期刊名称：Topics in Middle Eastern and North African Economies
出版年度：2016
卷号：18
期号：1
页码：211
出版社：Loyola University Chicago
摘要：In contrast to previous CDS literature, this study focuses on the magnitude of volatility transmission and the risk spillover mechanism across the oil market, financialmarket risks, and the oil-related Credit Default Swap (CDS) sectors. Our dataset includes futures prices of West Texas Intermediate (WTI) in addition to seven different measures of markets and credit risks. Four of the vast risk measures are the oil-related sector CDSs for auto, chemicals, natural gas, and utility sector CDSs. Two measures of the financial market risk are further included in the study, which include the one-month expected equity volatility measured by the volatility index (VIX) and the one-month bond option volatility estimate (MOVE) or swaption move expected volatility (SMOVE). The daily dataset covers the period from January 6, 2004 to February 2, 2016. The volatility transmission mechanism across the oil and financial markets and CDS sectors is examined, using the volatility impulse responses. In addition to showing the magnitude of the volatility transmission, the volatility impulse responses have the advantage of providing valuable information on the speed of risk transmission among different markets. The shape and sign of the volatility impulse responses also provide significant information on the transmission mechanism. We evaluate the risk transmission due to several recent crisis shocks. The results show complicated transmission mechanisms that spread over long periods.
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