Artikel

The volatility of the "green" option-adjusted spread: Evidence before and during the pandemic period

The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all the variables, we adopt Exponential and Generalized AutoRegressive Conditional Heteroskedasticity models, putting the OAS as dependent variable. Our main results show that the conditional variance parameters are significant and persistent in both times, testifying the overall impact of the other markets on the OAS. In more detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more sensitive to positive shocks than to negative ones. With reference to the conditional mean, we note that if during the non-pandemic period only the stock market is significant, during the pandemic also conventional bonds and gold are impacting. To the best of our knowledge this is the first study that analyzes the specific credit risk component of the green bond yields: we deem our findings useful to observe the change of green bonds creditworthiness in a complex market context and interesting in terms of policy implications.

Sprache
Englisch

Erschienen in
Journal: Risks ; ISSN: 2227-9091 ; Volume: 10 ; Year: 2022 ; Issue: 3 ; Pages: 1-13 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
credit risk
green bonds
option-adjusted spread
volatility

Ereignis
Geistige Schöpfung
(wer)
Ortolano, Alessandra
Nissi, Eugenia
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2022

DOI
doi:10.3390/risks10030045
Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Ortolano, Alessandra
  • Nissi, Eugenia
  • MDPI

Entstanden

  • 2022

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