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Are green bonds a different asset class? Evidence from time-frequency connectedness analysis
Journal of Cleaner Production ( IF 11.1 ) Pub Date : 2021-01-16 , DOI: 10.1016/j.jclepro.2021.125988
Román Ferrer , Syed Jawad Hussain Shahzad , Pilar Soriano

This paper investigates the time-frequency connectedness across the global green bond market and several mainstream financial and energy markets in an attempt to figure out whether green bonds represent a different asset class. The connectedness methodology proposed by Baruník and Křehlík (2018) is employed for that purpose. This approach enables quantifying the dynamics of connectedness in terms of return and volatility over time and across time scales simultaneously. The empirical results indicate that connectedness between the global green bond market and the conventional financial and energy markets mainly occurs at shorter time horizons, suggesting that shocks are rapidly transmitted across markets with an effect lasting less than a week. A strong connectedness in return and volatility is found between green bonds and Treasury and investment-grade corporate bonds, principally because of the numerous characteristics they share. This finding implies that green fixed-income securities are not a different asset class, but they closely mirror the performance of government and high-quality corporate bonds. In contrast, there is a quite limited connectedness between the green bond market and the general stock market, the renewable energy equity sector and the crude oil market regardless of the time horizon considered. This evidence shows that green bonds appear as a valuable tool to fight against climate change without having to sacrifice part of the return generated by traditional assets, particularly ordinary bonds. Furthermore, it can have useful implications for investors and policy makers.



中文翻译:

绿色债券是不同的资产类别吗?时频连通性分析的证据

本文研究了全球绿色债券市场以及几个主流金融和能源市场之间的时频联系,试图弄清绿色债券是否代表不同的资产类别。为此目的,采用了Baruník和Křehlík(2018)提出的联系方法。这种方法可以根据时间和跨时间尺度的收益率和波动率量化关联性的动态。实证结果表明,全球绿色债券市场与传统金融和能源市场之间的联系主要发生在较短的时间范围内,这表明冲击在市场之间迅速传播,影响持续时间不到一周。绿色债券与国库券和投资级公司债券之间存在着强烈的回报和波动性联系,这主要是因为它们具有许多共同的特征。这一发现表明,绿色固定收益证券不是不同的资产类别,但它们紧密反映了政府和高质量公司债券的表现。相反,无论考虑的时间跨度如何,绿色债券市场与普通股票市场,可再生能源股权部门和原油市场之间的联系都非常有限。该证据表明,绿色债券似乎是抗击气候变化的宝贵工具,而不必牺牲传统资产(尤其是普通债券)产生的部分收益。此外,

更新日期:2021-01-25
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