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Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach

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  • Maghyereh, Aktham
  • Ziadat, Salem Adel
  • Al Rababa'a, Abdel Razzaq A.

Abstract

This paper investigates the impact of oil price changes on bond yields across nine developed nations, focusing on how demand, supply, and oil-specific demand shocks influence bond spreads. Using a Time-Varying Parameter Structural Vector Autoregression with Stochastic Volatility (TVP-SVAR-SV) model, we find that bond yields are short-term responsive to oil price fluctuations, indicating efficient domestic bond markets. However, we observe distinct country-specific reactions, particularly in the US and the UK. In the US, supply shocks cause temporary declines in bond yields, while demand shocks reduce bond yields in both countries. Oil-specific demand shocks have cyclical impacts. Unlike the global financial crisis, the COVID-19 pandemic uniquely influenced bond yields, with minimal short-term effects in Canada, France, Spain, and the US post-COVID-19, contrasting with the severe impacts during the financial crisis. These findings suggest investors should consider the varying impact of oil shocks on bond yields across countries, and policymakers should monitor and address the potential implications of oil price fluctuations for financial stability and market efficiency.

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  • Maghyereh, Aktham & Ziadat, Salem Adel & Al Rababa'a, Abdel Razzaq A., 2024. "Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach," Energy, Elsevier, vol. 306(C).
  • Handle: RePEc:eee:energy:v:306:y:2024:i:c:s0360544224022497
    DOI: 10.1016/j.energy.2024.132475
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    Keywords

    Sovereign bond yields; TVP-SVAR-SV model; Oil price shocks; COVID-19; Developed economics;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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