Spillover Effect Of International Oil Price Fluctuations On The Sovereign Bond Market ——Empirical Research Based On TVP-VAR-DY Model

Recently,with the increasing conflict between Russia and Ukraine,and the rapid rise of international oil prices,the price of Brent crude oil has exceeded 100 US dollars.The crude oil price has dropped to $100 a barrel from the outbreak of COVID-19 in 2020.The sharp fluctuation of oil price has had a great impact on the development of the global economy in the recent 20 years.For a long time,oil has played an important role in the energy structure and is by far the most important energy consumer.Oil resources are non renewable and unevenly distributed in all regions of the world.Most of the oil resources are distributed in a very small number of countries.Therefore,for countries with low oil production and small oil reserves in the world,their domestic oil demand can only be met through import.For countries or regions with rich oil reserves,in order to improve the level of economic development,they will export a large number of oil resources through international trade.Therefore,regardless of the endowment of oil resources,the economic development of all countries will be affected by the fluctuation of oil market.The development of modern industry is inseparable from the use of oil.As one of the important production raw materials,oil price fluctuation can affect the development of national economy from various levels and angles.There have been many sharp fluctuations in international oil prices in history.Since the global financial crisis in 2008,the oil market has been more closely linked with the prices of the stock market or other financial markets.The fluctuations of oil prices will be quickly transmitted to other financial markets,causing uncertainty in other markets.Therefore,the uncertainty of oil price is transmitted through the international financial market,and its influence is gradually extended to the global scope.Previous studies on oil price fluctuations mostly focused on the impact on the stock market,and few literature focused on the impact on the sovereign bond market.Therefore,from a global perspective,this paper uses nine major oil importing countries as research samples to collect the monthly data of sovereign bond yields from 2004 to 2021.Firstly,the SVAR model is used to decompose the oil price shock into total demand shock,preventive demand shock and supply shock,and then the tvp-var-dy framework is used to construct the network model,This paper explores the spillover effect of international oil price fluctuations on the sovereign bond market of major oil importing countries from the static and dynamic aspects.The results show that,first,the Spillovers of different types of oil price shocks are quite different in different countries’ sovereign bond markets,and mainly focus on demand related shocks.Second,the impact of oil price shocks on bond market spillovers is time-varying,and the size of spillovers depends on the economic or geopolitical events during the study period.Third,the spillover effect of oil price on sovereign bond market is negatively correlated with the global economic growth rate,and the impact of extreme events will lead to a significant increase in spillover effect.Fourth,the spillover effect of oil price shock has strong characteristics of plate agglomeration.There are different performances in developed and developing countries.The results of this study provide information for financial market participants and have important implications for researchers,policymakers and investors.