Divergent reactions to oil price shocks: Green vs. traditional bond perspective across oil-exporting and oil-importing economies
International Review of Financial Analysis, cilt.119, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 119
- Basım Tarihi: 2026
- Doi Numarası: 10.1016/j.irfa.2026.105449
- Dergi Adı: International Review of Financial Analysis
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, EconLit, Business Source Ultimate (EBSCO)
- Anahtar Kelimeler: Dynamic connectedness, Government bond markets, Green bond markets, Oil price shocks, Oil-exporting economies, Oil-importing economies, Quantile-on-quantile connectedness
- Anadolu Üniversitesi Adresli: Evet
Özet
This study examines the interconnectedness between oil price shocks and green bond and government bond markets, focusing on oil-exporting and oil-importing economies. To achieve this, we employ the quantile-on-quantile connectedness methodology to identify extreme risk transmissions between oil price shocks and bond markets, using a comprehensive daily dataset spanning from November 2008 to February 2025. Oil prices have been decomposed into supply, demand and risk shock components using Ready's innovative daily frequency framework. The findings indicate that the strongest connections between oil shocks and bond markets diverge according to bond type. In green bonds, supply and demand shocks indicate strong connections with oil-exporting economies, while risk shock indicates strong connections with oil-importing economies. In contrast, in government bonds, supply and risk shocks are strongly connected to oil-exporting economies, while demand shock exhibits a heterogeneous structure. Our results also reveal the existence of different interactions between oil shocks and bond markets. Green bonds exhibit asymmetric linkages with supply and demand shocks, while government bonds exhibit symmetric linkages with supply and risk shocks, and asymmetric linkages with demand shock. The strongest connections with bond markets occur in the lower quantiles of supply shock and in the upper quantiles of demand and risk shocks. Finally, while direct and reverse linkages intensified substantially during the 2014-2016 oil price collapse and the Russia-Ukraine War (RUW), these connections declined sharply during the COVID-19 outbreak. In this respect, this study provides robust evidence on the interactions between bond markets and oil shocks across crisis and non-crisis periods, offering practical insights for policymakers.