Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries

Volume: 92, Pages: 234 - 245
Published: May 1, 2016
Abstract
This paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations. Firstly, two statistical properties of country risk ratings, volatility clustering and asymmetrical revision were identified in a theoretical framework based on null Cruces (2006) . Secondly, considering the oil price...
Paper Details
Title
Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries
Published Date
May 1, 2016
Volume
92
Pages
234 - 245
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