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dc.contributor.authorAlexandre, Hervé
dc.contributor.authorDe Benoist, Antonin
dc.date.accessioned2013-11-13T13:00:53Z
dc.date.available2013-11-13T13:00:53Z
dc.date.issued2010-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12053
dc.language.isoenen
dc.subjectRisqueen
dc.subjectNouveaux pays industrialisésen
dc.subjectDettes publiquesen
dc.subjectHuiles minéralesen
dc.subjectPrixen
dc.subjectOil pricesen
dc.subjectsovereign debt,en
dc.subjectrisk premiumen
dc.subject.ddc332en
dc.subject.classificationjelH63en
dc.subject.classificationjelF30en
dc.subject.classificationjelG12en
dc.subject.classificationjelG15en
dc.titleOil prices and government bond risk premiumsen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread with data from the EMBIG index of seventeen countries, from 1998 to 2008. An analysis in time series has been carried out on each country. Then we use a panel analysis to determine the global impact of oil prices on the risk perceptions of investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show that the oil price influences the risk premiums of sovereign bonds, along with the price volatility that increases the accuracy of the model.en
dc.identifier.citationpages31en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00642191en
dc.subject.ddclabelEconomie financièreen
dc.identifier.citationdate2010-11
dc.description.submittednonen


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