US Municipal Green Bonds and Financial Integration

Guglielmo Maria Caporale and Nicola Spagnolo

No 10323, CESifo Working Paper Series from CESifo

Abstract: This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK models are estimated which include suitably defined dummies corresponding to those events. Significant dynamic linkages (interdependence) between the four municipal bonds under investigation are found in some cases. Moreover, there is evidence of shifts in the second moment parameters coinciding with the Covid-19 pandemic (contagion), whilst the COP policy announcements do not appear to affect the transmission mechanism between municipal green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of financial integration (and greater portfolio diversification opportunities), during the Covid-19 period, though this is likely to be only a temporary phenomenon.

Keywords: municipal bonds; financial integration; spillovers; multivariate GARCH-BEKK; volatility (search for similar items in EconPapers)
JEL-codes: C32 G12 G32 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-env, nep-fmk and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp10323.pdf (application/pdf)

Related works:
Chapter: US municipal green bonds and financial integration (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_10323

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().