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Title: Time-varying spillover networks of green bond and related financial markets Authors:  Ping Wei - Central South University (China)
Kang Yuan - Central South University (China)
Xiaohang Ren - Central South University (China) [presenting]
Abstract: Using the Granger causality test and spillovers network analysis based on the time-varying parameter vector autoregressive (TVP-VAR) model, the interrelationship between the green bond market and other major financial markets are investigated. The empirical findings reveal: (i) there exists a significant bidirectional spillover effect between the green bond market and the U.S. Treasury market; (ii) during periods of economic turmoil, the connectedness between green bonds and other markets has increased significantly, especially the risk spillovers from the stock markets; (iii) The carbon market and the energy futures market only had spillovers on the green bond market before the publication of the Green Bond Principles in 2014. We discuss the influence of COVID-19 on the spillovers network. These findings have strong implications for investors to manage portfolios and policymakers to improve the regulations.