The roles of oil shocks and geopolitical uncertainties on China’s green bond returns

Chi-Chuan Lee, Huayun Tang and Ding Li

Economic Analysis and Policy, 2022, vol. 74, issue C, 494-505

Abstract: This research assesses the linkages among oil shocks, geopolitical uncertainties, and green bond returns based on a structural vector autoregression framework for China from January 2010 to May 2021. Evidence reveals that oil-specific demand shocks significantly affect geopolitical uncertainty and green bond dynamics. An unanticipated positive change in oil prices triggers an increase in geopolitical risks and a reduction in green bond returns. The results also demonstrate that positive changes in geopolitical risks come with a drop in oil prices and a rise in green bond returns, but the influence of geopolitical shocks is heterogeneous, depending upon which categories of risk are considered. Geopolitical acts negatively affect oil prices, while geopolitical threats have a significantly positive impact on green bond returns. Understanding these relationships can therefore enable investors and regulators to develop and enforce appropriate policies to help overcome oil shocks and fluctuations in geopolitical risks.

Keywords: Oil price shock; Policy-related risk; Green bond return; SVAR (search for similar items in EconPapers)
JEL-codes: C32 G28 Q41 Q43 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:74:y:2022:i:c:p:494-505

DOI: 10.1016/j.eap.2022.03.008

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