Abstract
ABSTRACT This paper provides a novel framework based on extreme value theory, i.e. the autoregressive conditional Fréchet–time-varying parameters–vector autoregression (AcF–TVP–VAR) framework, to explore the tail risk spillovers between decomposed oil shocks (supply, demand, and risk shocks) and green finance markets. The empirical results reveal that there are significant time-varying tail risk spillovers between the two markets, with spillovers intensifying during extreme events. Additionally, throughout the sample period, supply shock is found to be a net transmitter of tail risk, while clean energy market is a net receiver. Notably, the safe haven properties of green bond market are captured, indicating it can serve as a diversified investment option. The findings are important for financial investors and policymakers.
Published Version
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