Nonlinear Dependencies between Green Bonds and General Financial Market Indices

Dragos Huru (), Ioana Manafi (), Ionut Pandelica () and Marilena Carmen Uzlau ()
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Ioana Manafi: The Bucharest University of Economic Studies; Bucharest, Romania
Ionut Pandelica: The Bucharest University of Economic Studies; Bucharest, Romania
Marilena Carmen Uzlau: Institute for Economic Forecasting; Hyperion University; Bucharest, Romania

Journal for Economic Forecasting, 2022, issue 4, 169-181

Abstract: In the context of increasing awareness regarding the climate change negative effects, green bonds have gained increasing attention in the financial markets. The market dynamics of the green bond index represents a relevant proxy for the importance the general public assigns to the shift towards green economy. This paper investigates the dependence structure of green bonds and indices that represent the standard financial markets. We use a cross-quantilogram methodology to analyse the non-linear structure of these interlinkages and data covering corporate bond indices, world market index and emerging markets index for daily values spanning the time interval April 2011 to October 2022. Allowing for investigation of non-linear connections the employment of this methodology yielded significant results at various quantile levels for dependence stretching up to two lags.

Keywords: green bonds; financial market; climate change (search for similar items in EconPapers)
JEL-codes: C58 G17 Q50 (search for similar items in EconPapers)
Date: 2022
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