Oil price shocks, geopolitical risks, and green bond market dynamics

By Chi‐Chuan Lee, Chien‐Chiang Lee, Yong-Yi Li. 2020

308 citations recorded by the source corpus.

Abstract This research explores the causal relation among oil price, geopolitical risks, and green bond index in the United States from December 2013 to January 2019. Unlike the conventional linear model specification used in earlier works, we evaluate causal relations based on Granger-causality in quantile analysis. Our empirical results reveal unidirectional Granger-causality from geopolitical risk to oil price at the extreme quantiles. We also observe a significant bi-directional causality from oil price to green bond index for the lower quantiles. Findings also reveal causality from geopolitical risk to green bond index in the lower quantiles of the distribution. Therefore, knowledge of these causal relationships can help policy makers to evaluate and implement effective policies to prevent sudden and substantial oil price shocks and geopolitical risk.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/f44da1eae201cfe785ecc997fc78a5244a547b73