کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064633 1476719 2014 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of oil price shocks on U.S. bond market returns
ترجمه فارسی عنوان
تاثیر شوک قیمت نفت بر بازار اوراق بهادار ایالات متحده
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
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 8 months 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 24 months. Structural shocks driving the global oil market jointly account for 27.1% of the variation in real bond returns at 24 month 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 44, July 2014, Pages 248-258
نویسندگان
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