Bouri, Elie - In: Risks : open access journal 7 (2019) 4/118, pp. 1-15
by jumps in the price and volatility of crude oil. Data used are daily from 14 February 2011, to 31 July 2019. We detect … sovereign risks of oil-exporters are significantly affected by oil volatility jumps, not by oil price jumps. These findings …-exporters but also in reducing the potential effect of price discontinuity of sovereign risks on public finances sustainability and …