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Oil price shocks, geopolitical risks, and green bond market dynamics

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  • Lee, Chi-Chuan
  • Lee, Chien-Chiang
  • Li, Yong-Yi

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.

Suggested Citation

  • Lee, Chi-Chuan & Lee, Chien-Chiang & Li, Yong-Yi, 2021. "Oil price shocks, geopolitical risks, and green bond market dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    • Handle: RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301972
    DOI: 10.1016/j.najef.2020.101309
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    Keywords

    Oil price shock; Green bonds; Geopolitical risks; Green finance; Granger-causality in quantiles analysis;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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