 Dynamic connectedness of China’s green bonds and asset classesXiaohong Qi and Guofu Zhang The North American Journal of Economics and Finance, 2022, vol. 63, issue C Abstract: This paper quantifies the co-movement and time-varying integration between China's green bonds and other asset classes across different time domains using the wavelet coherence and time-frequency connectedness model based on the time-varying parameter VAR (TVP-VAR). First, we predominantly detect a strong positive co-movement of green and conventional bonds, especially in the medium and long term. Second, strong bidirectional spillovers exist between green bonds and treasury, corporate, and financial bonds regardless of the time horizon. Lastly, cross-market spillovers between the green bonds and the stock, energy, low-carbon stock market were quite limited in the short-run but strengthened towards the long-term except during the 2015 China stock market crash and the COVID-19 recession when short-term integration rose sharply. The results document some practical enlightenment for investors and policymakers with various time horizons. Keywords: Green bonds; Financial assets; TVP-VAR connectedness; Wavelets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001772 DOI: 10.1016/j.najef.2022.101842 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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