The impact of oil price shocks on U.S. bond market returns

Wensheng Kang, Ronald Ratti and Kyung Hwan Yoon ()

Energy Economics, 2014, vol. 44, issue C, 248-258

Abstract: 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)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (89)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988314000930
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Impact of Oil Price Shocks on U.S. Bond Market Returns (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:44:y:2014:i:c:p:248-258

DOI: 10.1016/j.eneco.2014.04.009

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().