Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-09-17 DOI:10.1016/j.najef.2024.102286

引用次数: 0

Abstract

This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.

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重新审视极端条件下中国和美国各自的绿色债券市场：量子关联性的证据

考虑到中国和美国强劲的绿色债券市场以及全球风险事件，本研究探讨了绿色债券在极端条件下降低风险的作用。研究分析了绿色债券与传统债券、股票、原油和货币政策等其他领域的相互联系。利用量子关联方法，它揭示了两国稳定的绿色债券市场如何在极端情况下起到对冲作用。通过研究随时间变化的溢出效应，它确定了绿色债券市场与其他部门之间联系的共性和差异。这些研究结果支持绿色债券融入金融业，并对加强投资组合管理和风险模型产生了影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.