A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO2 Emissions

Wavelet power spectrum (WPS) and wavelet coherence analyses (WCA) are used to examine the co-movements among oil prices, green bonds, CO2 emissions on daily data from January 2014 October 2022. The WPS results show that returns exhibit significant volatility at low medium frequencies, particularly in 2014, 2019–2020, Also, Green Bond Index presents end of 2019–2020 beginning 2022 low, medium, high frequencies. Additionally, futures’ present expressly 2015–2016, 2018, WCA’s empirical findings reveal (i) have a negative impact term. (ii) There is strong interdependence between prices returns, short, long terms, as inferred time–frequency analysis. (iii) also evidence terms with leading.