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

USEK Business School, Holy Spirit University of Kaslik, Jounieh, P.O. BOX 446 Jounieh, Lebanon
Risks 2019, 7(4), 118; https://doi.org/10.3390/risks7040118
Received: 2 November 2019 / Revised: 22 November 2019 / Accepted: 25 November 2019 / Published: 2 December 2019
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. View Full-Text
Keywords: jumps; sovereign risks of oil-exporters; crude oil; oil implied volatility jumps; sovereign risks of oil-exporters; crude oil; oil implied volatility
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MDPI and ACS Style

Bouri, E. The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters. Risks 2019, 7, 118. https://doi.org/10.3390/risks7040118

AMA Style

Bouri E. The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters. Risks. 2019; 7(4):118. https://doi.org/10.3390/risks7040118

Chicago/Turabian Style

Bouri, Elie. 2019. "The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters" Risks 7, no. 4: 118. https://doi.org/10.3390/risks7040118

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