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Nonlinear Dependencies between Green Bonds and General Financial Market Indices

Author

Listed:
  • Dragos HURU

    (The Bucharest University of Economic Studies; Bucharest, Romania)

  • Ioana MANAFI

    (The Bucharest University of Economic Studies; Bucharest, Romania)

  • Ionut PANDELICA

    (The Bucharest University of Economic Studies; Bucharest, Romania)

  • Marilena Carmen UZLAU

    (Institute for Economic Forecasting; Hyperion University; Bucharest, Romania)

Abstract

In the context of increasing awareness regarding the climate change negative effects, green bonds have gained increasing attention in the financial markets. The market dynamics of the green bond index represents a relevant proxy for the importance the general public assigns to the shift towards green economy. This paper investigates the dependence structure of green bonds and indices that represent the standard financial markets. We use a cross-quantilogram methodology to analyse the non-linear structure of these interlinkages and data covering corporate bond indices, world market index and emerging markets index for daily values spanning the time interval April 2011 to October 2022. Allowing for investigation of non-linear connections the employment of this methodology yielded significant results at various quantile levels for dependence stretching up to two lags.

Suggested Citation

  • Dragos HURU & Ioana MANAFI & Ionut PANDELICA & Marilena Carmen UZLAU, 2022. "Nonlinear Dependencies between Green Bonds and General Financial Market Indices," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 169-181, December.
    • Handle: RePEc:rjr:romjef:v::y:2022:i:4:p:169-181
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    References listed on IDEAS

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    More about this item

    Keywords

    green bonds; financial market; climate change;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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