Time‐varyingcausality between bond and oil markets of the United States: Evidence from over one and half centuries of data

Abstract

This paper analyzes time-varying causality between government bond and oil returns of the United States (US) over the monthly period of 1859:10 to 2019:03, i.e., the longest possible span of historical data, starting from the beginning of the modern era of the petroleum industry. While the standard constant parameter causality test fails to pick up any evidence of causality, the timevarying framework shows evidence of bi-directional spillovers over the entire sample period. The results are robust to inclusion of stock returns as an control variable in the model. We also detect evidence of time-varying causality-in-volatility between sovereign bond and oil markets, as well as spillovers in returns and volatility from the oil market to corporate bonds.

The role of oil and risk shocks in thehigh‐frequencymovements of the term structure of interest rates: Evidence from the U.S. Treasury market

“…and Soytas (2018) too detected significant causality from the oil market to the high-yield bond market in terms of both price and volatility. 3 A working paper that must be mentioned is the work of Coronado, Gupta, Nazlioglu, and Rojas (2020). These authors used historical monthly data from the United States over the period 1859:10 to 2019:03 to detect time-varying evidence of bidirectional spillovers between oil and 10-year government bond returns, which is robust to the inclusion of stock returns as a control variable in the model.…”

Portfolio diversification impact of oil and asymmetric interaction between oil, equity and bonds in the global market: fresh evidence from alternative approaches

“…These studies have also found that there is generally a negative relationship between the two markets (Demirer and Gupta, 2018). However, there is a disagreement as to how the causality runs between the two markets with Coronado et al (2020) finding the causality to be bidirectional, while Nazlioglu et al (2020) finds a one-way causality from the bond market to the oil market and Nugyen et al (2018) and Balcilar et al (2020) finding the opposite direction.…”

“…These studies have also found that there is generally a negative relationship between the two markets (Demirer and Gupta, 2018). However, there is a disagreement as to how the causality runs between the two markets with Coronado et al. (2020) finding the causality to be bidirectional, while Nazlioglu et al.…”

The Impact of Uncertainties on Inflation Using Time-Varying Causality Approach: Evidence from Türkiye

“…Bu hipotezin reddedilmesi, analiz döneminin tamamı için tüketici güven endeksinden enflasyon oranına doğru tek yönlü bir nedensellik ilişkisinin olduğunu göstermektedir. Arslanturk vd., 2011;Balcilar vd., 2010;Coronado, Gupta, Nazlioglu & Rojas, 2023;Tang, 2008;Wang, Su, Umar & Peculea, 2023). Yaşanan iktisadi ve politik gelişmeler ve gerçekleşen krizler, politika değişimleri, alınan iktisadi ve siyasi kararlar ile uluslararası gelişmeler değişkenler arasındaki ilişkileri zamanlar arasında değiştirebilmektedir 6 .…”