News Column

New Data from University of Western Sydney Illuminate Findings in Energy Economics (The impact of oil price shocks on US bond market returns)

September 5, 2014

By a News Reporter-Staff News Editor at Energy Weekly News -- Investigators discuss new findings in Energy Economics. According to news originating from Penrith, Australia, by VerticalNews correspondents, research stated, "This paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns. A positive oil market-specific demand shock is associated with significant decreases in aggregate bond index real returns for 8 months following the shock."

Our news journalists obtained a quote from the research from the University of Western Sydney, "A positive innovation in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months. Structural shocks driving the global oil market jointly account for 27.1% of the variation in real bond returns at 24 month horizon. A spillover index from rolling SVAR models is used to identify the interdependence between the oil market and bond returns."

According to the news editors, the research concluded: "The mean for this spillover index is 0.381 over 2001:01-2011:12 and 0.476 over September through December 2008 during the height of the global financial crisis."

For more information on this research see: The impact of oil price shocks on US bond market returns. Energy Economics, 2014;44():248-258. Energy Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands. (Elsevier -; Energy Economics -

The news correspondents report that additional information may be obtained from W.S. Kang, University of Western Sydney, Sch Business, Penrith, NSW 1797, Australia. Additional authors for this research include R.A. Ratti and K.H. Yoon.

Keywords for this news article include: Penrith, Oil & Gas, Oil Price, Energy Economics, Australia and New Zealand

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Source: Energy Weekly News

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