Yes / This study contributes to the existing literature on the relationship between oil market shocks and the green bond market by investigating the impact of the COVID-19 pandemic on their dynamic correlation. We first decompose the oil market shocks into components using a time-frequency framework. Then, we combine wavelet decomposition and quantile coherence and causality methods to discuss changes during the COVID-19 era. We observe positive effects of both supply-driven and demand-driven oil shocks on the green bond market at most quantile levels. However, supply-driven oil price changes play a major role. The results also indicate that long-term changes have a greater impact than short-term changes on the connection between oil and green bond markets. Nevertheless, the COVID-19 pandemic changed the nature of the causal relationship, as we observed no relationship under extreme market conditions during the pandemic era. We argue that the economic and social impacts of the COVID-19 pandemic have left investors focusing on the short-term substitution between oil and green bond markets. / This research was supported by the Major Projects of the National Natural Science Fund of China [NO. 71991483], the Natural Science Fund of Hunan Province [NO. 2022JJ40647] and the Fundamental Research Funds for the Central Universities of Central South University [NO. 2022ZZTS0353]. / The full-text of this article will be released for public view at the end of the publisher embargo on 06 Oct 2024.
| Identifer | oai:union.ndltd.org:BRADFORD/oai:bradscholars.brad.ac.uk:10454/19610 |
| Date | 27 September 2023 |
| Creators | Wei, P., Qi, Y., Ren, X., Gozgor, Giray |
| Source Sets | Bradford Scholars |
| Language | English |
| Detected Language | English |
| Type | Article, Accepted manuscript |
| Rights | © 2023 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license., CC-BY-NC-ND |
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