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The connectedness of oil shocks, green bonds, sukuks and conventional bonds
Energy Economics ; : 106562.0, 2023.
Article in English | ScienceDirect | ID: covidwho-2236488
ABSTRACT
We analyze the impact of oil price shocks on three unique fixed income asset classes representing conventional bonds, Islamic bonds (sukuks) and green bonds by employing network dynamic connectedness framework. Our sample period ranges from May 1, 2009, to March 1, 2022, covering the aftermath of global financial crisis, subsequent boom and bust of oil markets and the COVID-19 pandemic. We document a sizable connectedness of oil price shocks with fixed income asset classes. We document oil demand and risk shocks' role as main transmitters of spillover. Our findings have important implications for investors, policy makers and regulators.
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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Prognostic study Language: English Journal: Energy Economics Year: 2023 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Type of study: Prognostic study Language: English Journal: Energy Economics Year: 2023 Document Type: Article