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المؤلفMobeen Ur, Rehman
المؤلفRaheem, Ibrahim D.
المؤلفZeitun, Rami
المؤلفVo, Xuan Vinh
المؤلفAhmad, Nasir
تاريخ الإتاحة2023-09-10T10:05:32Z
تاريخ النشر2022-11-28
اسم المنشورEnergy Economics
المعرّفhttp://dx.doi.org/10.1016/j.eneco.2022.106429
الاقتباسRehman, 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.
الرقم المعياري الدولي للكتاب0140-9883
معرّف المصادر الموحدhttps://www.sciencedirect.com/science/article/pii/S0140988322005588
معرّف المصادر الموحدhttp://hdl.handle.net/10576/47353
الملخصThis 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.
راعي المشروعThis research is partly funded by the University of Economics Ho Chi Minh City, Vietnam. Open Access funding is provided by the Qatar National Library.
اللغةen
الناشرElsevier
الموضوعOil shocks
Green bonds
Predictive model
العنوانDo oil shocks affect the green bond market?
النوعArticle
رقم المجلد117
Open Access user License http://creativecommons.org/licenses/by/4.0/
ESSN1873-6181
dc.accessType Full Text


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