Green bonds & clean energy in sustainable finance: Evidence from DCC-GARCH connectedness

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-03-26 DOI:10.1016/j.irfa.2025.104168

Konstantinos N. Konstantakis , Pavlos Koulmas , Panayotis G. Michaelides , Thomas Porcher , Arsenios-Georgios N. Prelorentzos

{"title":"Green bonds & clean energy in sustainable finance: Evidence from DCC-GARCH connectedness","authors":"Konstantinos N. Konstantakis , Pavlos Koulmas , Panayotis G. Michaelides , Thomas Porcher , Arsenios-Georgios N. Prelorentzos","doi":"10.1016/j.irfa.2025.104168","DOIUrl":null,"url":null,"abstract":"<div><div>The paper examines green bonds and their relationship with clean energy and financial markets. With the world economy shifting towards a climate change-resilient model, green bonds—securities that finance environmentally friendly projects—are still in demand. Nonetheless, green bonds can still be considered a small portion of the overall bond market share. This paper establishes the transmission of the green bond market and its interaction with other financial assets such as metals, rare elements, and energy commodities by means of DCC-GARCH connectedness. Our paper estimates the degree of spillovers and dependencies among various green asset classes. We use a powerful approach that takes into account both cross-sectional and dynamic effects. The analysis shows that green bonds hold a central position in impacting other assets within the system, including commodities, clean energy, and oil. This suggests that green bonds function not only as standalone financial instruments but also offer diversification and hedging benefits. The findings offer valuable insights for investors aiming to manage sustainable portfolios and increase funds for low-carbon projects.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"103 ","pages":"Article 104168"},"PeriodicalIF":7.5000,"publicationDate":"2025-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521925002558","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

Abstract

The paper examines green bonds and their relationship with clean energy and financial markets. With the world economy shifting towards a climate change-resilient model, green bonds—securities that finance environmentally friendly projects—are still in demand. Nonetheless, green bonds can still be considered a small portion of the overall bond market share. This paper establishes the transmission of the green bond market and its interaction with other financial assets such as metals, rare elements, and energy commodities by means of DCC-GARCH connectedness. Our paper estimates the degree of spillovers and dependencies among various green asset classes. We use a powerful approach that takes into account both cross-sectional and dynamic effects. The analysis shows that green bonds hold a central position in impacting other assets within the system, including commodities, clean energy, and oil. This suggests that green bonds function not only as standalone financial instruments but also offer diversification and hedging benefits. The findings offer valuable insights for investors aiming to manage sustainable portfolios and increase funds for low-carbon projects.

查看原文本刊更多论文

可持续金融中的绿色债券和清洁能源：来自DCC-GARCH联系的证据

本文考察了绿色债券及其与清洁能源和金融市场的关系。随着世界经济转向适应气候变化的模式，绿色债券——为环境友好型项目融资的证券——仍有需求。尽管如此，绿色债券仍然可以被认为是整个债券市场份额的一小部分。本文通过DCC-GARCH连通性建立了绿色债券市场的传导及其与其他金融资产（如金属、稀有元素和能源商品）的相互作用。本文估计了不同绿色资产类别之间的溢出和依赖程度。我们使用了一种强大的方法，同时考虑了横截面和动态效应。分析表明，绿色债券在影响系统内其他资产（包括大宗商品、清洁能源和石油）方面占据核心地位。这表明绿色债券不仅可以作为独立的金融工具，还可以提供多样化和对冲效益。研究结果为旨在管理可持续投资组合和增加低碳项目资金的投资者提供了有价值的见解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.