This study aims to examine whether the sovereign spread CDS of the oil exporting countries including, Brazil, Kazakhstan, Colombia, Mexico, Russia and Venezuela may be explained by the falling price of oil per barrel in the international market. Using the linear regression model taking into account the method of least squares, i use the STATA software for performing fundamental hypothesis testing. Finally held test violation of the classical regression model, with purpose to indentify events such as heteroskedasticity and autocorrelation.
Date of Award | 16 Dec 2016 |
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Original language | Portuguese |
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Awarding Institution | - Universidade Católica Portuguesa
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Supervisor | Carlos Manuel Ferreira dos Santos (Supervisor) |
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- Sovereign spread CDS
- Price of oil barrel
- Default probability
- Linear regression
Queda de preço de petróleo e risco de países produtores : Credit Default Swap (CDS)
Pascoal, A. F. (Student). 16 Dec 2016
Student thesis: Master's Thesis