Do oil shocks affect the green bond market?

Mobeen Ur Rehman, Ibrahim D. Raheem, Rami Zeitun, Xuan Vinh Vo, Nasir Ahmad

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)
11 Downloads (Pure)


This study examines the predictive power of oil shocks for the green bond markets. In line with this aim, we investigated the extent to which oil shocks could be used to accurately make in- and out-of-sample forecasts for green bond returns. Three striking findings emanated from our results: First, the three types of oil shock are reliable predictors for green bond indices. Second, the performances of the predictive models were consistent across the different forecasting horizons (i.e. H = 1 to H = 24). Third, our findings were sensitive to classifying the dataset into pre-COVID and COVID eras. For instance, the results confirmed that the predictive power of oil shocks declined during the crisis period. We also discuss some policy implications of this study's findings.
Original languageEnglish
Article number106429
JournalEnergy Economics
Early online date28 Nov 2022
Publication statusPublished - Jan 2023

Cite this