Journal
RISKS
Volume 11, Issue 1, Pages -Publisher
MDPI
DOI: 10.3390/risks11010015
Keywords
co-movements; dependence; wavelet analysis; oil prices; green bonds; CO2 emissions; bibliometric analysis
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The study utilizes wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) to investigate the co-movements among oil prices, green bonds, and CO2 emissions based on daily data from January 2014 to October 2022. The findings reveal significant volatility in oil returns, the Green Bond Index, and CO2 futures' returns at various frequencies during different periods. The analysis shows a negative impact of oil returns on the Green Bond Index in the medium term and a strong interdependence between oil prices and CO2 futures' returns across short, medium, and long terms.
Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, and CO2 emissions on daily data from January 2014 to October 2022. The WPS results show that oil returns exhibit significant volatility at low and medium frequencies, particularly in 2014, 2019-2020, and 2022. Also, the Green Bond Index presents significant volatility at the end of 2019-2020 and the beginning of 2022 at low, medium, and high frequencies. Additionally, CO2 futures' returns present high volatility at low and medium frequencies, expressly in 2015-2016, 2018, the end of 2019-2020, and 2022. WCA's empirical findings reveal (i) that oil returns have a negative impact on the Green Bond Index in the medium term. (ii) There is a strong interdependence between oil prices and CO2 futures' returns, in short, medium, and long terms, as inferred from the time-frequency analysis. (iii) There also is evidence of strong short, medium, and long terms co-movements between the Green Bond Index and CO2 futures' returns, with the Green Bond Index leading.
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