Asymmetric tail dependence between green bonds and other asset classes

Linh Pham and Canh Phuc Nguyen

Global Finance Journal, 2021, vol. 50, issue C

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.

Keywords: Green bonds; Quantile dependence; Cross-quantilograms (search for similar items in EconPapers)
JEL-codes: G1 Q2 Q4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000673

DOI: 10.1016/j.gfj.2021.100669

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