The impact of oil price shocks on U.S. bond market returns
Ronald Ratti and
Kyung Hwan Yoon ()
Energy Economics, 2014, vol. 44, issue C, 248-258
This paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns. A positive oil market-specific demand shock is associated with significant decreases in aggregate bond index real returns for 8months following the shock. A positive innovation in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24months. Structural shocks driving the global oil market jointly account for 27.1% of the variation in real bond returns at 24month horizon. A spillover index from rolling SVAR models is used to identify the interdependence between the oil market and bond returns. The mean for this spillover index is 0.381 over 2001:01–2011:12 and 0.476 over September through December 2008 during the height of the global financial crisis.
Keywords: Demand shocks; Oil prices; Bond returns; Supply shocks (search for similar items in EconPapers)
JEL-codes: E44 G12 Q43 (search for similar items in EconPapers)
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Working Paper: The Impact of Oil Price Shocks on U.S. Bond Market Returns (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:44:y:2014:i:c:p:248-258
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