We analyze the impact of oil price shocks on three unique fixed income asset classes representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing network dynamic connectedness framework. Our sample period ranges from May 1, 2009, to March 1, 2022, covering the aftermath of global financial crisis, subsequent boom and bust of oil markets and the COVID-19 pandemic. We document a sizable connectedness of oil price shocks with fixed income asset classes. We document oil demand and risk shocks' role as main transmitters of spillover. Our findings have important implications for investors, policy makers and regulators.

我们使用网络动态连通性框架分析了油价冲击对代表传统债券、伊斯兰债券 (sukuks) 和绿色债券的三种独特固定收益资产类别的影响。我们的样本期从 2009 年 5 月 1 日到 2022 年 3 月 1 日，涵盖了全球金融危机的后果、随后的石油市场繁荣和萧条以及 COVID-19 大流行。我们记录了油价冲击与固定收益资产类别之间的相当大的联系。我们记录了石油需求和风险冲击作为溢出效应的主要传递者的作用。我们的研究结果对投资者、政策制定者和监管机构具有重要意义。