随着金融市场全球化的深入和大宗商品金融化程度的加深，全球资产市场变得越来越复杂，而主权信用违约互换（Sovereign CDS）市场因全球金融危机和欧债危机得到了越来越多的紧密关注，市场对主权信用风险工具的需求也随之增长。已有研究表明主权风险受到多重关键因素的影响，例如宏观经济不确定性、某国机构的质量、外债水平、外汇储备、通胀水平和经济增长水平等。在众多研究中，油价波动对主权风险的显著影响令人瞩目，尤其是在大型新兴市场经济体。今日小编推荐《Oil volatility and sovereign risk of BRICS》一文，该文重点分析了原油隐含波动率冲击和金砖国家主权风险间的相依关系，并得到了许多有意思的实证结果。
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主要亮点
We study the dependence between oil implied volatility shocks and BRICS sovereign risk from July 2009 to March 2017. First, we examine spillovers in value at risk using multivariate regression quantiles and reveal that oil volatility represents a common risk for oil-exporting and oil-importing BRICS countries. We also employ a quantile impulse-response function and reveal the presence of an asymmetry in the mechanisms of shock transmissions between oil exporters(Russia and Brazil) and oil importers (China and India): the former are more sensitive to positive oil shocks, whereas the latter are more sensitive to negative oil shocks. Second, we measure the directional predictability in the quantiles using the bivariate cross-quantilogram approach and show that in most cases, a low- (high-) volatility of oil market predicts low (high) sovereign risk at various quantiles and lags. Policy implications are discussed.
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