The connectedness of oil shocks, green bonds, sukuks and conventional bonds

Zaghum Umar, Afsheen Abrar, Sinda Hadhri and Tatiana Sokolova

Energy Economics, 2023, vol. 119, issue C

Abstract: We analyze the impact of oil price shocks on three unique fixed income asset classes representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing network dynamic connectedness framework. Our sample period ranges from May 1, 2009, to March 1, 2022, covering the aftermath of global financial crisis, subsequent boom and bust of oil markets and the COVID-19 pandemic. We document a sizable connectedness of oil price shocks with fixed income asset classes. We document oil demand and risk shocks' role as main transmitters of spillover. Our findings have important implications for investors, policy makers and regulators.

Keywords: Oil; Bonds; Green bonds; Sukuks; Connectedness analysis (search for similar items in EconPapers)
JEL-codes: C5 G1 Q4 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609

DOI: 10.1016/j.eneco.2023.106562

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