We study the effect of oil price shocks on bond risk premia. Based on Baumeister and Hamilton (2019), we identify the different sources of oil price shocks using a structural vector autoregressive (SVAR) model of the global market for crude oil. These structural factors are then used as unspanned factors in an affine term structure model based on the representation of Joslin et al. (2014). This is done for a total of 15 countries. Unspanned factors are responsible for most of the variability in bond risk premia for short holding periods, while spanned factors dominate the variance decomposition for longer holding periods. In both cases, global oil supply and global economic activity are clearly the most important unspanned shocks. A historical decomposition around the outbreak of the COVID-19 crisis shows the clear influence of global economic activity shocks during the months of February and March 2020, increasing bond risk premia significantly.

中文翻译：

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油价冲击和债券风险溢价：来自 15 个国家/地区专家组的证据


我们研究了油价冲击对债券风险溢价的影响。基于 Baumeister 和 Hamilton （2019），我们使用全球原油市场的结构向量自回归 （SVAR） 模型确定了油价冲击的不同来源。然后，这些结构因子在基于 Joslin et al. （2014） 表示的仿射项结构模型中用作未跨越因子。总共有 15 个国家/地区完成了此操作。未跨度因子是造成短期持有期债券风险溢价大部分可变性的原因，而跨度因子在较长持有期的方差分解中占主导地位。在这两种情况下，全球石油供应和全球经济活动显然是最重要的未跨越式冲击。围绕 COVID-19 危机爆发的历史分解表明，2020 年 2 月和 3 月期间全球经济活动冲击的明显影响，大大增加了债券风险溢价。