Interactions between sustainable bonds, renewable energy and other financial markets: A macroprudential perspective
研究了欧洲可持续债券市场与公司债、主权债、可再生能源、股票和波动率市场之间的联动关系，发现绿色债券和可持续发展挂钩债券与这些市场之间存在双向传染效应，且未提供稳健的分散化收益证据。
We analyse linkages between sustainable bond markets and a number of key financial markets in Europe, namely corporate bond, sovereign bond, renewable energy, equity and volatility markets. We apply a novel empirical approach using zero-volatility spreads (z-spreads) as a measure of relative bond performance to adjust for the sensitivity of bond prices to changes in interest rates. We model these linkages using a Markov-switching vector autoregressive model and static and dynamic copulas that enable us to test for contagion with conditional value-at-risk measures. We find evidence of bi-directional contagion between the sustainability-linked bond and green bond markets along with contagion between other fixed-income markets and the sustainable bond market. Our results indicate possible diversification benefits that green bonds or sustainability-linked bonds may provide to investors active in the key markets analysed. • Interlinkages between sustainable bonds, renewables and conventional financial markets are analysed. • A novel z-spread approach accounts for sensitivity of bond prices to changes in interest rates. • No evidence of robust diversification benefits for green bonds and sustainability-linked bonds. • We uncover contagion effects between these analysed markets. • We are among the first to investigate the spreads on the SLB market in general.