TY - JOUR
T1 - Connectedness between green bonds, conventional bonds, oil, heating oil, natural gas, and petrol
T2 - new evidence during bear and bull market scenarios
AU - Mensi, Walid
AU - Selmi, Refk
AU - Al-Kharusi, Sami
AU - Belghouthi, Houssem Eddine
AU - Kang, Sang Hoon
N1 - Publisher Copyright:
© 2024 Elsevier Ltd
PY - 2024/4/1
Y1 - 2024/4/1
N2 - This study examines the spillovers between US green bonds, non-green bonds (10-year US Treasuries) and four major energy markets - West Texas Intermediate (WTI) crude oil, heating oil, natural gas, and petrol - during bear and bull market conditions. We combine the Diebold and Yilmaz (2012) spillover index and the quantile connectedness approach developed by Ando et al. (2022) in order to capture financial markets exhibiting higher potential risk and to assess their extreme dependence. The main results show a strong time-varying connectedness between focal asset classes during major crisis periods, including the oil price crash, the China-US trade conflict, the coronavirus crisis and the war between Russia and Ukraine. The network analysis reveals that WTI, heating oil and green bonds act as net transmitters of risk, while the other asset classes serve as net receivers of spillovers. In extreme conditions, spillovers between energy commodities, green bonds and non-green bonds are asymmetric, given that they are not equal in the upper and lower quantiles. Green bonds offer greater diversification benefits when coupled with WTI, heating oil, gasoline, and natural gas, though with varying portfolio weights.
AB - This study examines the spillovers between US green bonds, non-green bonds (10-year US Treasuries) and four major energy markets - West Texas Intermediate (WTI) crude oil, heating oil, natural gas, and petrol - during bear and bull market conditions. We combine the Diebold and Yilmaz (2012) spillover index and the quantile connectedness approach developed by Ando et al. (2022) in order to capture financial markets exhibiting higher potential risk and to assess their extreme dependence. The main results show a strong time-varying connectedness between focal asset classes during major crisis periods, including the oil price crash, the China-US trade conflict, the coronavirus crisis and the war between Russia and Ukraine. The network analysis reveals that WTI, heating oil and green bonds act as net transmitters of risk, while the other asset classes serve as net receivers of spillovers. In extreme conditions, spillovers between energy commodities, green bonds and non-green bonds are asymmetric, given that they are not equal in the upper and lower quantiles. Green bonds offer greater diversification benefits when coupled with WTI, heating oil, gasoline, and natural gas, though with varying portfolio weights.
KW - Energy markets
KW - Extreme spillovers
KW - Green bonds
KW - Hedging
KW - Non-green bonds
UR - http://www.scopus.com/inward/record.url?scp=85188557739&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85188557739&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/8c4fd514-3a14-3122-af72-9ad259805297/
U2 - 10.1016/j.resourpol.2024.104888
DO - 10.1016/j.resourpol.2024.104888
M3 - Article
AN - SCOPUS:85188557739
SN - 0301-4207
VL - 91
JO - Resources Policy
JF - Resources Policy
M1 - 104888
ER -