Do oil shocks affect the green bond market?

Mobeen Ur Rehman, Ibrahim D. Raheem, Rami Zeitun, Xuan Vinh Vo and Nasir Ahmad

Energy Economics, 2023, vol. 117, issue C

Abstract: This 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.

Keywords: Oil shocks; Green bonds; Predictive model (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005588

DOI: 10.1016/j.eneco.2022.106429

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