This paper examines the time-varying interactive linkages between the sustainable debt market and gas markets, applying unique estimation techniques, specifically the empirical mode decomposition (EMD)-windowed-cross-correlation (EMD-WCC) and wavelet-windowed-cross-correlations. To this end, we use the S&P Green Bond Index as a representative of a sustainable debt market while for the gas market, we use natural gas price indices of UK NBP (National Balancing Point), NYMEX HH (Henry Hub) and US shale gas prices. The lead/lag behavior amid green-bonds along with shale gas, also with natural gas markets has equal forces across all time scales. There exists weak cross-correlation across green bonds and shale gas markets and additionally, green bonds and natural gas markets in the short-run. Such findings imply that, from the perspective of the investors, in the short-run, green bonds have ample diversification benefits. The highest intensity of cross-correlations is observed in the longer time horizons. This evidence suggests that in the long-run the behavior of the markets is driven by its own peculiarities. Overall, our findings support the argument that green bonds with their climate-friendly properties add to the diversification benefits for investors, as a newer class of asset for portfolio investments.

本文采用独特的估计技术，特别是经验模态分解 (EMD)-窗口交叉相关 (EMD-WCC) 和小波窗口交叉相关，研究了可持续债务市场和天然气市场之间随时间变化的互动联系. 为此，我们使用标准普尔绿色债券指数作为可持续债务市场的代表，而对于天然气市场，我们使用英国 NBP（国家平衡点）、NYMEX HH（亨利中心）和美国页岩气的天然气价格指数价格。绿色债券与页岩气以及天然气市场之间的超前/滞后行为在所有时间尺度上都具有相同的力量。短期内，绿色债券和页岩气市场之间以及绿色债券和天然气市场之间存在较弱的相互关联。这些发现意味着，从投资者的角度来看，短期内，绿色债券具有充足的多元化收益。在较长的时间范围内观察到最高强度的互相关。这一证据表明，从长远来看，市场的行为是由其自身的特性驱动的。总体而言，我们的研究结果支持这样的论点，即具有气候友好特性的绿色债券作为一种较新的证券投资资产类别，为投资者增加了多元化收益。