Oil price shocks and bond risk premia: Evidence from a panel of 15 countries

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-10-05 DOI:10.1016/j.eneco.2024.107940

引用次数: 0

Abstract

We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as unspanned factors in an affine term structure model based on the representation of Joslin et al. (2014). This is done for a total of 15 countries. Unspanned factors are responsible for most of the variability in bond risk premia for short holding periods, while spanned factors dominate the variance decomposition for longer holding periods. In both cases, global oil supply and global economic activity are clearly the most important unspanned shocks. A historical decomposition around the outbreak of the COVID-19 crisis shows the clear influence of global economic activity shocks during the months of February and March 2020, increasing bond risk premia significantly.

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石油价格冲击与债券风险溢价：来自 15 个国家面板的证据

我们研究了石油价格冲击对债券风险溢价的影响。在 Baumeister 和 Hamilton（2019）的基础上，我们使用全球原油市场的结构向量自回归（SVAR）模型来识别油价冲击的不同来源。然后，根据乔斯林等人（2014 年）的表述，将这些结构性因素作为仿射期限结构模型中的非跨期因素。该模型适用于 15 个国家。在短持有期内，非跨度因子是债券风险溢价变异的主要原因，而在较长持有期内，跨度因子在方差分解中占主导地位。在这两种情况下，全球石油供应和全球经济活动显然是最重要的非跨期冲击因素。COVID-19 危机爆发前后的历史分解显示，2020 年 2 月和 3 月期间全球经济活动冲击的影响明显，债券风险溢价显著上升。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.