Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - In: Energy Economics 44 (2014) C, pp. 248-258
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 8months following the shock....