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Oil price shocks and the term structure of the US yield curve: a time-frequency analysis of spillovers and risk transmission.
Umar, Zaghum; Gubareva, Mariya; Teplova, Tamara; Alwahedi, Wafa.
  • Umar Z; College of Business, Zayed University, P.O. Box 144534, Abu Dhabi, United Arab Emirates.
  • Gubareva M; South Ural State University, Chelyabinsk, Russian Federation.
  • Teplova T; ISEG - Lisbon School of Economics & Management, Universidade de Lisboa, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal.
  • Alwahedi W; SOCIUS/CSG - Research in Social Sciences and Management, Rua Miguel Lupi, 20, 1249-078 Lisbon, Portugal.
Ann Oper Res ; : 1-25, 2022 Jun 04.
Article in English | MEDLINE | ID: covidwho-1888915
ABSTRACT
This paper investigates the influence of oil demand, oil supply, and risk-driven shocks on the yield curve in the US between 1995 and 2020. The US term-structure shape is modeled by three structural factors, the level, slope, and curvature. Their empirical analysis is performed according to the Diebold-Li modified variant of the widely used Nelson-Siegel model. The technique of wavelet analysis allows investigating the interrelation of shocks in oil prices and the US yield curve along time and frequency domains, simultaneously. We report on low, medium, and high coherence zones, relative to the oil price movements and the changes in the three yield-curve factors. The low coherence intervals indicate the potential for the three latent factors to be used for creating diversification strategies capable of hedging adverse dynamics in the oil market, potentially workable through global crises. We document the variability of dynamic patterns observable for the US sovereign yield factors on per-type-of-shock basis, evidencing the potential role of the US sovereign debt investments for designing cross-asset hedge strategies for commodity and fixed-income markets.
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Full text: Available Collection: International databases Database: MEDLINE Type of study: Prognostic study / Randomized controlled trials Topics: Variants Language: English Journal: Ann Oper Res Year: 2022 Document Type: Article Affiliation country: S10479-022-04786-1

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Full text: Available Collection: International databases Database: MEDLINE Type of study: Prognostic study / Randomized controlled trials Topics: Variants Language: English Journal: Ann Oper Res Year: 2022 Document Type: Article Affiliation country: S10479-022-04786-1