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- W4309551479 endingPage "101842" @default.
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- W4309551479 abstract "• Examine dynamic connectedness of green bonds and asset classes for the China markets. • Quantify time-frequency dependence by employing wavelet coherence. • Wavelet-TVP-VAR-based connectedness model are employed. • Find that strong bidirectional spillovers between green bonds and conventional bonds. • During times of crisis, the spillovers of the stock market to the green bond market increased significantly. This paper quantifies the co-movement and time-varying integration between China's green bonds and other asset classes across different time domains using the wavelet coherence and time-frequency connectedness model based on the time-varying parameter VAR (TVP-VAR). First, we predominantly detect a strong positive co-movement of green and conventional bonds, especially in the medium and long term. Second, strong bidirectional spillovers exist between green bonds and treasury, corporate, and financial bonds regardless of the time horizon. Lastly, cross-market spillovers between the green bonds and the stock, energy, low carbon stock market were quite limited in the short-run but strengthened towards the long-term except during the 2015 China stock market crash and the COVID-19 recession when short-term integration rose sharply. The results document some practical enlightenment for investors and policymakers with various time horizons." @default.
- W4309551479 created "2022-11-28" @default.
- W4309551479 creator A5062520055 @default.
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- W4309551479 date "2022-11-01" @default.
- W4309551479 modified "2023-09-23" @default.
- W4309551479 title "Dynamic connectedness of China’s green bonds and asset classes" @default.
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- W4309551479 doi "https://doi.org/10.1016/j.najef.2022.101842" @default.
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