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Do oil shocks affect the green bond market?

journal contribution
submitted on 2023-11-06, 09:16 and posted on 2023-11-06, 09:54 authored by Mobeen Ur Rehman, Ibrahim D. Raheem, Rami Zeitun, Xuan Vinh Vo, Nasir Ahmad

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.

Other Information

Published in: Energy Economics
License: http://creativecommons.org/licenses/by/4.0/
See article on publisher's website: https://dx.doi.org/10.1016/j.eneco.2022.106429

Funding

Open Access funding provided by the Qatar National Library

History

Language

  • English

Publisher

Elsevier

Publication Year

  • 2023

License statement

This Item is licensed under the Creative Commons Attribution 4.0 International License

Institution affiliated with

  • Qatar University
  • College of Business and Economics - QU