Dependence and risk spillovers between green bonds and clean energy markets
By Nana Liu, Chuanzhe Liu, Bowen Da, Tong Zhang, Fangyuan Guan. 2021
247 citations recorded by the source corpus.
Abstract In this study, we first examine the dynamic dependence structure between green bonds (GBs) and several global and sectoral clean energy (CE) markets by using several time-invariant and time-varying copula approaches over the period from 5 July 2011 to 24 February 2020. We then apply conditional value-at-risk (CoVaR) and delta CoVaR to capture downside and upside risk spillovers from CE to GB, and vice versa. Our empirical analysis shows that there is positive time-varying average and tail dependence between GBs and CE stock markets. Moreover, extreme downward or upward movements in the CE stock market have a spillover effect on the GB market, and vice versa. Furthermore, the risk spillover between these markets is asymmetric. These results make an important contribution to policymakers and environmentally friendly investors with GB positions by adding unexpected tail losses. It is critical for the GB investors to invest their capital effectively in economic activities that are consistent with a low-carbon economy.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/934ea1f5bddad3f23cb06d57075e3900949d4140
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Citations in the corpus
- Frequency connectedness and cross-quantile dependence between green bond and green equity markets (2021, methodology): “First, Liu et al. (2020) use copulas and CoVaR systemic risk models to study the relationship between green bond and clean energy stock markets and find significant tail dependence between these markets. Second, Nguyen et al. (2020) use wavelets to study the co-movement between green bond and other ”