How Does Long- and Short-Term Crude Oil Price Affect Both the Clean and Dirty Energy Markets? –Evidence from China

This research incorporates crude oil price series with different time scales, China's dirty energy, new energy and green bond index into a system, so as to investigate the spillover effects during some major periods. The results indicate that the spillover effects of short-term oil price fluctuations are mild, and the green bond market is the least affected. While the long-term oil price fluctuations have profound effects on the aforementioned three markets, the spillovers are especially enhanced by extreme events. Our results are verified by appropriate robustness tests.