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The impact of oil price shocks on the term structure of interest rates

机译：石油价格冲击对利率期限结构的影响

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摘要

In a structural VAR framework, we study the impact of oil price shocks in the global crude oil market on the dynamics of the entire yield curve in four industrialised countries with different positions on the oil market; the US, Canada, Norway, and South Korea. Responses of the term structure factors to oil market shocks are shown to differ contingent on the underlying sources that drive oil price shocks and the country's dependence on oil. Oil market-specific demand shocks result in increases in the level factor in oil-importing countries, but have no such effect in oil-exporting countries. Oil supply disruptions have short-lived negative responses of the slope factors in the US and Canada, associated with loosening monetary policy, whilst demand side shocks tend to lead to increases the slope in all countries. Overall, oil supply and demand shocks jointly account for a considerable amount of the observed variation in the term structure of interest rates. (C) 2018 Elsevier B.V. All rights reserved.
机译：在结构化VAR模型中，我们研究了全球原油市场中石油价格冲击对四个在石油市场上持不同立场的工业化国家的整体收益率曲线动态的影响；美国，加拿大，挪威和韩国。术语结构因素对石油市场冲击的反应显示出不同的条件，这取决于推动石油价格冲击和该国对石油的依赖的潜在来源。特定于石油市场的需求冲击导致石油进口国的水平系数增加，但在石油出口国没有这种影响。石油供应中断使美国和加拿大的坡度因素对货币政策放松的负面反应短暂持续，而需求方面的冲击往往导致所有国家的坡度增加。总体而言，石油供需冲击共同构成了利率期限结构中观察到的相当大的变化。 （C）2018 Elsevier B.V.保留所有权利。

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