Oil price shocks,geopolitical risks,and green bond market dynamics |
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| Affiliation: | 1. Webster Vienna Private University, Austria;2. University of Portsmouth, United Kingdom;3. University of Pretoria, South Africa;4. University of Thessaly, Greece;1. School of Economics and Finance, Massey University, Auckland, New Zealand;2. Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;3. Institute of Business Research and CFVG -University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;1. School of Economics and Finance, Massey University, Auckland, New Zealand;2. UCD College of Business, University College Dublin, Ireland;3. School of Economics and Finance, Massey University, Auckland, New Zealand;4. School of Accountancy Economics and Finance, University of Wollongong, Australia;5. School of Government, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam;6. Tokai University, Kanagawa, Japan |
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| 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. |
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| Keywords: | Oil price shock Green bonds, Geopolitical risks Green finance Granger-causality in quantiles analysis |
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