Quantile connectedness and network among Green bonds, Renewable Energy, and G7 sustainability markets

Walid Mensi, Mariya Gubareva, Oluwasegun B. Adekoya and Sang Hoon Kang

Renewable Energy, 2024, vol. 231, issue C

Abstract: This paper examines the quantile spillovers and interconnectedness between green bonds, renewable energy, and the G7 sustainability markets under extreme market conditions. It reaches beyond the widely employed studies based in the mean values of variables by resorting to the advanced quantile vector auto-regression methodology. The results show that the overall connectedness is stronger during extreme, either bearish or bullish market situations, than during normal market conditions. Furthermore, we show that all sustainability markets, except Japan, are the net transmitters of shocks, while all the green bonds are the net receivers. Moreover, we document that spillovers vary significantly over time and that extreme market conditions reduce the net spillover influences. The relative tail dependence analysis shows that the connectedness at the lower quantile relatively dominates the connectedness at the upper quantile. Finally, the total spillovers are higher at the extremes than at the median quantile, whereas the periods of major crises are associated with unusually high connectedness, as consistent with the literature on contagion effects.

Keywords: Quantile spillovers; G7 sustainability markets; Green and renewable energy; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C40 F36 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:renene:v:231:y:2024:i:c:s0960148124010115

DOI: 10.1016/j.renene.2024.120943

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