Return Spill-Over Of Green Bond from Various Economic Group Countries During Economic Policy Uncertainty
DOI:
https://doi.org/10.59188/eduvest.v4i11.1405Keywords:
green bonds, economic policy uncertainty, return spill-overAbstract
This research analyzes the return spill-over of green bonds issued among several categories of countries and relation of its return spill-over to various global economic conditions. The research employs a time-varying parameter vector autoregression (TVP-VAR) methodol-ogy to account for the return spill-over among countries, and wavelet coherence analysis (WCA) for relation between return spill-over and global economic policy uncertainty (GEPU) index. This study utilizes yield data from green bonds issued from January 2014 to February 2024. This period chosen based on the commencement of green bond issuance in several Emerging Market (EM), Frontier Market (FM) and Least Developed Market (LDM). The findings of this research is the green bonds issued from Developed Market (DM) gives bigger return spill-over effect to the green bonds issued from EM, rather than to FM and to LDM. This spill-over effect from DM to EM raises due to the high GEPU Index, which means the more uncertain the global economics policy, investor rather to safe in stable financial instrument such as green bonds issued in DM and EM.
References
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 84.
Belomestny, D., Krymova, E., & Polbin, A. (2020). Estimating TVP-VAR models with time invariant long-run multipliers. ArXiv Preprint ArXiv:2008.00718.
Cunado, J., Gabauer, D., Gupta, R., & Lee, C.-C. (2024). On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data. Applied Economics, 1–15.
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66.
Elsayed, A. H., Naifar, N., Nasreen, S., & Tiwari, A. K. (2022). Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic. Energy Economics, 107, 105842.
Ferrer, R., Shahzad, S. J. H., & Soriano, P. (2021). Are green bonds a different asset class? Evidence from time-frequency connectedness analysis. Journal of Cleaner Production, 292, 125988.
Han, Y., Li, P., & Wu, S. (2022). Does green bond improve portfolio diversification? Evidence from China. Evidence From China (January 9, 2022).
Long, S., Tian, H., & Li, Z. (2022). Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework. International Review of Financial Analysis, 84, 102416.
Nguyen, C. P., Le, T.-H., & Su, T. D. (2020). Economic policy uncertainty and credit growth: Evidence from a global sample. Research in International Business and Finance, 51, 101118.
Pham, L., & Nguyen, C. P. (2022). How do stock, oil, and economic policy uncertainty influence the green bond market? Finance Research Letters, 45, 102128.
Rehman, M. U., Zeitun, R., Vo, X. V., Ahmad, N., & Al-Faryan, M. A. S. (2023). Green bonds’ connectedness with hedging and conditional diversification performance. Journal of International Financial Markets, Institutions and Money, 86, 101802.
Ren, X., Li, Y., Wen, F., & Lu, Z. (2022). The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method. Technological Forecasting and Social Change, 179, 121611.
Rukundo, F. (2024). Sustainable Finance.
Syed, A. A., Ahmed, F., Kamal, M. A., Ullah, A., & Ramos-Requena, J. P. (2022). Is there an asymmetric relationship between economic policy uncertainty, cryptocurrencies, and global green bonds? Evidence from the United States of America. Mathematics, 10(5), 720.
Yousaf, I., Riaz, Y., & Goodell, J. W. (2023). Integration between asset management tokens, asset management stock, and other financial markets: Evidence from TVP-VAR modeling. Finance Research Letters, 57, 104276.
Published
Issue
Section
License
Copyright (c) 2024 Andrean Filemon, Zaäfri Ananto Husodo
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
