绿色债券市场与传统债券市场的长期相关性：EPU分类指数与结构变化的作用

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-03-22 DOI:10.1016/j.ribaf.2025.102882

Hongwei Zhang , Shiyao Wei , Yaoqi Guo

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引用次数: 0

摘要

本文运用DCC-MIDAS-X模型研究了受不同类型经济政策不确定性（EPU）影响的绿色债券市场与传统债券市场之间的动态相关性。研究结果表明，EPU对绿色-传统债券的长期相关性具有显著的负向影响，大部分EPU分类指标对长期相关性均表现出负向影响。此外，该研究揭示了COVID-19大流行期间的结构性变化，并将其纳入DCC-MIDAS-X模型，揭示了对某些类别EPU影响的额外负面影响。最后，研究考察了使用绿色资产和传统资产的风险管理绩效。结果表明，绿色债券可以作为传统债券资产的有效分散工具，纳入不同的分类指标对效率的影响不同。这些发现为投资者和政策制定者在EPU上升和结构变化频繁的时期降低绿色和传统债券市场的风险提供了有价值的见解。

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Long-term correlation between the green and conventional bond markets: The roles of categorical EPU indices and structural changes

This study investigates the dynamic correlation between the green and conventional bond markets affected by different categories of economic policy uncertainty (EPU) using the DCC-MIDAS-X model. The results show that EPU has a significant negative impact on the long-term green-conventional bond correlation and most of the categorical EPU indices exhibit a negative impact on the long-term correlation. Furthermore, the study reveals structural changes during the COVID-19 pandemic and incorporates them into the DCC-MIDAS-X model, uncovering additional negative effect on the impact of some categories of EPU. Finally, the study examines the risk management performance using green and conventional assets. The results demonstrate that the green bond can be regarded as an efficient diversification tool for conventional bond assets and incorporating different categorical indices causes different effects on the efficiency. These findings offer valuable insights for investors and policymakers in mitigating risk across green and conventional bond markets under the period of rising EPU and frequent structural changes.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance