To what extent do supply- and demand driven oil price shocks explain cross-country differences in bond market returns and volatilities?

Colinet, Théo
(2026)

Files

Colinet_30512000_2026.pdf
  • Open access
  • Adobe PDF
  • 1.17 MB
Download

Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion, à finalité spécialisée
Abstract
The aim of this study is to identify the structural drivers of oil price shocks—whether supply or demand-driven—and assess the extent to which these factors abnormally impact sovereign bond market returns and volatilities. By using a structural vector autoregressive (SVAR) model alongside a conditional variance (GARCH) specification on a panel dataset of 71 countries between 2001 and 2024, the research findings show that global demand shocks, country energy status (exporter vs. importer), and maturity horizons are factors that abnormally influence sovereign financing costs. On the other hand, this study fails to prove that physical supply shocks significantly alter the long-term yield curve. Overall, this paper confirms the past results drawn from peers through the lenses of new regression models. Therefore, this study contributes to the existing literature by providing a different perspective and reinforcing the findings of prior research.