Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2077794
Can the green bond market enter a new era under the fluctuation of oil price?
Chi Wei Su
Yingfeng Chen
Jinyan Hu
Tsangyao Chang
Muhammad Umar
Sažetak
This paper investigates how oil price (OP) influences the prospects
of green bonds by utilising the quantile-onquantile (QQ)
method and researching the interactions between OP and green
bond index (GBI) from 2011:M1 to 2021:M11. We find that
impacts from OP on the GBI are positive in the short run. The
positive effects indicate that high OP can promote the development
of the green bond market, indicating that green bonds can
be considered an asset to avoid OP shocks. However, in the
medium and long term, there is a negative impact due to the
oversupply of the oil market and the increase in green energy
industry profits. These results are identical to the supply and
demand-based correlation model of green bonds and oil price,
which underlines a specific effect of OP on GBI. The GBI effect on
OP is consistently positive across all quantiles. It indicates that
green bonds cannot be considered efficient measures to alleviate
the oil crisis due to the instability of the Middle East COVID-19
and the small scale of green bonds. The issuers of green bonds
can make decisions based on OP. Understanding the relationship
between OP and GBI is also beneficial for investors.
Ključne riječi
Oil price; green bonds; quantile-on-quantile; wavelet transforms
Hrčak ID:
303743
URI
Datum izdavanja:
31.3.2023.
Posjeta: 823 *