Green Bonds and Commodities: A New Asymmetric Sustainable Relationship

Athanasios Tsagkanos, Aarzoo Sharma and Bikramaditya Ghosh
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Athanasios Tsagkanos: Department of Business Administration, University of Patras, University Campus—Rio, P.O. Box 1391, 26500 Patras, Greece
Aarzoo Sharma: Department of Commerce and Management Studies, CCS University, Meerut 250001, India
Bikramaditya Ghosh: Symbiosis Institute of Business Management (SIBM), Symbiosis International Deemed University (SIU), Pune 412115, India

Sustainability, 2022, vol. 14, issue 11, 1-16

Abstract: In this study we examine the relationship between corporate green bonds and commodities (both perishable & non-perishable) that attracts very little attention in relative literature. For the first time, we investigate a long-term relationship between green bonds and commodities including a significantly higher number of commodities and observations. Furthermore, we adopt a novel methodology, the VaR (value at risk) based copulas, to describe the asymmetric risk spillover between green bonds and commodities by considering the asymmetric tail distribution. Our results reveal an insignificant risk spillover effect from commodity market uncertainty. Further, we found non-perishable commodities are transmitting risk to perishable commodities (barring lead). In addition, in contrast to other similar studies the risk spillover is comparatively higher regarding lead, gold, and agriculture commodities as against copper and silver. On the other hand, energy commodities have the least spillover effect. Finally, these results have several important implications for investors as well as for policymakers.

Keywords: corporate green bonds; commodities; VaR based copulas; spillover effect (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 (5)

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