气候变化领域集成服务门户(CCPortal): How connected are green bonds to green assets and non-green assets?

CCPortal

DOI	10.1080/09640568.2024.2312543
	How connected are green bonds to green assets and non-green assets?
	Liu, Nana; Wang, Hairong; Chu, Jun; Cai, Rongjiang; Dou, Yaqin
发表日期	2024
ISSN	0964-0568
EISSN	1360-0559
英文摘要	The growing concern surrounding climate change has piqued interest in incorporating green bonds (GBs) into investment portfolios. This article integrates green and non-green assets into one framework, creating a two-way feedback mechanism. Using a modified error variance decomposition and network diagrams, we quantitatively and systematically analyze the connections between the green bond market and various other market information at different time frequencies. Furthermore, we investigated the spillover values in extreme conditions using quantile connectivity methods. Our findings reveal that: (i) GBs exhibit a stronger correlation with traditional fixed-income markets than green assets, (ii) short-term spillover effects are the most pronounced, followed by medium- and long-term effects, (iii) changes in the spillover index appear to stem from significant economic events, indicating heightened market correlation during financial turbulence, and (iv) uncertainty contributes more significantly to systemic spillovers than financial factors, albeit with variations across different frequencies, (v) GB shows its potential as a safe asset in extreme downturns and normal market conditions. These results have significant economic implications for investors, portfolio managers, and policymakers.
英文关键词	Green bonds; green assets; connectedness network; macroeconomic determinants; quantile connectedness
语种	英语
WOS研究方向	Development Studies ; Public Administration
WOS类目	Development Studies ; Regional & Urban Planning
WOS记录号	WOS:001161362800001
来源期刊	JOURNAL OF ENVIRONMENTAL PLANNING AND MANAGEMENT
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/293187
作者单位	Nanjing Institute of Technology; Macao Polytechnic University
推荐引用方式 GB/T 7714	Liu, Nana,Wang, Hairong,Chu, Jun,et al. How connected are green bonds to green assets and non-green assets?[J],2024.
APA	Liu, Nana,Wang, Hairong,Chu, Jun,Cai, Rongjiang,&Dou, Yaqin.(2024).How connected are green bonds to green assets and non-green assets?.JOURNAL OF ENVIRONMENTAL PLANNING AND MANAGEMENT.
MLA	Liu, Nana,et al."How connected are green bonds to green assets and non-green assets?".JOURNAL OF ENVIRONMENTAL PLANNING AND MANAGEMENT (2024).