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

No abstract is available for this paper.

• Publication year

  2021

• Venue

  International Journal of Finance & Economics

• Publication date

  2021-02-06

• Fields of study

  Economics

• Identifiers
  DOI 10.1002/IJFE.2511
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Oil price shocks, global financial markets and their connectedness

  2020cited by this paper
• Oil price uncertainty and movements in the US government bond risk premia

  2020cited by this paper
• Movements in international bond markets: The role of oil prices

  2020cited by this paper
• The relationship between monetary policy and uncertainty in advanced economies: Evidence from time- and frequency-domains

  2020cited by this paper
• Covid-Induced Economic Uncertainty

  2020cited by this paper
• Forecasting the Term Structure of Interest Rates of the BRICS: Evidence from a Nonparametric Functional Data Analysis

  2020cited by this paper
• Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?

  2019cited by this paper
• Oil price shocks and uncertainty: How stable is their relationship over time?

  2018cited by this paper
• Oil Price Declines Could Hurt Financial Markets and A Possible Explanation

  2018cited by this paper
• Oil Prices and the Stock Market

  2018cited by this paper
• Using the Entire Yield Curve in Forecasting Output and Inflation

  2018cited by this paper
• High-yield bond and energy markets

  2018cited by this paper
• The Impact of Oil Price Shocks on the Term Structure of Interest Rates

  2018cited by this paper
• Common cycles and common trends in the stock and oil markets : evidence from more than 150 years of data

  2017cited by this paper
• A global bond: Explaining the safe-haven status of US Treasury securities

  2017cited by this paper
• Forecasting oil and stock returns with a Qual VAR using over 150 years of data

  2017cited by this paper
• Interactions between oil and financial markets — Do conditions of financial stress matter?

  2015cited by this paper
• The Impact of Oil Price Shocks on U.S. Bond Market Returns

  2014cited by this paper
• The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series

  2014cited by this paper
• Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013

  2014cited by this paper
• Term Structure Dynamics with Macro Factors Using High Frequency Data

  2013cited by this paper
• A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE

  2012cited by this paper
• Asymmetric causality tests with an application

  2012cited by this paper
• Historical Oil Shocks

  2011cited by this paper
• A Factor Analysis of Bond Risk Premia

  2009cited by this paper
• Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

  2009cited by this paper
• Forecasting the Term Structure of Government Bond Yields

  2006cited by this paper
• Macro Factors in Bond Risk Premia

  2005cited by this paper
• Computation and Analysis of Multiple Structural-Change Models

  1998cited by this paper
• A test for independence based on the correlation dimension

  1996cited by this paper
• Common Factors Affecting Bond Returns

  1991cited by this paper
• Regression and time series model selection in small samples

  1989cited by this paper
• Parsimonious modeling of yield curves

  1987cited by this paper
• Massachusetts Institute of Technology Department of Economics Working Paper Series Conditional Quantile Processes Based on Series or Many Regressors Conditional Quantile Processes Based on Series or Many Regressors

  year unknowncited by this paper

• Effects of oil shocks on global securitized real estate markets

  2025cites this paper
• Tumulus visual masculine symbols on men's graves: on the example of the village of Gilnoi and Endirei

  2025cites this paper
• Asymmetric effects of oil price shocks on income inequality in ASEAN countries

  2023cites this paper
• Oil Price Shocks and Income Inequality

  2022cites this paper
• Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold

  2022cites this paper
• Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies

  2022cites this paper