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Asymmetric tail dependence between green bonds and other asset classes

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  • Pham, Linh
  • Nguyen, Canh Phuc

Abstract

This study analyzes the tail-dependence between green bonds and other asset classes including energy markets, stock markets, and conventional bonds. The study employs the cross- quantilogram method to identify the cross-quantile dependence between green bonds and other assets. Our data set covers the U.S. and European asset markets between October 2014 and February 2021. The empirical results show that the spillovers between asset classes and green bonds vary widely across the quantiles, indicating that the hedging benefits of green bonds against conventional asset classes differ across extreme and normal market conditions.

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  • Pham, Linh & Nguyen, Canh Phuc, 2021. "Asymmetric tail dependence between green bonds and other asset classes," Global Finance Journal, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000673
    DOI: 10.1016/j.gfj.2021.100669
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    More about this item

    Keywords

    Green bonds; Quantile dependence; Cross-quantilograms;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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