Abstract:
This paper investigates the link between crude oil prices (COP) and green bonds through a rolling-window Granger-causality test. The positive, negative, and uncorrelated impacts of COP on the green bond index (GBI) are captured with the same sample. The positive effects show that the prosperity of the green bond market is promoted by the high COP, demonstrating that green bonds can avoid shocks from COP. Nevertheless, due to the high profits of the green energy industry and the excess supply on the oil market, the negative impact between COP and GBI is also found. These results are not completely consistent with the price correlation model between oil and green bonds. Furthermore, the positive impact of the GBI on COP shows that green bonds cannot moderate the oil crisis due to COVID-19, instability in the international political environment, and the immaturity of green bonds market. In addition, depending on the quantile Granger-causality test, only high COP affects the GBI, and this asymmetric feature is attributed to increasing production costs and environmental protection pressure. Understanding the nexus between COP and the GBI is of practical significance for bond issuers, regulators, and investors.
