Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data

Semei Coronado (), Rangan Gupta, Saban Nazlioglu and Omar Rojas ()
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Semei Coronado: Departamento de Metodos Cuantitativos, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Periférico Norte 799, Modulo M 201, Nucleo, Universitario los Belenes, Zapopan, Jalisco, 45100, Mexico
Omar Rojas: Universidad Panamericana. Escuela de Ciencias Economicas y Empresariales. Alvaro del Portillo 49, Zapopan, Jalisco, 45010, Mexico

No 202006, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes time-varying causality between government bond and oil returns of the United States (US) over the monthly period of 1859:10 to 2019:03, i.e., the longest possible span of historical data, starting from the beginning of the modern era of the petroleum industry. While the standard constant parameter causality test fails to pick up any evidence of causality, the time-varying framework shows evidence of bi-directional spillovers over the entire sample period. The results are robust to inclusion of stock returns as a control variable in the model. We also detect evidence of time-varying causality-in-volatility between sovereign bond and oil markets, as well as spillovers in returns and volatility from the oil market to corporate bonds.

Keywords: Bond and Oil Markets; Returns and Volatility Spillovers; Time-Varying Causality (search for similar items in EconPapers)
JEL-codes: C32 G12 Q02 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2020-01
New Economics Papers: this item is included in nep-ene and nep-his
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Citations: View citations in EconPapers (6)

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Journal Article: Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data (2023)
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