When ‘green’ challenges ‘prime’: empirical evidence from government bond markets

Toan Luu Duc Huynh

Journal of Sustainable Finance & Investment, 2022, vol. 12, issue 2, 375-388

Abstract: We examined co-movement between green bonds and triple-A government bonds during December 2008–November 2019. We determined that two markets followed the heavy tail dependence using Student’s t-copulas. Using transfer entropy, further evidence was obtained for the causal relationship between the two markets, which was described by three categories such as ‘no effect,’ ‘mono-direction,' and ‘bi-direction'; this relationship indicated the sender and the receiver of return shocks on these markets. Our results highlight the presence of contagion risk between green bonds and prime government bonds, which has practical implications for risk management.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/20430795.2020.1769984 (text/html)
Access to full text is restricted to subscribers.

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: https://EconPapers.repec.org/RePEc:taf:jsustf:v:12:y:2022:i:2:p:375-388

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TSFI20

DOI: 10.1080/20430795.2020.1769984

Access Statistics for this article

Journal of Sustainable Finance & Investment is currently edited by Dr Matthew Haigh

More articles in Journal of Sustainable Finance & Investment from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().