Driving green bond market through energy prices, gold prices and green energy stocks: evidence from a non-linear approach

Yan, Lei; Wang, Haiyan; Athari, Seyed Alireza; Atif, Faraz

doi:10.1080/1331677x.2022.2049977

Cited by 28 publications

(11 citation statements)

References 76 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These results are consistent with China's reality that the green bond market is more easily influenced by long-run shocks than short-run shocks. As proven by Pirtea et al (2021) to external shocks such as oil price volatility (Hu et al, 2022;Yan et al, 2022). Besides, the p values for both statistics W(b EPU ) and W * (b EPU ) are observed to be lower than 0.1 since the year 2020, meaning that the null hypothesis is not able to accept during the mentioned time.…”

Section: Rolling Window Analysismentioning

confidence: 93%

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Wang

Umar

et al. 2022

Technological and Economic Development of Economy

View full text Add to dashboard Cite

This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China’s green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China’s green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.

show abstract

Section: Rolling Window Analysismentioning

confidence: 93%

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Wang

Umar

et al. 2022

Technological and Economic Development of Economy

View full text Add to dashboard Cite

show abstract

“…The third trend delves into the correlation among different financial assets, including financial mechanisms for funding renewable and non-renewable energies (Zaghdoudi, 2017;Le and Nguyen, 2019). In this way, the empirical evidence suggests that the correlation between green bonds and the other studied markets, such as energy prices, especially oil prices (Azhgaliyeva et al, 2021;Yan et al, 2022), and corporate and treasury bonds (Reboredo, 2018;Nguyen et al, 2021) is positive, and negative with stock markets and exchange rates (Naeem et al, 2021). The comovements are especially strong during financial crisis periods due to the volatility in the financial markets (Le and Nguyen, 2019;Nguyen et al, 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…The selected variables are relevant because oil still retains great prominence within the finance world as an essential input for production, a relevant commodity within global financial markets, and a significant source of CO 2 emissions. The considered variables can reflect the recent evolution of the CO 2 emissions and the efforts of green bond markets to contribute toward climate change remediation, conservation of Frontiers in Environmental Science frontiersin.org natural resources, biodiversity enhancement or conservation, pollution control, and prevention (Yan et al, 2022).…”

Section: The Datasetmentioning

confidence: 99%

Dynamic relationships among green bonds, CO2 emissions, and oil prices

Marín-Rodríguez

González-Ruiz²,

Botero³

2022

Front. Environ. Sci.

View full text Add to dashboard Cite

Green bonds play a pivotal role in the financing of sustainable infrastructure systems. Likewise, CO2 emissions and oil prices can cause an impact on the green bonds market. In order to better understand this issue, this study analyzes the relationship among green bonds, CO2 futures’ prices, and oil prices using a daily data set that includes 2,206 observations corresponding to daily information from 1 January 2014 to 15 June 2022. The Granger Causality Test and the Dynamic Conditional Correlation (DCC-Garch) Model were employed to conduct this analysis. Furthermore, a sensitivity analysis was performed to identify crisis periods concerning the sample period and provide an analysis of DCC-Garch results during extreme market conditions like the COVID-19 pandemic and the Russian invasion of Ukraine. The Granger Causality Test results present a unidirectional causality running from the Green Bond Index to the oil price returns. Also, there is a unidirectional causality running from the Green Bond Index to the CO2 futures’ returns. Additionally, a unidirectional causality runs from the oil price returns to the CO2 futures’ returns. The results for the DCC-Garch indicate a positive dynamic correlation between the Brent oil price return and the CO2 futures’ returns. Finally, the Green Bond Index shows a negative dynamic correlation to the oil return and the CO2 futures’ returns presenting a strong correlation in uncertainty periods.

show abstract

“…Numerous researchers have explored the link between carbon emissions and innovation, considering innovation and technological as the significant factor to mitigate climate change issues [12] and enhance environmental wellbeing without harming economic growth. Existing research can measure innovation by expenditure in energy R&D, expenditure in R&D, renewable energy consumption, the number of patent families, number of researchers engaged in R&D, industry-university-research cooperation and even green project financing (e.g., green bonds) [13], etc.…”

Section: Literature Reviewmentioning

confidence: 99%

R&D Human Capital, Renewable Energy and CO2 Emissions: Evidence from 26 Countries

et al. 2022

View full text Add to dashboard Cite

This study examines the long-term relationship between carbon emissions and a number of researchers engaged in Research and Development (R&D), economic development, foreign capital inflows, renewable energy and population growth in 26 countries between 1995 and 2015. Pedroni’s panel cointegration test confirms the cointegrating relationship between the variables. Long-term elasticities are derived from FMOLS regression. Researchers in R&D and renewable energy are negatively and significantly related to carbon emissions. There is a positive and significant long-term relationship between GDPs per capita and CO2 and between the FDI and CO2. Dumitrescu and Hurlin’s panel causality test revealed unidirectional causality running from economic development to carbon emissions and feedback hypotheses between the FDI and CO2 and between renewable energy and CO2.

show abstract

Driving green bond market through energy prices, gold prices and green energy stocks: evidence from a non-linear approach

Cited by 28 publications

References 76 publications

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Oil Price Shocks, Economic Policy Uncertainty, and Green Finance: A Case of China

Dynamic relationships among green bonds, CO2 emissions, and oil prices

R&D Human Capital, Renewable Energy and CO2 Emissions: Evidence from 26 Countries

Contact Info

Product

Resources

About