Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis

Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis

This paper examines the multiscale comovement between the green bonds issued in developed countries and international oil-driven shocks. We extracted the oil shocks using a structural vector autoregressive model. The countries in our analysis comprised the UK, the US, Japan, Canada, Australia, and E...

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Bibliographic Details
Main Author: Mobeen Ur, Rehman (author)
Other Authors: Nautiyal, Neeraj (author), Zeitun, Rami (author), Vo, Xuan Vinh (author), Ghardallou, Wafa (author)
Format: article
Published: 2024
Subjects:
Oil shocks
Green bonds
Wavelets
VaR
Online Access:http://dx.doi.org/10.1016/j.najef.2024.102122
https://www.sciencedirect.com/science/article/pii/S1062940824000470
http://hdl.handle.net/10576/61978
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http://dx.doi.org/10.1016/j.najef.2024.102122
https://www.sciencedirect.com/science/article/pii/S1062940824000470
http://hdl.handle.net/10576/61978

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