Extreme Spillover between Green Bonds and Clean Energy Markets

Dongming Jiang and Fang Jia
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Dongming Jiang: School of Management, Huazhong University of Science and Technology, Wuhan 430074, China
Fang Jia: School of Management, Wuhan Polytechnic University, Wuhan 430048, China

Sustainability, 2022, vol. 14, issue 10, 1-15

Abstract: This paper examines green bonds (GB), which have received much attention for providing funding for clean energy (CE) market reforms. We investigate the extreme spillover effects between GB and CE markets by using both MVMQ-CAViaR and Granger causality in risk methods over the period from 5 July 2011 to 24 February 2020. Since there are usually extreme asymmetric spillovers between financial markets, we examined whether this phenomenon exists between GB and CE markets. Our empirical analysis results find the significant extreme spillovers from GB to CE markets. In addition, we find that the upside and downside risk spillovers between GB and CE markets are asymmetric. The upside spillover is greater than downside spillover from GB to CE markets and the impact of GB on CE markets is greater. However, the extreme spillover from CE to GB markets is not significant by either the Granger causality in risk or the MVMQ-CAViaR model. Our findings have important implications for investors, policy makers and researchers.

Keywords: extreme risk spillover; green bond; clean energy; MVMQ-CAViaR; granger causality in risk (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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