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Movements in international bond markets: The role of oil prices

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  • Nazlioglu, Saban
  • Gupta, Rangan
  • Bouri, Elie

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.

Suggested Citation

  • Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020. "Movements in international bond markets: The role of oil prices," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
    • Handle: RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58
    DOI: 10.1016/j.iref.2020.03.004
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    More about this item

    Keywords

    Bond and oil markets; Price and volatility spillovers; Major oil exporters and importers; Structural changes;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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