Do oil shocks affect the green bond market?

Rehman, Mobeen Ur, Raheem, Ibrahim D., Zeitun, Rami, Vo, Xuan Vinh and Ahmad, Nasir (2023) Do oil shocks affect the green bond market? Energy Economics, 117. ISSN 0140-9883

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This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for green bond returns. Three striking findings emanated from our results: First, the three types of oil shock are reliable predictors for green bond indices. Second, the performances of the predictive models were consistent across the different forecasting horizons (i.e. H = 1 to H = 24). Third, our findings were sensitive to classifying the dataset into pre-COVID and COVID eras. For instance, the results confirmed that the predictive power of oil shocks declined during the crisis period. We also discuss some policy implications of this study's findings.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > School of Economics
Depositing User: LivePure Connector
Date Deposited: 15 Dec 2022 04:03
Last Modified: 22 Apr 2023 02:28
DOI: 10.1016/j.eneco.2022.106429


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