30 November 2017, 173rd OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OI:220618 | End of the pact (22 June 2018, 174th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OC:061218 | New supply cut (6 December 2018, 175th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OE:010719 | Extending the adjustment period (1 July 2019, 176th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OC:051219 | New supply cut (5 December 2019, 177th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OF:050320 | End of the pact (5 March 2020, 178th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OC:090420 | New supply cut (9 April 2020, 179th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OE:060620 | Extending the adjustment period (6th of June, 2020, 180th OPEC meeting) | OPEC decisions | 0–1 | OPEC |
OE:150720 | Easing of the production cuts (15 July 2020, OPEC+ decision) | OPEC decisions | 0–1 | OPEC |
Mean | SD | Min. | Max. | Skew. | Kurt. | ADF | |
---|---|---|---|---|---|---|---|
OIL:PRICES | 0.00 | 0.17 | −1.63 | 1.39 | −1.86 | 73.40 | −5.46 |
OIL:SPREAD | 0.00 | 0.73 | −3.19 | 3.27 | 0.52 | 7.00 | −6.74 |
OIL:PROD | 0.00 | 0.02 | −0.12 | 0.12 | −0.21 | 21.38 | −5.06 |
OIL:INV | 0.00 | 0.01 | −0.03 | 0.04 | 0.14 | 2.96 | −4.27 |
OIL:RIGS | −0.01 | 0.03 | −0.15 | 0.05 | −3.06 | 13.89 | −4.78 |
ACT:ADS | 0.37 | 0.48 | 0.00 | 1.00 | 0.56 | 1.31 | N/A |
ACT:BDI | 0.00 | 0.10 | −0.30 | 0.48 | 0.45 | 5.42 | −5.53 |
ACT:REC | 0.12 | 0.32 | 0.00 | 1.00 | 2.36 | 6.58 | N/A |
COM:GAS | 0.00 | 0.05 | −0.16 | 0.16 | −0.08 | 4.37 | −6.63 |
COM:IN | 0.00 | 0.02 | −0.07 | 0.04 | −0.41 | 3.88 | −5.43 |
COM:COP | 0.00 | 0.02 | −0.10 | 0.05 | −0.82 | 6.41 | −5.17 |
COM:IOE | 0.00 | 0.05 | −0.16 | 0.14 | −0.73 | 5.24 | −5.75 |
COM:ALU | 0.00 | 0.02 | −0.09 | 0.13 | 0.87 | 8.71 | −6.06 |
COM:SRB | 0.00 | 0.02 | −0.07 | 0.10 | 0.72 | 7.96 | −5.57 |
UNC:OVX | 0.00 | 0.12 | −0.43 | 0.74 | 2.22 | 16.61 | −4.13 |
UNC:GVX | 0.00 | 0.08 | −0.30 | 0.44 | 0.64 | 10.37 | −4.28 |
UNC:OSIG | −0.01 | 0.35 | −0.84 | 2.10 | 1.54 | 11.04 | −6.34 |
UNC:GSIG | 0.00 | 0.17 | −0.22 | 0.74 | 1.78 | 6.63 | −6.69 |
UNC:GLD | 0.00 | 0.01 | −0.07 | 0.07 | 0.11 | 8.72 | −4.83 |
UNC:SUR | 0.26 | 5.90 | −20.72 | 28.98 | 0.86 | 7.87 | −3.94 |
UNC:EPU | 0.00 | 0.27 | −0.85 | 1.04 | 0.39 | 4.63 | −6.36 |
UNC:USD | 0.00 | 0.01 | −0.02 | 0.04 | 0.89 | 9.16 | −4.73 |
FIN:NFCI | 0.00 | 0.04 | −0.12 | 0.19 | 2.14 | 15.83 | −3.97 |
FIN:ANFCI | 0.00 | 0.04 | −0.10 | 0.28 | 3.52 | 22.50 | −3.74 |
FIN:NFCIR | 0.00 | 0.03 | −0.11 | 0.16 | 1.62 | 13.51 | −3.82 |
FIN:NFCIL | 0.00 | 0.02 | −0.05 | 0.12 | 2.26 | 11.89 | −5.41 |
FIN:NFCIC | 0.00 | 0.03 | −0.09 | 0.14 | 1.87 | 13.07 | −4.46 |
MP:FFR | 0.00 | 0.08 | −0.87 | 0.16 | −6.51 | 67.65 | −5.41 |
Estimates on 8 January 2017–2 August 2020 | Estimates on 8 January 2017–29 December 2019 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Variable | PIP | PM | PM Conf. bd. | PSD | CPS | PIP | PM | PM Conf. bd. | PSD | CPS |
COM:GAS | 1.000 | −0.164 * | [−0.219, −0.109] | 0.028 | 0.000 | 1.000 | −0.139 * | [−0.192, −0.088] | 0.027 | 0.000 |
UNC:OVX | 1.000 | 0.129 * | [0.103, 0.156] | 0.014 | 1.000 | 0.956 | 0.075 * | [0.039, 0.110] | 0.018 | 1.000 |
OF:050320 | 1.000 | 0.370 * | [0.318, 0.417] | 0.025 | 1.000 | N/A | ||||
OE:060620 | 1.000 | 0.123 * | [0.079, 0.166] | 0.022 | 1.000 | N/A | ||||
COM:SRB | 1.000 | −0.375 * | [−0.507, −0.242] | 0.068 | 0.000 | 0.264 | −0.156 * | [−0.267, −0.044] | 0.057 | 0.000 |
UNC:OSIG | 0.906 | 0.016 * | [0.008, 0.025] | 0.004 | 1.000 | 0.537 | 0.014 * | [0.005, 0.023] | 0.004 | 1.000 |
ACT:REC | 0.903 | 0.034 * | [0.018, 0.049] | 0.008 | 1.000 | N/A | ||||
OIL:RIGS | 0.900 | 0.363 * | [0.198, 0.528] | 0.085 | 1.000 | 0.013 | −0.083 | [−0.294, 0.129] | 0.108 | 0.050 |
COM:IOE | 0.891 | −0.106 * | [−0.162, −0.050] | 0.029 | 0.000 | 0.372 | −0.069 * | [−0.115, −0.023] | 0.024 | 0.000 |
FIN:NFCI | 0.809 | 0.585 * | [0.292, 0.800] | 0.130 | 1.000 | 0.938 | 0.898 * | [0.424, 1.210] | 0.190 | 1.000 |
OC:090420 | 0.804 | −0.071 * | [−0.110, −0.032] | 0.020 | 0.000 | N/A | ||||
UNC:SUR | 0.772 | −0.001 * | [−0.002, 0.000] | 0.000 | 0.000 | 1.000 | −0.002 * | [−0.002, −0.001] | 0.000 | 0.000 |
COM:IN | 0.761 | −0.588 * | [−0.768, −0.403] | 0.105 | 0.003 | 0.816 | −0.351 * | [−0.586, −0.181] | 0.101 | 0.000 |
FIN:NFCIL | 0.658 | −0.333 * | [−0.528, −0.137] | 0.100 | 0.000 | 0.380 | −0.348 * | [−0.577, −0.117] | 0.118 | 0.000 |
OI:150720 | 0.445 | 0.057 * | [0.020, 0.095] | 0.019 | 1.000 | N/A | ||||
UNC:GLD | 0.363 | 0.284 * | [0.093, 0.477] | 0.098 | 1.000 | 0.993 | 0.578 * | [0.303, 0.831] | 0.134 | 1.000 |
OIL:INV | 0.314 | 0.329 * | [0.099, 0.558] | 0.117 | 1.000 | 0.165 | 0.256 * | [0.055, 0.459] | 0.103 | 1.000 |
MP:FFR | 0.267 | 0.065 * | [0.017, 0.112] | 0.024 | 1.000 | 0.010 | −0.011 | [−0.056, 0.034] | 0.023 | 0.070 |
FIN:ANFCI | 0.259 | 0.275 * | [0.066, 0.505] | 0.112 | 1.000 | 0.023 | 0.149 | [−0.063, 0.360] | 0.108 | 1.000 |
COM:ALU | 0.250 | −0.252 * | [−0.394, −0.089] | 0.077 | 0.000 | 0.055 | 0.154 | [−0.075, 0.331] | 0.100 | 0.942 |
COM:COP | 0.245 | −0.330 * | [−0.514, −0.126] | 0.101 | 0.000 | 0.186 | −0.275 * | [−0.438, −0.079] | 0.091 | 0.003 |
FIN:NFCIR | 0.138 | 0.364 * | [0.068, 0.622] | 0.145 | 0.999 | 0.209 | 0.456 * | [0.097, 0.840] | 0.205 | 1.000 |
OIL:PROD | 0.129 | −0.161 * | [−0.293, −0.028] | 0.068 | 0.000 | 0.026 | −0.084 | [−0.194, 0.025] | 0.056 | 0.000 |
FIN:NFCIC | 0.088 | 0.425 * | [0.017, 0.809] | 0.203 | 0.994 | 0.021 | 0.254 | [−0.176, 0.645] | 0.217 | 0.998 |
ACT:ADS | 0.042 | −0.006 | [−0.012, 0.001] | 0.003 | 0.010 | 0.185 | 0.007 * | [0.002, 0.011] | 0.003 | 1.000 |
OIL:SPREAD | 0.041 | 0.003 | [0.000, 0.007] | 0.002 | 1.000 | 0.032 | 0.003 | [−0.001, 0.006] | 0.002 | 1.000 |
ACT:BDI | 0.031 | 0.026 | [−0.011, 0.062] | 0.019 | 0.987 | 0.993 | 0.063 * | [0.035, 0.091] | 0.014 | 1.000 |
UNC:GVX | 0.024 | 0.028 | [−0.011, 0.066] | 0.020 | 1.000 | 0.096 | 0.040 * | [0.004, 0.076] | 0.019 | 1.000 |
UNC:USD | 0.020 | 0.292 | [−0.315, 0.875] | 0.312 | 0.835 | 0.879 | 0.877 * | [0.411, 1.350] | 0.240 | 1.000 |
OI:220618 | 0.019 | −0.023 | [−0.060, 0.014] | 0.019 | 0.001 | 0.011 | 0.009 | [−0.020, 0.037] | 0.015 | 0.921 |
OIL:PRICES | 0.019 | 0.013 | [−0.010, 0.037] | 0.012 | 0.992 | 1.000 | −0.547 * | [−0.631, −0.465] | 0.042 | 0.000 |
OC:061218 | 0.014 | −0.017 | [−0.052, 0.018] | 0.018 | 0.000 | 0.011 | −0.010 | [−0.040, 0.020] | 0.015 | 0.066 |
UNC:EPU | 0.014 | 0.004 | [−0.007, 0.015] | 0.005 | 0.956 | 0.023 | −0.006 | [−0.014, 0.002] | 0.004 | 0.001 |
OC:051219 | 0.013 | 0.017 | [−0.018, 0.051] | 0.017 | 1.000 | 0.010 | −0.008 | [−0.035, 0.020] | 0.014 | 0.061 |
OE:010719 | 0.013 | −0.014 | [−0.049, 0.020] | 0.018 | 0.001 | 0.856 | −0.053 * | [−0.081, −0.024] | 0.015 | 0.000 |
UNC:GSIG | 0.011 | −0.005 | [−0.020, 0.011] | 0.008 | 0.011 | 0.018 | −0.009 | [−0.024, 0.006] | 0.008 | 0.002 |
OE:301117 | 0.009 | −0.001 | [−0.035, 0.034] | 0.018 | 0.379 | 0.013 | −0.012 | [−0.039, 0.015] | 0.014 | 0.004 |
OE:250517 | 0.009 | 0.002 | [−0.032, 0.035] | 0.017 | 0.610 | 0.016 | 0.015 | [−0.012, 0.041] | 0.014 | 1.000 |
(Intercept) | 1.000 | −0.002 | [0.000, 0.000] | 0.000 | 0.000 | 1.000 | 0.000 | [0.000, 0.000] | 0.000 | 0.000 |
Shale Sample (8 January 2017–2 August 2020) | Baseline Sample (8 January 2017–2 August 2020) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Variable | PIP | PM | PM Conf. bd. | PSD | CPS | PIP | PM | PM Conf. bd. | PSD | CPS |
UNC:OVX | 1.000 | 0.119 * | [0.083, 0.158] | 0.019 | 1.000 | 1.000 | 0.138 * | [0.110, 0.166] | 0.014 | 1.000 |
OF:050320 | 1.000 | 0.226 * | [0.185, 0.263] | 0.020 | 1.000 | 1.000 | 0.236 * | [0.203, 0.266] | 0.016 | 1.000 |
OE:060620 | 1.000 | 0.099 * | [0.065, 0.131] | 0.017 | 1.000 | 1.000 | 0.079 * | [0.050, 0.106] | 0.014 | 1.000 |
COM:SRB | 0.999 | −0.074 * | [−0.104, −0.044] | 0.015 | 0.000 | 1.000 | −0.065 * | [−0.089, −0.042] | 0.012 | 0.000 |
OC:090420 | 0.998 | −0.078 * | [−0.110, −0.046] | 0.016 | 0.000 | 0.804 | −0.045 * | [−0.070, −0.020] | 0.013 | 0.000 |
OI:150720 | 0.995 | 0.074 * | [0.042, 0.104] | 0.016 | 1.000 | 0.445 | 0.037 * | [0.013, 0.061] | 0.012 | 1.000 |
COM:GAS | 0.987 | −0.065 * | [−0.095, −0.035] | 0.015 | 0.000 | 1.000 | −0.071 * | [−0.095, −0.047] | 0.012 | 0.000 |
UNC:GLD | 0.967 | 0.064 * | [0.033, 0.095] | 0.016 | 1.000 | 0.363 | 0.036 * | [0.012, 0.061] | 0.013 | 1.000 |
COM:IN | 0.928 | −0.108 * | [−0.141, −0.072] | 0.018 | 0.000 | 0.761 | −0.091 * | [−0.119, −0.062] | 0.016 | 0.003 |
UNC:SUR | 0.851 | −0.071 * | [−0.106, −0.033] | 0.018 | 0.000 | 0.772 | −0.055 * | [−0.085, −0.024] | 0.016 | 0.000 |
FIN:NFCI | 0.774 | 0.183 * | [0.080, 0.253] | 0.038 | 1.000 | 0.809 | 0.182 * | [0.091, 0.249] | 0.041 | 1.000 |
COM:IOE | 0.401 | −0.044 * | [−0.073, −0.015] | 0.015 | 0.000 | 0.891 | −0.042 * | [−0.065, −0.020] | 0.011 | 0.000 |
FIN:ANFCI | 0.304 | 0.143 * | [0.034, 0.235] | 0.059 | 1.000 | 0.259 | 0.106 * | [0.025, 0.195] | 0.043 | 1.000 |
ACT:REC | 0.229 | 0.058 | [0.012, 0.129] | 0.031 | 1.000 | 0.903 | 0.095 * | [0.051, 0.139] | 0.022 | 1.000 |
UNC:OSIG | 0.160 | 0.040 * | [0.008, 0.072] | 0.016 | 1.000 | 0.906 | 0.049 * | [0.023, 0.076] | 0.014 | 1.000 |
FIN:NFCIC | 0.096 | 0.118 * | [0.004, 0.216] | 0.058 | 0.999 | 0.088 | 0.110 * | [0.004, 0.209] | 0.053 | 0.994 |
COM:ALU | 0.087 | −0.065 * | [−0.109, −0.004] | 0.026 | 0.000 | 0.250 | −0.051 * | [−0.080, −0.018] | 0.016 | 0.000 |
FIN:NFCIL | 0.085 | −0.060 * | [−0.113, −0.005] | 0.027 | 0.002 | 0.658 | −0.070 * | [−0.111, −0.029] | 0.021 | 0.000 |
OIL:RIGS | 0.080 | 0.068 * | [−0.009, 0.127] | 0.034 | 0.951 | 0.900 | 0.091 * | [0.050, 0.133] | 0.021 | 1.000 |
OIL:INV | 0.078 | 0.035 * | [0.003, 0.066] | 0.016 | 1.000 | 0.314 | 0.035 * | [0.011, 0.060] | 0.013 | 1.000 |
OIL:PROD | 0.061 | −0.030 | [−0.059, −0.001] | 0.015 | 0.000 | 0.129 | −0.027 * | [−0.050, −0.005] | 0.012 | 0.000 |
COM:COP | 0.054 | −0.056 | [−0.104, 0.022] | 0.031 | 0.038 | 0.245 | −0.059 * | [−0.093, −0.023] | 0.018 | 0.000 |
OIL:SPREAD | 0.052 | 0.030 | [−0.001, 0.059] | 0.015 | 1.000 | 0.041 | 0.021 | [−0.002, 0.045] | 0.012 | 1.000 |
ACT:BDI | 0.043 | 0.032 | [−0.006, 0.066] | 0.018 | 0.994 | 0.031 | 0.023 | [−0.009, 0.054] | 0.016 | 0.987 |
FIN:NFCIR | 0.034 | 0.067 | [−0.069, 0.180] | 0.058 | 0.859 | 0.138 | 0.103 * | [0.019, 0.176] | 0.041 | 0.999 |
OIL:PRICES | 0.032 | 0.034 | [−0.007, 0.074] | 0.021 | 1.000 | 0.019 | 0.020 | [−0.014, 0.055] | 0.018 | 0.992 |
MP:FFR | 0.025 | 0.034 | [−0.019, 0.086] | 0.028 | 0.948 | 0.267 | 0.047 * | [0.013, 0.081] | 0.018 | 1.000 |
OC:061218 | 0.019 | −0.019 | [−0.047, 0.010] | 0.015 | 0.000 | 0.014 | −0.011 | [−0.033, 0.011] | 0.011 | 0.000 |
UNC:EPU | 0.014 | 0.015 | [−0.016, 0.047] | 0.016 | 0.999 | 0.014 | 0.010 | [−0.015, 0.035] | 0.013 | 0.956 |
OI:220618 | 0.013 | −0.012 | [−0.042, 0.017] | 0.015 | 0.001 | 0.019 | −0.015 | [−0.039, 0.009] | 0.012 | 0.001 |
OE:010719 | 0.012 | −0.012 | [−0.040, 0.016] | 0.014 | 0.002 | 0.013 | −0.009 | [−0.031, 0.013] | 0.011 | 0.001 |
ACT:ADS | 0.012 | −0.008 | [−0.050, 0.031] | 0.021 | 0.390 | 0.042 | −0.024 | [−0.050, 0.003] | 0.014 | 0.010 |
OE:301117 | 0.011 | −0.011 | [−0.039, 0.017] | 0.014 | 0.009 | 0.009 | −0.001 | [−0.023, 0.021] | 0.011 | 0.379 |
OC:051219 | 0.011 | 0.010 | [−0.019, 0.039] | 0.015 | 1.000 | 0.013 | 0.011 | [−0.011, 0.032] | 0.011 | 1.000 |
UNC:USD | 0.010 | 0.005 | [−0.039, 0.043] | 0.021 | 0.903 | 0.020 | 0.017 | [−0.019, 0.053] | 0.019 | 0.835 |
UNC:GVX | 0.010 | 0.009 | [−0.023, 0.040] | 0.016 | 0.972 | 0.024 | 0.018 | [−0.008, 0.044] | 0.013 | 1.000 |
UNC:GSIG | 0.009 | 0.002 | [−0.028, 0.031] | 0.015 | 0.526 | 0.011 | −0.007 | [−0.029, 0.016] | 0.012 | 0.011 |
OE:250517 | 0.009 | 0.000 | [−0.027, 0.028] | 0.014 | 0.464 | 0.009 | 0.001 | [−0.020, 0.022] | 0.011 | 0.610 |
(Intercept) | 1.000 | −0.023 | [0.000, 0.000] | 0.000 | 0.000 | 1.000 | −0.022 | [0.000, 0.000] | 0.000 | 0.000 |
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Szafranek, K.; Kwas, M.; Szafrański, G.; Wośko, Z. Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach. Energies 2020, 13, 6327. https://doi.org/10.3390/en13236327
Szafranek K, Kwas M, Szafrański G, Wośko Z. Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach. Energies. 2020; 13(23):6327. https://doi.org/10.3390/en13236327
Chicago/Turabian StyleSzafranek, Karol, Marek Kwas, Grzegorz Szafrański, and Zuzanna Wośko. 2020. "Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach" Energies 13, no. 23: 6327. https://doi.org/10.3390/en13236327