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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| مؤلفون آخرون: | , , , |
| التنسيق: | article |
| منشور في: |
2024
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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| _version_ | 1857415084486164480 |
|---|---|
| author | Mobeen Ur, Rehman |
| author2 | Nautiyal, Neeraj Zeitun, Rami Vo, Xuan Vinh Ghardallou, Wafa |
| author2_role | author author author author |
| author_facet | Mobeen Ur, Rehman Nautiyal, Neeraj Zeitun, Rami Vo, Xuan Vinh Ghardallou, Wafa |
| author_role | author |
| dc.creator.none.fl_str_mv | Mobeen Ur, Rehman Nautiyal, Neeraj Zeitun, Rami Vo, Xuan Vinh Ghardallou, Wafa |
| dc.date.none.fl_str_mv | 2024-12-23T06:21:50Z 2024-02-28 |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://dx.doi.org/10.1016/j.najef.2024.102122 Rehman, M. U., Nautiyal, N., Zeitun, R., Vo, X. V., & Ghardallou, W. (2024). Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis. The North American Journal of Economics and Finance, 72, 102122. 1062-9408 https://www.sciencedirect.com/science/article/pii/S1062940824000470 http://hdl.handle.net/10576/61978 72 1879-0860 |
| 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 Wavelets VaR |
| dc.title.none.fl_str_mv | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | 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 Europe, with the data being captured from November 28, 2008 to June 11, 2021. We applied the wavelet technique to examine the returns comovement across time and frequency as a form of bivariate and multivariate analysis. Our results highlight a limited connection between the returns of green bonds and the international oil market, with Norway and Sweden exhibiting strong comovement across low frequencies. We posit that during crisis periods, the correlation between green bond returns and oil returns varies. The findings of this study have several implications for policymakers and investors with an interest in both oil futures and green bonds. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | qu_b5cb750f90b9fd16f89dde6dc67d8908 |
| identifier_str_mv | Rehman, M. U., Nautiyal, N., Zeitun, R., Vo, X. V., & Ghardallou, W. (2024). Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis. The North American Journal of Economics and Finance, 72, 102122. 1062-9408 72 1879-0860 |
| language_invalid_str_mv | en |
| network_acronym_str | qu |
| network_name_str | Qatar University repository |
| oai_identifier_str | oai:qspace.qu.edu.qa:10576/61978 |
| publishDate | 2024 |
| 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 | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysisMobeen Ur, RehmanNautiyal, NeerajZeitun, RamiVo, Xuan VinhGhardallou, WafaOil shocksGreen bondsWaveletsVaRThis 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 Europe, with the data being captured from November 28, 2008 to June 11, 2021. We applied the wavelet technique to examine the returns comovement across time and frequency as a form of bivariate and multivariate analysis. Our results highlight a limited connection between the returns of green bonds and the international oil market, with Norway and Sweden exhibiting strong comovement across low frequencies. We posit that during crisis periods, the correlation between green bond returns and oil returns varies. The findings of this study have several implications for policymakers and investors with an interest in both oil futures and green bonds.This research is partly funded by the University of Economics Ho Chi Minh City, Vietnam .Elsevier2024-12-23T06:21:50Z2024-02-28Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://dx.doi.org/10.1016/j.najef.2024.102122Rehman, M. U., Nautiyal, N., Zeitun, R., Vo, X. V., & Ghardallou, W. (2024). Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis. The North American Journal of Economics and Finance, 72, 102122.1062-9408https://www.sciencedirect.com/science/article/pii/S1062940824000470http://hdl.handle.net/10576/61978721879-0860enhttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:qspace.qu.edu.qa:10576/619782024-12-23T19:04:43Z |
| spellingShingle | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis Mobeen Ur, Rehman Oil shocks Green bonds Wavelets VaR |
| status_str | publishedVersion |
| title | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| title_full | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| title_fullStr | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| title_full_unstemmed | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| title_short | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| title_sort | Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis |
| topic | Oil shocks Green bonds Wavelets VaR |
| url | http://dx.doi.org/10.1016/j.najef.2024.102122 https://www.sciencedirect.com/science/article/pii/S1062940824000470 http://hdl.handle.net/10576/61978 |