Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic
使用多变量小波方法和动态连通性框架，研究了绿色债券与金融市场在短期和长期的依赖关系，发现短期分散化收益更明显，长期市场高度整合，全球股市是净溢出者，企业债是净接收者，绿色债券接收更多波动但传递较少。
This paper examines the interdependence between green bonds and financial markets in the time-frequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with Diebold and Yilmaz (2012) spillover framework. The findings of wavelet multiple correlations indicate that the benefits of diversification opportunities are more evident in the short run. The evidence of wavelet multiple cross-correlations reveals that green bonds and financial markets are highly integrated in the long run. The results of the static connectedness framework explain that the direction and magnitude of spillover behave differently across markets. The world stock market is the net spillover transmitter, while the corporate bond market is the net spillover receiver among the selected markets. The green bond market is receiving more but transmitted less volatility in the present study. The evidence on dynamic connectedness measured by the rolling window approach shows that the interconnection between green bonds and financial markets is volatile over time. These pieces of evidence provide implications to global investors having a strong position in the green bonds market in terms of risk management and portfolio decisions.