Exploring the Connectedness Between Green Bonds and Financial Markets and Its Drivers During Recent Crises: New Evidence From a TVP ‐ VAR Extended Joint Connectedness Approach and Wavelet Coherence Analysis
研究了2018年至2024年间绿色债券与常规债券、股票、清洁能源及大宗商品之间的动态关联性，发现该关联在疫情期间显著增强，且波动率指数VIX是主要驱动因素，绿色债券在市场动荡中具有避险功能。
ABSTRACT This paper applies the TVP‐VAR extended joint connectedness model to investigate the time‐varying connectedness between green bonds, conventional bonds, stocks, clean energy, and commodities from January 2018 to April 2024, which includes the COVID‐19 pandemic, the Russia–Ukraine conflict, and the Israel–Palestine war. Empirical results show that the dynamic connectedness between green bonds and financial markets is time‐varying and intensifies significantly during the pandemic. Moreover, the volatility stock index VIX emerges as the primary driver of this connectedness. Additionally, green bonds are resilient to market turmoil and can serve as a hedging tool for many markets, especially agricultural and energy commodities.