Green Bonds, Conventional Bonds and Geopolitical Risk

Arbeitspapier

This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk in high and low volatility periods between 2014 and 2022 using a Markov-switching VAR (MS-VAR) framework. The results indicate that geopolitical risk significantly affects green bonds in periods of high volatility, but does not do so to conventional bond markets. Green bond markets are significantly affected by sovereign and corporate bonds in both regimes, with stronger effects from corporate bonds evident in high volatility periods. This suggests that green bonds behave differently to conventional bonds and may be more susceptible to geopolitical risk and contagion.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: QBS Research Paper ; No. 2023/05

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
• Subject: Green bonds ; Geopolitical Risk ; Markov Switching

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Sheenan, Lisa
• Event: Veröffentlichung
• (who): Queen's University Belfast, Queen's Business School
• (where): Belfast
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/278067
• Last update: 10.03.2025, 11:42 AM CET