绿色债券、金融和环境指标之间的联系

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-01-01 DOI:10.17811/ebl.10.3.2021.191-199

N. Hung

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引用次数: 13

摘要

本研究采用一种新颖的视角来研究绿色债券与其他传统资产之间的因果关系，包括2013年1月至2019年3月期间的清洁能源、二氧化碳排放配额价格、比特币和标准普尔500指数股票市场。我们应用多层感知器神经网络非线性格兰杰因果关系和传递熵来检测绿色债券和其他考虑变量之间因果方向的可能变化。我们发现绿色债券、标准普尔500指数和比特币市场之间存在双向关系，而绿色债券与二氧化碳排放配额价格之间存在单向关系。

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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Nexus between green bonds, financial and environmental indicators

This study uses a novel perspective to examine the causal connectedness between green bonds and other conventional assets, including clean energy, price of CO2 emission allowances, Bitcoin, and the S&P 500 stock market covering from January 2013 to March 2019. We apply the Multilayer Perceptron Neural Network Non-linear Granger causality and Transfer Entropy to detect possible changes in the causal direction between green bonds and other considered variables. We find a bidirectional relationship between green bonds, S&P 500, and Bitcoin markets, while green bonds have a unidirectional connection with the price of CO2 emission allowances.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.