What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries
研究了石油行业不同环节（上游、综合、下游）的企业在油价冲击和金融危机、新冠疫情等外生冲击下，信用违约互换利差的变化，发现上游企业受冲击最大，下游企业则无明显影响。
The aim of this paper is to examine how a shock in the oil industry affects firms’ debt funding obligations using credit default swaps in different segments of the oil industry’s value chain. In particular, it focuses on two types of shocks suffered by upstream, integrated and downstream firms in the industry, namely (1) endogenous shocks resulting from oil-market shocks, and (2) exogenous shocks resulting from the recent financial crisis and the Covid-19 pandemic. Using a wide data set ranging from 2007 to 2020, this paper measures the dynamic relationships between the CDS spreads of oil-related firms, US dollar exchange rates, and crude oil prices at different sectors of the oil-industry value chain, namely, upstream, integrated and downstream. Overall results show that the upstream firms have suffered the largest impacts during the COVID-19 crisis, when experiencing shocks from USD rates or oil prices. Integrated firms have suffered the second-largest effects, however, and interestingly, no significant impacts from shocks are observed on CDS spreads for downstream firms.