Asymmetric spillovers between green bonds and commodities

JOURNAL OF CLEANER PRODUCTION

卷:314

Article

Naeem, Muhammad Abubakr¹  Adekoya, Oluwasegun B.²  Oliyide, Johnson A.² 

[1] Univ Coll Dublin, Smurfit Grad Sch Business, Dublin, Ireland

[2] Fed Univ Agr, Dept Econ, Abeokuta, Nigeria

关键词: Green bonds;    Commodities;    Asymmetry;    Time-frequency spillovers;   

DOI  :  10.1016/j.jclepro.2021.128100

来源: Elsevier

【 摘 要 】

This main contribution of this study is to examine the asymmetric connectedness among green bonds and commodities in time- and frequency-domain using the spillover frameworks of Diebold and Yilmaz (2014) and Barunik and Krehlik (2018). Findings reveal the evidence of asymmetric spillovers among the assets across time and different frequency cycles. While the spillover is stronger for commodities within the same class, gold and silver have the strongest connectedness with green bonds regardless of the periods. However, crude oil observes a strong connection with green bonds in the long-run. Additionally, the asymmetric spillover results show that positive returns spillover is stronger in the short-run, while negative returns spillover substantially holds in both periods but is more pronounced in the short-run. In all, this study unveils the importance of the green bonds market in serving as succor against risk in other commodity markets (except precious metals) at different time horizons. Also, under appropriate scaling up of the green bond market with viable environmental policies, it promises to attract more investors so that it continues to fulfill its goal of ensuring a green economy.

【 授权许可】

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