Dynamic linkages among oil price, green bond, carbon market and low-carbon footprint company stock price: Evidence from the TVP-VAR model

• Published in: Energy reports Vol. 8; pp. 11249 - 11258
• Main Authors: Li, Houjian, Zhou, Deheng, Hu, Jiayu, Guo, Lili
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.11.2022; Elsevier
• Subjects: Carbon price; Green bond; Oil price; TVP-VAR; TVP-VAR; Carbon price; Green bond; Oil price
• ISSN: 2352-4847; 2352-4847
• DOI: 10.1016/j.egyr.2022.08.230

Achieving peak carbon dioxide emissions and carbon neutrality is essential for China to achieve high-quality economic development. This paper uses the Time-Varying Parameter Vector AutoRegression (TVP-VAR) model to explore the dynamic relationship between oil price, green bond index, carbon emission trading price and carbon efficiency index. The time-varying impulse response analysis results show that the oil price has a negative effect on the green bond index and carbon price and a positive impact on the carbon efficiency index in the short and medium term. The green bond index has a positive impact on the carbon price in the short and medium term, and a negative impact on the carbon efficiency index. In addition, carbon price shocks have a positive impact on the carbon efficiency index in the short and medium term. The robustness test indicates that our results are robust. These findings can help formulate relevant policies and prevent financial risks under the influence of energy prices.