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Time-varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data

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dc.contributor.author Coronado, Semei
dc.contributor.author Gupta, Rangan
dc.contributor.author Nazlioglu, Saban
dc.contributor.author Rojas, Omar
dc.date.accessioned 2023-01-09T21:10:13Z
dc.date.available 2023-01-09T21:10:13Z
dc.date.issued 2021
dc.identifier.issn 1076-9307
dc.identifier.issn 1099-1158
dc.identifier.uri https://doi.org/10.1002/ijfe.2534
dc.identifier.uri http://acikerisim.pau.edu.tr:8080/xmlui/handle/11499/46251
dc.description.abstract This paper analyzes the time-varying causality between government bond and oil returns of the United States over the monthly period of 1859:10 to 2019:03, that is, 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 time-varying framework shows evidence of bi-directional spillovers over the entire sample period. The results are robust to the inclusion of stock returns as a 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. en_US
dc.description.sponsorship Pamukkale University [2020KRM005-009] en_US
dc.description.sponsorship Pamukkale University, Grant/Award Number: 2020KRM005-009 en_US
dc.language.iso en en_US
dc.publisher Wiley en_US
dc.relation.ispartof International Journal Of Finance & Economics en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.subject bond and oil markets en_US
dc.subject returns and volatility spillovers en_US
dc.subject time&#8208 en_US
dc.subject varying causality en_US
dc.title Time-varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data en_US
dc.type Article en_US
dc.authorid Coronado, Semei/0000-0002-7945-7155
dc.authorid Rojas, Omar/0000-0002-0681-3833
dc.identifier.doi 10.1002/ijfe.2534
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.authorscopusid 57220780049
dc.authorscopusid 18037301200
dc.authorscopusid 36158371500
dc.authorscopusid 22954196800
dc.authorwosid Coronado, Semei/AAN-9732-2021
dc.authorwosid Rojas, Omar/K-1066-2013
dc.department-temp [Gupta, Rangan] Univ Pretoria, Dept Econ, Pretoria, South Africa; [Nazlioglu, Saban] Pamukkale Univ, Fac Econ & Adm Sci, Dept Int Trade & Finance, Denizli, Turkey; [Rojas, Omar] Univ Panamer, Fac Ciencias Econ & Empresariales, Zapopan 45010, Jalisco, Mexico; [Nazlioglu, Saban] Nisantasi Univ, Dept Econ & Finance, Istanbul, Turkey en_US
dc.identifier.scopus 2-s2.0-85100574162 en_US
dc.identifier.wos WOS:000615194400001 en_US

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