Dynamic relationship between green bonds, energy prices, geopolitical risk, and disaggregated level CO2 emissions: evidence from the globe by novel WLMC approach
Abstract
Abstract This research analyzes the dynamic relationship between green bonds, energy prices, geopolitical risk, and CO 2 emissions. In doing so, the study examines the global scale at disaggregated (i.e., sectoral) level, applies a novel time and frequency-based approach (i.e., wavelet local multiple correlation-WLMC), and uses high-frequency daily data between 1st January 2020 and 28th April 2023. In doing so, the study considers the potential differences among sectors. So, aggregated and disaggregated level CO 2 emissions on sectoral bases are investigated. Hence, the study comprehensively uncovers the effect of the aforementioned indicators on global CO 2 emissions. The results reveal that on CO 2 emissions (i) the most influential factor is the geopolitical risk (2020/1–2021/5), green bonds (2021/5–2021/7), energy prices (2021/7–2023/1), and green bonds (2023/1–2023/4); (ii) the effects of the influential factors are much weaker (stronger) at lower (higher) frequencies; (iii) the effect of the influential factors change based on times and frequencies; (iv) however, the effects of the influential factors on CO 2 emissions do not differ at aggregated or disaggregated levels. Overall, the results present novel insights for time and frequency-varying effects as well as both aggregated and disaggregated level analyses of global CO 2 emissions.