Economics at your fingertips  

Green bonds, sustainable development and environmental policy in the European Union carbon market

João Leitão (), Joaquim Ferreira and Ernesto Santibanez‐Gonzalez

Business Strategy and the Environment, 2021, vol. 30, issue 4, 2077-2090

Abstract: This study assesses the non‐linear effects of green bonds, conventional bonds and energy commodities on the behaviour of the cap‐and‐trade European Union carbon market (European Union Emissions Trading System [EU‐ETS]). By estimating four models, using Markov‐switching (MS) econometric methodology, non‐linearities are confirmed in dynamic behaviours, observing in the global calculation a positive effect of green bonds (S&P Green and Sol Green) on the carbon market, in regimes of both high and low volatility, whereas conventional bonds (S&P Agg) and energy commodities (DJCI En) contribute to a decrease in the carbon market in regimes of high volatility. The relevance of green bonds is underlined in determining the behaviour of the carbon market, besides observing greater persistence of the low volatility regime. These results allow both investors and fund managers to implement strategies in different volatility or economic activity contexts through a diversified portfolio and green/climate structure.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1002/(ISSN)1099-0836

Access Statistics for this article

Business Strategy and the Environment is currently edited by Richard Welford

More articles in Business Strategy and the Environment from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-09-26
Handle: RePEc:bla:bstrat:v:30:y:2021:i:4:p:2077-2090