Template-type: ReDIF-Paper 1.0
Author-Name: Shawkat Hammoudeh
Author-Workplace-Name: Lebow College of Business, Drexel University, USA
Author-Name: Tengdong Liu
Author-Workplace-Name: Lebow College of Business, Drexel University, USA
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics)
	Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
Abstract: This paper examines risk transmission and migration among six US measures of credit and market risk 
	during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four 
	sectors related to the highly volatile oil price. There are more long-run equilibrium risk relationships 
	and short-run causal relationships among the four oil-related Credit Default Swaps (CDS) indexes, the 
	(expected equity volatility) VIX index and the (swaption expected volatility) SMOVE index for the full 
	period than for the recovery subperiod. The auto sector CDS spread is the most error-correcting in the 
	long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread 
	of the highly regulated, natural monopoly utility sector does not error correct. The four oil-related CDS 
	spread indexes are responsive to VIX in the short- and long-run, while no index is sensitive to SMOVE 
	which, in turn, unilaterally assembles risk migration from VIX. The 2007-2008 Great Recession seems to 
	have led to “localization” and less migration of credit and market risk in the oil-related sectors.
Classification-JEL: C13, C22, G1, G12, Q40.
Keywords: Risk, Sectoral CDS, VIX, SMOVE, MOVE, Adjustments.
Length: 41 pages 
Creation-Date: 2011 
Number: 2011-12
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1112.txt
File-URL: https://eprints.ucm.es/id/eprint/12627/1/1112.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1112