Oil price shocks, economic policy uncertainty, and green finance: a case of China

This study investigates the long- and short-run effects of crude oil price (COP) and economic policy uncertainty (EPU) on China's green bond index (GBI) using the quantile autoregressive distributed lag model. The empirical results show that COP and EPU produce a significant positive and negative influence on GBI in the long-run across most quantiles, respectively, but their short-run counterparts are opposite direction and only significant in higher quantiles. Thus, major contributions are made accordingly and shown in the following aspects. The findings emphasise the importance of understanding how COP and EPU affect China's green bond market for the first time. In addition, both the long- and short-run effects are captured, but long-run shocks primarily drive the green bond market. Finally, time- and quantile-varying analyses are adopted to explain the nexus between COP and EPU to GBI, which considers not only different states of the bond market but also events that occur in different time periods. Some detailed policies, such as a unified and effective green bond market, an early warning mechanism of oil price fluctuation, and prudent economic policy adjustments, are beneficial for stabilising the green finance market.

Continuous Wavelet Transform of Time-Frequency Analysis Technique to Capture the Dynamic Hedging Ability of Precious Metals

Exploring the hedging ability of precious metals through a novel perspective is crucial for better investment. This investigation applies the wavelet technique to study the complicated correlation between global economic policy uncertainty (GEPU) and the prices of precious metals. The empirical outcomes suggest that GEPU exerts positive influences on the prices of precious metals, indicating that precious metals could hedge against global economic policy uncertainty, which is supported by the inter-temporal capital asset pricing model (ICAPM). Among them, gold is better for long-term investment than silver, which is more suitable for the short run in recent years, while platinum's hedging ability is virtually non-existent after the global trade wars. Conversely, the positive influences from gold price on GEPU underline that the gold market plays a prospective role in the situation of economic policies worldwide, which does not exist in the silver market. Besides, the effects of platinum price on GEPU change from positive to negative, suggesting that the underlying cause of its forward-looking effect on GEPU alters from the investment value to the industrial one. In the context of the increasing instability of global economic policies, the above conclusions could offer significant lessons to both investors and governments.

Do oil price shocks drive unemployment? Evidence from Russia and Canada

This paper investigates the dynamic relationships between the crude oil price (COP) and the unemployment rate (UR) in Russia and Canada with a bootstrap subsample rolling-window causality test. This approach relaxes linear assumptions, fully considers structural breaks, and captures time-varying causalities between variables;thus, it performs better than traditional long-run causality tests. The empirical results indicate that there are dynamic causal links between the COP and the UR in certain subsample intervals, which does not fully support Carruth's model. Furthermore, the causality between the COP and the UR in Russia can be described based on Western sanctions, China-Russia energy cooperation and the COVID-19 pandemic. In contrast, a decrease in major oil companies' production and the development of U.S. shale oil are employed to explain the fluctuating relationship between the COP and the UR in Canada. Our study identifies potential heterogeneous reasons for the dynamic causalities of major exporting countries, and it reveals novel influencing mechanisms between these two variables. Thus, some policies are suggested to alleviate shocks from oil prices, including oil risk management and oil cooperation for Russia and oil export structural adjustments and monitoring mechanism establishment for Canada.