Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade
David Broadstock and
Louis T.W. Cheng
Finance Research Letters, 2019, vol. 29, issue C, 17-22
Abstract:
We examine the determinants of correlation patterns between green and black bond markets. Both the correlations and determinants are time-varying and estimated using a two-stage sequential methodology, extracting dynamic conditional correlations (DCC) in the first, then applying dynamic model averaging (DMA) in the second to establish the determinants of market correlations. We provide evidence that the connection between green and black bonds is sensitive to: changes in financial market volatility; economic policy uncertainty; daily economic activity; oil prices and; uniquely constructed measures of positive and negative news-based sentiment towards green bonds.
Keywords: Green bonds; Time-varying correlations; Dynamic determinants; Market sentiment; Textual analysis (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (122)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231930042X
Full text for ScienceDirect subscribers only
Related works:
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:eee:finlet:v:29:y:2019:i:c:p:17-22
DOI: 10.1016/j.frl.2019.02.006
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).