摘要：This paper aimed to investigate the drivers of sovereign credit risk spreads changes in thecase of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA),the United Arab Emirates (UAE), Qatar, and Bahrain. Specifically, we explained the changes insovereigncreditdefaultswap(hereafterSCDS)spreadsatdifferentlocationsofthespreaddistributionsby three categories of explanatory variables: global uncertainty factors, local financial variables,and global financial market variables. Using weekly data from 5 April 2013, to 17 January 2020,and the quantile regression model, empirical results indicate that the global factors outperform thelocal factors. The most significant variables for all SCDS spreads are the global financial uncertaintyembedded in the Chicago Board Options Exchange (CBOE) volatility index (VIX) and the globalconventional bond market uncertainty embedded in the Merrill Lynch Option Volatility Estimate(MOVE) index. Moreover, the MOVE index affects the various SCDS spreads only when the CDSmarkets are bullish. Interestingly, the SCDS spreads are not affected by the global economic policyand the gold market uncertainties. Additionally, a weak dependence is observed between oil pricesand SCDS spreads. For the country-specific factors, stock market returns are the most significantvariable and impact the SCDS spreads at different market circumstances.
