Resumen:
This paper analyzes the determinants of credit risk in the energy sector using CDS spreads of energy corporations as well as CDS energy sectorial indexes to assess whether credit risk can be linked to the crude oil price fundamental and to other exogenous financial variables. Applying the multiple bubble methodology proposed by Phillips Shi and Yu (2015) we associate bubble behavior in CDSs with fundamentals via a series regressions applied to time changing autoregressive coefficients. Our results show that there is bubble propagation which should be closely monitored by market participants as an early signal of deteriorating market conditions.
Resumen divulgativo:
Analizamos los determinantes del riesgo del crédito en el sector energético. Utilizamos la metodología de detección de burbujas introducida por Phillips Shi and Yu (2015). Los resultados se centran en el 2014-2016 (post QE era) y muestran que existe propagación de burbujas entre los CDSs y el precio del crudo, el cual representa el colateral de la deuda.
Palabras Clave: CDS; CDS index; Bubble; Crude oil futures; CAPEX; Taper tantrum
Índice de impacto JCR y cuartil WoS: 4,800 - Q1 (2023)
Referencia DOI:
https://doi.org/10.1016/j.iref.2023.07.033
Publicado en papel: Enero 2024.
Publicado on-line: Agosto 2023.
Cita:
I. Cervera, I. Figuerola-Ferretti Garrigues, Credit risk and bubble behavior of credit default swaps in the corporate energy sector. International Review of Economics & Finance. Vol. 89, nº. Part A, pp. 702 - 731, Enero 2024. [Online: Agosto 2023]
