The Implications of oil market volatility on the credit risk of some oil-exporting countries

Ibrahima Bah (1) , Jules Sadefo-Kamdem (1) , Abdou Salam Diallo (1)

1 MRE - Montpellier Recherche en Economie

The credit risk of oil-exporting countries could depend on the evolution of oil market. Indeed, the instability of oil prices can cause defaults on debt repayments, with a consequent deterioration in the credit quality of exporting countries. In this paper, through an econometric analysis between oil price and other variables of oil market and CDS premium volatilities, we highlight causalities between some variable of the oil market and the variation of the credit default of some oil-exporting countries. For illustration, we have randomly chosen to treat these oil-exporting countries: Saudi Arabia, Venezuela, Russia, Norway, Kazakhstan and Qatar. A particular focus of our analysis is to study the slump of oil market in mid-2014 on the six countries credit default spreads volatility.

Domaines: Économie et finance quantitative [q-fin]

Ibrahima Bah, Jules Sadefo-Kamdem, Abdou Salam Diallo. The Implications of oil market volatility on the credit risk of some oil-exporting countries. Journal of Energy and Development, 2022, 46 (1-2), pp.25-46. ⟨hal-02922834⟩