Asymmetric economic effects via the dependence structure of green bonds and financial stress index

Athanasios Tsagkanos, Despoina Argyropoulou and Georgios Androulakis

The Journal of Economic Asymmetries, 2022, vol. 26, issue C

Abstract: In this study we examine the connectedness and spillovers of financial stress with corporate green bonds that has hardly attracted any attention in the relevant literature. To the best of our knowledge this is the first research attempt to connect and locate any impact of the new financial and environmental tool of green bonds in financial stress which implies respective social impacts. Significant results are extracted by our analysis. The most important is that in contrast to what financial stress theory holds we locate a causal relationship from green bonds to financial stress. The transmission from green bonds to financial stress becomes clearer by using the Bayesian VAR model. We confirm the robustness of our results by using other valid indices for our main variables. Furthermore, our analysis provides important implications for global economic growth, for investors aiming to achieve better risk-adjusted performance but also decarbonization and sustainability of their portfolios and for policymakers in designing and implementing policies aiming to the mitigation of the climate change risk and the transition to a more sustainably economy.

Keywords: Corporate green bonds; Financial stress; Spillover effect; Bayesian VAR model (search for similar items in EconPapers)
JEL-codes: C11 G10 G11 Q50 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000251

DOI: 10.1016/j.jeca.2022.e00264

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