Do oil shocks affect the green bond market?
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,...
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2022
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| Online Access: | http://dx.doi.org/10.1016/j.eneco.2022.106429 https://www.sciencedirect.com/science/article/pii/S0140988322005588 http://hdl.handle.net/10576/47353 |
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| _version_ | 1857415084473581568 |
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| author | Mobeen Ur, Rehman |
| author2 | Raheem, Ibrahim D. Zeitun, Rami Vo, Xuan Vinh Ahmad, Nasir |
| author2_role | author author author author |
| author_facet | Mobeen Ur, Rehman Raheem, Ibrahim D. Zeitun, Rami Vo, Xuan Vinh Ahmad, Nasir |
| author_role | author |
| dc.creator.none.fl_str_mv | Mobeen Ur, Rehman Raheem, Ibrahim D. Zeitun, Rami Vo, Xuan Vinh Ahmad, Nasir |
| dc.date.none.fl_str_mv | 2022-11-28 2023-09-10T10:05:32Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://dx.doi.org/10.1016/j.eneco.2022.106429 Rehman, M. U., Katsiampa, P., Zeitun, R., & Vo, X. V. (2023). Conditional dependence structure and risk spillovers between bitcoin and fiat currencies. Emerging Markets Review, 55, 100966. 0140-9883 https://www.sciencedirect.com/science/article/pii/S0140988322005588 http://hdl.handle.net/10576/47353 117 1873-6181 |
| dc.language.none.fl_str_mv | en |
| dc.publisher.none.fl_str_mv | Elsevier |
| dc.rights.none.fl_str_mv | http://creativecommons.org/licenses/by/4.0/ info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Oil shocks Green bonds Predictive model |
| dc.title.none.fl_str_mv | Do oil shocks affect the green bond market? |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | qu_343eb6ecbd2fcb35fa69acdcfbfe223e |
| identifier_str_mv | Rehman, M. U., Katsiampa, P., Zeitun, R., & Vo, X. V. (2023). Conditional dependence structure and risk spillovers between bitcoin and fiat currencies. Emerging Markets Review, 55, 100966. 0140-9883 117 1873-6181 |
| language_invalid_str_mv | en |
| network_acronym_str | qu |
| network_name_str | Qatar University repository |
| oai_identifier_str | oai:qspace.qu.edu.qa:10576/47353 |
| publishDate | 2022 |
| publisher.none.fl_str_mv | Elsevier |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | http://creativecommons.org/licenses/by/4.0/ |
| spelling | Do oil shocks affect the green bond market?Mobeen Ur, RehmanRaheem, Ibrahim D.Zeitun, RamiVo, Xuan VinhAhmad, NasirOil shocksGreen bondsPredictive modelThis 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.This research is partly funded by the University of Economics Ho Chi Minh City, Vietnam. Open Access funding is provided by the Qatar National Library.Elsevier2023-09-10T10:05:32Z2022-11-28Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://dx.doi.org/10.1016/j.eneco.2022.106429Rehman, M. U., Katsiampa, P., Zeitun, R., & Vo, X. V. (2023). Conditional dependence structure and risk spillovers between bitcoin and fiat currencies. Emerging Markets Review, 55, 100966.0140-9883https://www.sciencedirect.com/science/article/pii/S0140988322005588http://hdl.handle.net/10576/473531171873-6181enhttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:qspace.qu.edu.qa:10576/473532024-07-23T10:58:25Z |
| spellingShingle | Do oil shocks affect the green bond market? Mobeen Ur, Rehman Oil shocks Green bonds Predictive model |
| status_str | publishedVersion |
| title | Do oil shocks affect the green bond market? |
| title_full | Do oil shocks affect the green bond market? |
| title_fullStr | Do oil shocks affect the green bond market? |
| title_full_unstemmed | Do oil shocks affect the green bond market? |
| title_short | Do oil shocks affect the green bond market? |
| title_sort | Do oil shocks affect the green bond market? |
| topic | Oil shocks Green bonds Predictive model |
| url | http://dx.doi.org/10.1016/j.eneco.2022.106429 https://www.sciencedirect.com/science/article/pii/S0140988322005588 http://hdl.handle.net/10576/47353 |