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Lee, Chi-Chuan; Lee, Chien-Chiang; Li, Yong-Yi
The North American journal of economics and finance, January 2021, 2021-01-00, Volume: 55Journal Article
•Assess the causal relation among oil price, geopolitical risk, and green bond index.•Use Granger-causality in quantile from December 2013 to January 2019 in the U.S.•Find unidirectional causality from geopolitical risk to oil price at the extreme tails.•Support bi-directional lower-tail causality from oil price to green bond index.•Present causality from geopolitical risk to green bond index in the lower quantiles. This research explores the causal relation among oil price, geopolitical risks, and green bond index in the United States from December 2013 to January 2019. Unlike the conventional linear model specification used in earlier works, we evaluate causal relations based on Granger-causality in quantile analysis. Our empirical results reveal unidirectional Granger-causality from geopolitical risk to oil price at the extreme quantiles. We also observe a significant bi-directional causality from oil price to green bond index for the lower quantiles. Findings also reveal causality from geopolitical risk to green bond index in the lower quantiles of the distribution. Therefore, knowledge of these causal relationships can help policy makers to evaluate and implement effective policies to prevent sudden and substantial oil price shocks and geopolitical risk.
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