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Oil price uncertainty and movements in the US government bond risk premia

机译:石油价格不确定性和美国政府债券风险预防的运动

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摘要

In this paper, we analyze the predictability of the movements of bond premia of US Treasury due to oil price uncertainty over the monthly period 1953:06 to 2016:12. For our purpose, we use a higher order nonparametric causality-in-quantiles framework, which in turn, allows us to test for predictability over the entire conditional distribution of not only bond returns, but also its volatility, by controlling for misspecification due to uncaptured nonlinearity and structural breaks, which we show to exist in our data. We find that oil uncertainty not only predicts (increases) US bond returns, but also its volatility, with the effect on the latter being stronger. In addition, oil uncertainty tends to have a stronger impact on the shortest and longest maturities (2- and 5-year), and relatively weaker impact on bonds with medium-term (3- and 4-year) maturities. Our results are robust to alternative measures of oil market uncertainty and bond market volatility.
机译:在本文中,我们分析了1953年月期间的石油价格不确定性,分析了美国财政部债券主页债券的可预测性:06至2016:12。为我们的目的,我们使用更高阶的非参数因果型框架,这反过来又允许我们在整个条件分布上测试可预测性,而不是仅通过未被未被解释的误操作来测试其粘性返回的整个条件分布,也可以测试其波动率我们在我们的数据中显示出存在的非线性和结构中断。我们发现石油不确定性不仅预测(增加)美国债券返回,而且是它的波动性,对后者的影响更强。此外,石油不确定性往往对最短和最长的日期(2-和5年)产生更强的影响,并且对中期(3年和4年)到期的债券的影响相对较弱。我们的结果是对石油市场不确定性和债券市场波动的替代措施的强大。

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