Dependence and risk spillovers between green bonds and clean energy markets

Liu, Nana; Liu, Chuanzhe; Da, Bowen; Zhang, Tong; Guan, Fangyuan

doi:10.1016/j.jclepro.2020.123595

Cited by 179 publications

(79 citation statements)

References 21 publications

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“…Significant causality running from the US 10-year Treasury bond index to GBs and causality running from the clean energy index to GBs have been demonstrated by Hammoudeh et al (2020). Similarly, Liu et al (2021) find positive dynamic average and tail dependence between GBs and clean energy stock markets, contributing to policymakers and environmentally friendly investors with GB positions by adding unexpected tail losses. In addition, this finding agrees with the paper of Tolliver et al (2020).…”

Section: Literature Reviewmentioning

confidence: 87%

“…These studies invariably argued that the interdependence between GBs and financial assets was weak, with only taking into account the whole financial and energy markets, but failed to consider the clean and commodity markets (Hung, 2019a;Liu et al, 2021). More precisely, the nexus between GBs and other assets is an essential and interesting topic to study, given that GBs offer considerable funding for clean energy projects.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Modelling and analysing connectedness across financial assets lie at the heart of modern finance because significant intercorrelation and volatility results are necessary for derivative pricing, portfolio optimization, risk management and hedge strategies. Nevertheless, little attention has been paid to the dynamic relationship between GBs and clean energy indexes, commodities and the possible relationship between GBs and other important financial markets such as traditional bonds, Bitcoin and S&P 500 prices (Liu et al, 2021;Reboredo, 2018;. Therefore, the primary purpose of this study is to fill this void.…”

Section: Introductionmentioning

confidence: 99%

“…Third, copulas are invariant to rising and continuous transformations, namely the scaling of logarithm returns, which are widely applied in economics and finance studies (Rajwani & Kumar, 2019). The information created by the copula model assists in investigating whether the GB and related asset markets are independent or dependent (Hung, 2020;Liu et al, 2021). As a result, the copula method compared to conventional multivariate time series analysis has some advantages, which could capture a wide array of dependence structures, including non-linear, asymmetric and tail dependence (Bai & Lam, 2019;Hung, 2019b;Patton, 2006).…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Hung

2021

Global Business Review

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The green bond market has gradually developed worldwide since its debut in 2007 and is viewed as a new form of investment. This study explores the time-varying interdependence between green bond and conventional asset classes, namely Bitcoin price, Standard and Poor’s (S&P) 500, Clean Energy Index, Goldman Sachs Commodity Index (GSCI) Commodity Index and 10-year US bond spanning from May 2013 to December 2019, using both time-varying copula and transfer entropy models. We first focus on static and dynamic correlations between the green bond and other assets, and then identify the causal association among them. The findings suggest that green bonds and other assets have conditional time-varying dependence, and dependence is relatively low. Using transfer entropy, further evidence is gained for causal associations between two variables, which is depicted by two categories like mono-direction and bi-direction. Such nexus reveals the transmitter and receiver of return innovations on these markets. These findings make a considerable contribution to policymakers and environmentally friendly investors with green bond positions.

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Section: Literature Reviewmentioning

confidence: 87%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Hung

2021

Global Business Review

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“…This will help investors to get the funds they need. In addition, Liu et al [42] and Nguyen et al [43] discussed that green bonds are another application that may attract investors' attention.…”

Section: A Green Energy Investmentsmentioning

confidence: 99%

TRIZ-Based Green Energy Project Evaluation Using Innovation Life Cycle and Fuzzy Modeling

2021

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This study evaluates theory of the solution of inventive problems (TRIZ)-based green energy project network based on innovation life cycle. In this context, TRIZ-based combinations are obtained by integer patterns for green energy projects. In the next phase, activity priorities of TRIZ-based principles are measured for green energy projects with Pythagorean fuzzy (PF) technique for order preference by similarity to ideal solution (TOPSIS). Finally, project evaluation review technique (PERT) and PF decision making trial and evaluation laboratory (DEMATEL) approaches are taken into consideration to score the green energy projects based on innovation life cycle using inventive problem-solving principles. TRIZbased principles are also ranked by using Vise Kriterijumska Optimizacija I Kompromisno Resenje (VIKOR). Additionally, all calculations have also been made with Spherical fuzzy (SF) sets in addition to the PF sets. It is concluded that the analysis results are quite reliable. The main contribution of this study is that innovative strategies are identified for green energy investment projects with a novel methodology. The findings indicate that dynamicity and transformation of properties play a crucial role in this process. Therefore, green energy investors should closely follow technological developments in this area and the products used in green energy investments should be easily adapted to these developments. Additionally, the principal of prior action should be considered to reduce the costs instead of periodic action. It is obvious that the necessary controls should be made before the project starts to increase the efficiency and productivity.

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

2021

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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.

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Dependence and risk spillovers between green bonds and clean energy markets

Cited by 179 publications

References 21 publications

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models

TRIZ-Based Green Energy Project Evaluation Using Innovation Life Cycle and Fuzzy Modeling

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

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