Growing concerns about climate change have generated several ecofriendly investments, including green bonds. This study investigates the impacts of geopolitical, economic and climate policy risks (GPR, EPU and CPU, respectively) on the long-term conventional/energy stock and conventional/green bond correlations using the DCC-MIDAS-X model. We determine that GPR, EPU and CPU impact the correlations between these stock and bond markets differently. Both conventional and green bonds have a safe-haven function when GPR levels are high, while green bonds outperform conventional bonds as a safe haven when EPU and CPU levels are high. Moreover, incorporating green bond assets into diversified portfolios provides the best hedging effectiveness, particularly for assets with a high carbon footprint.

对气候变化的日益关注催生了多项生态友好型投资，包括绿色债券。本研究使用 DCC-MIDAS-X 模型调查地缘政治、经济和气候政策风险（分别为 GPR、EPU 和 CPU）对长期常规/能源库存和常规/绿色债券相关性的影响。我们确定 GPR、EPU 和 CPU 以不同方式影响这些股票和债券市场之间的相关性。当 GPR 水平较高时，传统债券和绿色债券都具有避险功能，而当 EPU 和 CPU 水平较高时，绿色债券作为避风港的表现优于传统债券。此外，将绿色债券资产纳入多元化投资组合可提供最佳的对冲效果，特别是对于碳足迹高的资产。