Oil prices and sovereign credit risk of oil producing countries: an empirical investigation
研究了油价与九个产油国主权信用违约互换（CDS）利差的关系，发现油价上涨会降低主权CDS利差，支持油价改善财政稳定性的假说。
The low oil price recently has caused fears about the sustainability of public finances in some oil producing countries. We examine the relationship between oil prices and sovereign credit risk examining the CDS market. Analysing data from nine countries (Brazil, Malaysia, Norway, Qatar, Russia, Saudi Arabia, the United Kingdom, the United States of America and Venezuela) we have estimated bivariate VAR-GARCH-in-mean models. The results of our empirical investigations generally speaking do suggest that positive oil price shocks lead to lower sovereign CDS spreads. Thus, our findings support the hypothesis that higher oil prices improve the fiscal stability of oil producing countries.