Can we put green bonds in a single basket?

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-08-07 DOI:10.1016/j.najef.2025.102518

Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo , Mamdouh Abdulaziz Saleh Al-Faryan

引用次数: 0

Abstract

We examine the correlation between green bond markets of the UK, US, Japan, Canada, Australia, and Europe from 28th November 2008 to 21st May 2021. To measure time-varying correlation, we use extensions of conventional wavelets as wavelet multiple correlation and cross-correlation. Our results suggest sufficient diversification opportunities in the green bonds market because of their recent introduction into the existing asset classes. More specifically, low correlation is reported for UK GBs with Australian Canadian GBs, US GBs with Australian GBs, Japan and Canada, and European GBs with Canadian GBs across all investment periods. We also report non-linear bi-directional causality across the majority of the green bonds market. Our work suggests diversification opportunities by investing in green bonds based on their low time-varying correlation.

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我们能把绿色债券放在一个篮子里吗？

我们研究了2008年11月28日至2021年5月21日期间英国、美国、日本、加拿大、澳大利亚和欧洲绿色债券市场之间的相关性。为了测量时变相关，我们将传统的小波扩展为小波多重相关和互相关。我们的研究结果表明，由于绿色债券最近被引入现有的资产类别，因此绿色债券市场有足够的多样化机会。更具体地说，在所有投资期间，英国国债与澳大利亚、加拿大国债、美国国债与澳大利亚、日本和加拿大国债、欧洲国债与加拿大国债的相关性都很低。我们还报告了大多数绿色债券市场的非线性双向因果关系。我们的研究表明，基于低时变相关性，投资绿色债券有多样化的机会。

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.