Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis

Zishan Huang, Huiming Zhu, Liya Hau and Xi Deng

The North American Journal of Economics and Finance, 2023, vol. 67, issue C

Abstract: This study examines the time-frequency co-movement and network connectedness between green bonds and other financial assets in China. We propose wavelet coherence and multiscale TVP-VAR to explore the time-frequency co-movement and spillover connectedness. The empirical results are as follows. First, green bonds positively co-move with conventional bonds across time scales and negatively co-move with stocks and commodities. Second, there is a significant network connectedness of green bonds with conventional bonds in the short term, and the connectedness with stocks and commodities gradually strengthens with the increase in time scales. Third, the dynamic spillover between green bonds and other assets is much greater in the long and medium terms than in the short term. Finally, under crisis shocks, the spillovers spike temporarily in the short term, while they are persistent and at a high level in the long term. Overall, some practical implications are proposed for investors and policymakers.

Keywords: Green bonds; Financial assets; Time-frequency co-movement; Network connectedness; Wavelet coherence; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C22 C58 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000682

DOI: 10.1016/j.najef.2023.101945

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