Price connectedness between green bond and financial markets
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DOI: 10.1016/j.econmod.2019.09.004
Abstract: Abstract We study price connectedness between the green bond and financial markets using a structural vector autoregressive (VAR) model that captures direct and indirect transmission of financial shocks across markets. Using heteroskedasticity to identify the… read more here.
Keywords: connectedness green; bond; bond financial; green bond ... See more keywords
Network connectedness of green bonds and asset classes
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DOI: 10.1016/j.eneco.2019.104629
Abstract: We identify network connectedness between green bonds and different asset classes over different investment horizons in the EU and US asset markets. We first focus on dynamic correlations between green bond and asset class price… read more here.
Keywords: connectedness; green bonds; network connectedness; connectedness green ... See more keywords