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Oil price shocks and EMU sovereign yield spreads.

Filis, G., Filippidis, M. and Kizys, R., 2020. Oil price shocks and EMU sovereign yield spreads. Energy Economics, 86 (February), 104656.

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Abstract

This study examines for the first time the relationship among the oil price shocks and the sovereign yield spreads in the EMU (which is collectively the largest oil-importer of the world), in a time-varying environment. In particular, we examine the timevarying correlation between oil price shocks and the 10-year sovereign yield spread of core and periphery countries in the EMU, by employing a scalar-BEKK framework. The main findings reveal that the correlations between sovereign yield spreads and oil price shocks are indeed time-varying and are influenced by specific economic and geopolitical events that took place during the study period. Furthermore, even though the correlation patterns are constantly low or zero prior to the Great Recession, a change is revealed in the post-2008 period, when correlations become moderate and more volatile. Finally, we do not observe noteworthy differences in the correlation behaviour between core and periphery countries to different oil price shocks. The findings of this study are particularly useful and provide valuable information to marketplace participants.

Item Type:Article
ISSN:0140-9883
Uncontrolled Keywords:EMU countries; EMU core and periphery; oil price shocks; Scalar-BEKK; time-varying correlation; 10-year sovereign yield spread
Group:Faculty of Management
ID Code:33120
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:09 Dec 2019 15:18
Last Modified:04 Feb 2020 14:49

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