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AuthorMobeen Ur, Rehman
AuthorRaheem, Ibrahim D.
AuthorZeitun, Rami
AuthorVo, Xuan Vinh
AuthorAhmad, Nasir
Available date2023-09-10T10:05:32Z
Publication Date2022-11-28
Publication NameEnergy Economics
Identifierhttp://dx.doi.org/10.1016/j.eneco.2022.106429
CitationRehman, 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.
ISSN0140-9883
URIhttps://www.sciencedirect.com/science/article/pii/S0140988322005588
URIhttp://hdl.handle.net/10576/47353
AbstractThis 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.
SponsorThis research is partly funded by the University of Economics Ho Chi Minh City, Vietnam. Open Access funding is provided by the Qatar National Library.
Languageen
PublisherElsevier
SubjectOil shocks
Green bonds
Predictive model
TitleDo oil shocks affect the green bond market?
TypeArticle
Volume Number117
Open Access user License http://creativecommons.org/licenses/by/4.0/
ESSN1873-6181
dc.accessType Full Text


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