ArticleInternational review of financial analysis2022
Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond.
Article in International review of financial analysis, 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 4 papers.
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Who cites it
4 citing papers in PubMed.
- The impacts of global economic policy uncertainty on green bond returns: A systematic literature review.Heliyon · 2024Review
- Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis.Economic analysis and policy · 2023Article
- Do green bonds offer a diversification opportunity during COVID-19?-an empirical evidence from energy, crypto, and carbon markets.Environmental science and pollution research international · 2023Article
- A nexus study of carbon emissions and financial development in China using the decoupling analysis.Environmental science and pollution research international · 2022Article
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Authors and funding
3 authors.
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Abstract
We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantiles.
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