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Oil price shocks and the term structure of the US yield curve: a time–frequency analysis of spillovers and risk transmission
This paper investigates the influence of oil demand, oil supply, and risk-driven shocks on the yield curve in the US between 1995 and 2020. The US term-structure shape is modeled by three structural factors, the level, slope, and curvature. Their empirical analysis is performed according to the Dieb...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9166674/ https://www.ncbi.nlm.nih.gov/pubmed/35694373 http://dx.doi.org/10.1007/s10479-022-04786-1 |