Movements in International Bond Markets: The Role of Oil Prices

Saban Nazlioglu, Rangan Gupta and Elie Bouri ()

No 201935, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we analyze daily data-based price transmission and volatility spillovers between crude oil and bond markets of major oil exporters and importers, by accounting for structural shifts as a smooth process in causality and volatility spillover estimations. In general, we find that, oil prices tend to predict bond prices in majority of oil exporting countries, and for the two major oil importers of India and China. But, the feedback from bond to oil prices is weak, and is detected for China and USA. Regarding volatility spillovers, oil volatility affects the bond market volatility of some major oil exporters (Kuwait, Norway and Russia), and an importer (France). However, the most prominent volatility spillovers are from bond to oil, except for Kuwait and Saudi Arabia. We also reveal that taking into account for smooth structural shifts - accounting for structural breaks - strengthens our findings and particularly is important for volatility spillover analysis. Our results have important implications for academics, investors, and policy makers.

Keywords: Bond and oil markets; price and volatility spillovers; major oil exporters and importers; structural changes (search for similar items in EconPapers)
JEL-codes: C32 G12 Q02 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2019-04
New Economics Papers: this item is included in nep-ara, nep-cis, nep-ene, nep-fmk and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Movements in international bond markets: The role of oil prices (2020)
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:pre:wpaper:201935

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().