Dependence Dynamic and Causality Between Crude Oil, Green Bond, Commodity, geopolitical risks and policy uncertainty

Description

This research explores for the first instance to the best of our understanding, the dynamically related nexus among the crude oil market returns and four major indices namely Bloomberg Commodity Index; the green bond index, geopolitical index and the US economic policy uncertainty index, from 2014M8 to 2021 M2. The paper makes a unique contribution to the extant empirical literature by using three novel econometric methods namely, the nonparametric test of Granger-causality-in-quantiles by Jeong et al. (2012), the quantile coherency estimation method by Barunik’s and Kley’s (2015) and the cross-quantilogram measure by the Han et al. (2016). For robustness tests, the paper adopts the method by Bolos et al. (2017).

Categories

Licence