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The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach

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  • Iulia Lupu

    (“Victor Slavescu” Centre for Financial and Monetary Research, Romanian Academy, 050711 Bucharest, Romania)

  • Radu Lupu

    (Department of International Business and Economics, Bucharest University of Economic Studies, 010404 Bucharest, Romania
    Institute for Economic Forecasting, Romanian Academy, 050711 Bucharest, Romania)

  • Adina Criste

    (“Victor Slavescu” Centre for Financial and Monetary Research, Romanian Academy, 050711 Bucharest, Romania)

Abstract

Financial markets have the potential to magnify the adverse impacts of carbon-intensive assets, mainly in the case of a swift and unforeseen shift toward a low-carbon economy. Given that green bonds are already in the process of standardization and actively support the funding of environmental goals, this paper aims to explore their relationship with the European banking system. To achieve this objective, we utilize a cross-quantilogram approach, analyzing daily data gathered from July 2014 to January 2021 and examining bi-directional dependence. Our unique contribution lies in revealing the relationships between the green bond index and the stock market dynamics of European banks compared to their relationships with conventional stock market indices, which is a novel endeavor to the best of our knowledge. The results are consistent with prior research findings regarding the relationships between the green bond index and various companies and financial assets. These results confirm that other financial instruments impact green bonds, whereas the influence exerted by green bonds on other assets is minimal. Additionally, our study provides evidence indicating that the COVID-19 pandemic has altered the connections between these financial assets.

Suggested Citation

  • Iulia Lupu & Radu Lupu & Adina Criste, 2023. "The Nexus between Green Bonds and European Banks: A Cross-Quantilogram Approach," Energies, MDPI, vol. 16(24), pages 1-19, December.
    • Handle: RePEc:gam:jeners:v:16:y:2023:i:24:p:7974-:d:1296790
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    References listed on IDEAS

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