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Time-varying spillover networks of green bond and related financial markets

Author

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  • Wei, Ping
  • Yuan, Kang
  • Ren, Xiaohang
  • Yan, Cheng
  • Lu, Zudi

Abstract

In this paper, we investigate the interrelationship between the green bond market and other major financial markets by using the Granger causality test and spillovers network analysis based on a time-varying parameter vector autoregressive (TVP-VAR) model. Our empirical findings include: (i) there exists a significant bidirectional spillover effect between the green bond market and the U.S. Treasury market; (ii) the connectedness between green bonds and other markets has increased significantly, especially the risk spillovers from the stock markets, during periods of economic turmoil; (iii) the carbon market and the energy futures market had spillovers on the green bond market before the publication of the Green Bond Principles in 2014. We also explore the influence of COVID-19 on the spillovers network. There are strong implications of these findings for investors to manage portfolios and for policymakers to improve reregulation.

Suggested Citation

  • Wei, Ping & Yuan, Kang & Ren, Xiaohang & Yan, Cheng & Lu, Zudi, 2023. "Time-varying spillover networks of green bond and related financial markets," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 298-317.
    • Handle: RePEc:eee:reveco:v:88:y:2023:i:c:p:298-317
    DOI: 10.1016/j.iref.2023.06.022
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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