Artículo

A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO2 Emissions

Resumen

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.
Urrea-Cuéllar, Ángela (57220211864); Londoño Vásquez, David (55817087400)
Review of theoretical and research trends in the field of Psychology of Physical Activity and Sports in Ibero-American; [Revisión de las tendencias teóricas e investigativas en el campo de la Psicología de la Actividad Física y del Deporte en Iberoamérica]
2022
10.17081/psico.25.47.4836
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85151403886&doi=10.17081%2fpsico.25.47.4836&partnerID=40&md5=961c369da2b8790ba0c36e09f204bf96
All Open Access; Gold Open Access
Scopus
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