Movements in international bond markets : the role of oil prices
| dc.contributor.author | Nazlioglu, Saban | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Bouri, Elie | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2020-10-08T12:42:13Z | |
| dc.date.issued | 2020-07 | |
| dc.description.abstract | In this paper, we analyze daily data-based price transmission and volatility spillovers between crude oil and the bond markets of major oil exporters and importers, 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 the majority of oil exporting countries and two large oil importers (India and China). The feedback from bonds to oil prices is weak and detected only for China and the USA. Oil volatility affects the bond market volatility of some major oil exporters (Kuwait, Norway, and Russia) and one importer (France). However, the most prominent volatility spillovers are from bonds to oil, except for Kuwait and Saudi Arabia. We reveal that taking structural shifts into account strengthens our findings and is particularly important for volatility spillover analysis. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2021-07-01 | |
| dc.description.librarian | hj2020 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/iref | en_ZA |
| dc.identifier.citation | Nazlioglu, S., Gupta, R. & Bouri, E. 2020, 'Movements in international bond markets : the role of oil prices', International Review of Economics and Finance, vol. 68, pp. 47-58. | en_ZA |
| dc.identifier.issn | 1059-0560 (print) | |
| dc.identifier.issn | 1873-8036 (online) | |
| dc.identifier.other | 10.1016/j.iref.2020.03.004 | |
| dc.identifier.uri | http://hdl.handle.net/2263/76396 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2020 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Review of Economics and Finance, vol. 68, pp. 47-58, 2020. doi : 10.1016/j.iref.2020.03.004. | en_ZA |
| dc.subject | Structural changes | en_ZA |
| dc.subject | Major oil exporters and importers | en_ZA |
| dc.subject | Volatility spillover | en_ZA |
| dc.subject | Price spillover | en_ZA |
| dc.subject | Bond and oil markets | en_ZA |
| dc.title | Movements in international bond markets : the role of oil prices | en_ZA |
| dc.type | Postprint Article | en_ZA |