Time-varying spillover networks of green bond and related financial markets
Time-varying spillover networks of green bond and related financial markets
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.
Connectedness, Financial markets, Green bond market, Network, Spillovers, TVP-VAR model
298 - 317
Wei, Ping
2f2dc1b4-714c-42d8-9423-2ad53dc3556f
Yuan, Kang
659e0d6d-73d4-453a-b1a2-34457b320c17
Ren, Xiaohang
644d6dde-0155-4872-9488-336acf86dba2
Yan, Cheng
0e87258a-ce21-4825-8142-cb44d091c507
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
November 2023
Wei, Ping
2f2dc1b4-714c-42d8-9423-2ad53dc3556f
Yuan, Kang
659e0d6d-73d4-453a-b1a2-34457b320c17
Ren, Xiaohang
644d6dde-0155-4872-9488-336acf86dba2
Yan, Cheng
0e87258a-ce21-4825-8142-cb44d091c507
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Wei, Ping, Yuan, Kang, Ren, Xiaohang, Yan, Cheng and Lu, Zudi
(2023)
Time-varying spillover networks of green bond and related financial markets.
International Review of Economics and Finance, 88, .
(doi:10.1016/j.iref.2023.06.022).
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.
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Time-varying Spillover Networks of Green Bond and Related Financial Markets (revised version)#
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Accepted/In Press date: 22 June 2023
e-pub ahead of print date: 30 June 2023
Published date: November 2023
Additional Information:
Funding Information:
This research was supported by the National Natural Science Fund of China ( 72104253 ), the General Project of Natural Science Fund of Hunan Province ( 2019JJ40389 , 2022JJ40647 ), and Social Sciences Research Grant by Hunan Province ( 18YBA432 ).
Publisher Copyright:
© 2023 Elsevier Inc.
Keywords:
Connectedness, Financial markets, Green bond market, Network, Spillovers, TVP-VAR model
Identifiers
Local EPrints ID: 480495
URI: http://eprints.soton.ac.uk/id/eprint/480495
ISSN: 1059-0560
PURE UUID: 74e2bdd9-3359-4c01-a9b6-98217eed38e8
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Date deposited: 03 Aug 2023 16:40
Last modified: 22 Jun 2024 04:01
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Contributors
Author:
Ping Wei
Author:
Kang Yuan
Author:
Xiaohang Ren
Author:
Cheng Yan
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