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- W3175609563 abstract "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 Baruník and Křehlík (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." @default.
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- W3175609563 date "2021-09-01" @default.
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- W3175609563 title "Asymmetric spillovers between green bonds and commodities" @default.
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- W3175609563 doi "https://doi.org/10.1016/j.jclepro.2021.128100" @default.
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