The University of Southampton
University of Southampton Institutional Repository

Oil price shocks and EMU sovereign yield spreads

Oil price shocks and EMU sovereign yield spreads
Oil price shocks and EMU sovereign yield spreads
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 time-varying 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.
EMU countries, EMU core and periphery, Oil price shocks, Scalar-BEKK, Time-varying correlation, 10-Year sovereign yield spread
0140-9883
1-21
Filippidis, Michail
6720fe96-d184-4795-91f3-eb39abcee9a6
Filis, George
0a11b1dc-f5e4-4384-8964-5b9c37dd29ef
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Filippidis, Michail
6720fe96-d184-4795-91f3-eb39abcee9a6
Filis, George
0a11b1dc-f5e4-4384-8964-5b9c37dd29ef
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978

Filippidis, Michail, Filis, George and Kizys, Renatas (2020) Oil price shocks and EMU sovereign yield spreads. Energy Economics, 86, 1-21, [104656]. (doi:10.1016/j.eneco.2019.104656).

Record type: Article

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 time-varying 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.

Text
Oil_price_shocks_and_EMU_sovereign_yield_spreads - Accepted Manuscript
Download (1MB)

More information

Accepted/In Press date: 29 November 2019
e-pub ahead of print date: 3 January 2020
Published date: February 2020
Keywords: EMU countries, EMU core and periphery, Oil price shocks, Scalar-BEKK, Time-varying correlation, 10-Year sovereign yield spread

Identifiers

Local EPrints ID: 437217
URI: http://eprints.soton.ac.uk/id/eprint/437217
ISSN: 0140-9883
PURE UUID: 0a0f2949-dd34-4c89-bf1b-0748e58533f3
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 22 Jan 2020 17:31
Last modified: 28 Apr 2022 04:52

Export record

Altmetrics

Contributors

Author: Michail Filippidis
Author: George Filis
Author: Renatas Kizys ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×