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dc.contributor.authorWei, P.
dc.contributor.authorQi, Y.
dc.contributor.authorRen, X.
dc.contributor.authorGozgor, Giray
dc.date.accessioned2023-09-27T08:13:39Z
dc.date.accessioned2023-10-06T15:32:52Z
dc.date.available2023-09-27T08:13:39Z
dc.date.available2023-10-06T15:32:52Z
dc.date.issued2023-05
dc.identifier.citationWei P, Qi Y, Ren X et al (2023) The role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approaches. Energy Economics. 121: 106657.en_US
dc.identifier.urihttp://hdl.handle.net/10454/19610
dc.descriptionYesen_US
dc.description.abstractThis 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.en_US
dc.description.sponsorshipThis 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].en_US
dc.language.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.eneco.2023.106657en_US
dc.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.en_US
dc.subjectGreen bond marketen_US
dc.subjectOil market shocksen_US
dc.subjectThe COVID-19 pandemicen_US
dc.subjectQuantile coherencyen_US
dc.subjectQuantile Granger causalityen_US
dc.titleThe role of the COVID-19 pandemic in time-frequency connectedness between oil market shocks and green bond markets: Evidence from the wavelet-based quantile approachesen_US
dc.status.refereedYesen_US
dc.date.Accepted2023-03-27
dc.date.application2023-04-06
dc.typeArticleen_US
dc.date.EndofEmbargo2024-10-06
dc.type.versionAccepted manuscripten_US
dc.description.publicnotesThe full-text of this article will be released for public view at the end of the publisher embargo on 06 Oct 2024.en_US
dc.rights.licenseCC-BY-NC-NDen_US
dc.date.updated2023-09-27T08:13:40Z
refterms.dateFOA2023-10-06T15:33:23Z
dc.openaccess.statusembargoedAccessen_US


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