Do oil shocks affect the green bond market?

• DOI: 10.1016/j.eneco.2022.106429
• Publication Date: 2022-11-28T05:31:26Z
• Authors: Mobeen Ur Rehman; Ibrahim D. Raheem; Rami Zeitun; Xuan Vinh Vo; Nasir Ahmad
• Keywords: Predictive power; Sample (material)

This study examines the predictive power of oil shocks for green bond markets. In line with this aim, we investigated extent to which could be used accurately make in- and out-of-sample forecasts returns. Three striking findings emanated from our results: First, three types shock are reliable predictors indices. Second, performances models were consistent across different forecasting horizons (i.e. H = 1 24). Third, sensitive classifying dataset into pre-COVID COVID eras. For instance, results confirmed that declined during crisis period. We also discuss some policy implications study's findings.