Work

Green bonds, conventional bonds and geopolitical risk

Year: 2023

Type: article

Abstract: This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk in high and low volatility periods between 2014 and 2022 using a Markov-switching VAR (MS-VAR) framework. The results indicate that geopolitical risk significantly affects green bonds in periods of high volatility, but does not do so to conventional bond markets. Green bond markets are significantly affected by sovereign and corporate bonds in both regimes, with stronger effects from corporate bonds evident in high volatility periods. This suggests that green bonds behave differently to conventional bonds and may be more susceptible to geopolitical risk and contagion.

Source: Finance research letters

DOI: 10.1016/j.frl.2023.104587

Author: Lisa Sheenan

Institution: Queen's University Belfast

Language: English

Topic: Sustainable Finance and Green Bonds

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,930

OpenAlex ID: W4387519962

FWCI: 7.604

Cites: 27

Cited by: 36

Related to: 10