Oil Prices and Government Bond Risk Premiums

dc.contributor.author	Hervé Alexandre
dc.contributor.author	Antonin de Benoist
dc.date.accessioned	2014-08-20T06:42:31Z
dc.date.available	2014-08-20T06:42:31Z
dc.date.issued	2012-06
dc.identifier.citation	The Lahore Journal of Business, Vol. 1, No. 1	en_US
dc.identifier.issn	ISSN 2223-0025
dc.identifier.uri	http://www.lahoreschoolofeconomics.edu.pk/businessjournals/LJBv1no1.aspx
dc.identifier.uri	http://hdl.handle.net/123456789/6149
dc.description	PP.21, ill.	en_US
dc.description.abstract	This article analyses the impact of oil prices on bond risk premiums issued by emerging economies. No empirical study has yet focused on the effects of oil prices on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of 17 countries, from 1998 to 2008. An analysis in time series is carried out on each country and a panel analysis used to determine the global impact of oil prices on investors’ risk perceptions. We suggest a new estimator for oil prices to take into account the effect of the price variance, and show that oil prices influence the risk premiums of sovereign bonds along with the price volatility that increases the accuracy of the model.	en_US
dc.language.iso	en	en_US
dc.publisher	© Lahore School of Economics	en_US
dc.subject	Oil prices	en_US
dc.subject	Sovereign debt	en_US
dc.subject	Risk premium	en_US
dc.title	Oil Prices and Government Bond Risk Premiums	en_US
dc.type	Article	en_US