Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics
研究了绿色债券、清洁能源市场和碳价格之间在短期和长期的回报溢出效应，发现绿色债券和碳价格主要是短期冲击的净接收者，清洁能源市场关联性低，碳价格在稳定时期可作为分散工具。
In this paper, we investigate the time and frequency dynamics of connectedness among green assets such as green bonds, clean energy markets, and carbon prices. Using daily price data, we explore return spillovers across these green financial markets by applying the novel framework on time and frequency dynamics proposed by Baruník and Krehlík (2018). This allows us to identify the direction of spillovers among our variables, and decompose the connectedness to differentiate between short-term and long-term return spillovers. Our results indicate that green bonds and carbon prices act as net receivers of shocks, but mainly in the short-term. We also observe a low level of connectedness among our clean energy markets across both low and high frequency bands, even during times of economic or political crisis. Additionally, there are periods in which connectedness between the clean energy assets is driven by the long-term. In periods of economic and political stability, carbon prices may also provide an interesting diversifying tool for short-term investors. Our results should be of interest for investors and portfolio managers who focus on green financial markets, by strengthening the notion that green financial markets can offer diversification opportunities, for both short-term and long-term investors. Policy makers could also benefit from our insights on conectedness in their work on short-term and long-term climate policies. This paper is the first to use this framework to investigate systematic risks within green financial markets. • Estimating time and frequency dynamic spillovers across a fully green financial market. • Green bonds and carbon prices receive return spillovers, mainly in the short-term. • Low connectedness among clean energy markets across both low and high frequency bands. • Carbon prices show minimal connectedness during economic and politically stable periods.