The DOI matches its Crossref record; 14 of the 14 references it cites were found in a registry or an index.
Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade
Abstract
Abstract We examine the determinants of correlation patterns between green and black bond markets. Both the correlations and determinants are time-varying and estimated using a two-stage sequential methodology, extracting dynamic conditional correlations (DCC) in the first, then applying dynamic model averaging (DMA) in the second to establish the determinants of market correlations. We provide evidence that the connection between green and black bonds is sensitive to: changes in financial market volatility; economic policy uncertainty; daily economic activity; oil prices and; uniquely constructed measures of positive and negative news-based sentiment towards green bonds.
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Cites
Measuring Economic Policy Uncertainty*
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Green bond and financial markets: Co-movement, diversification and price spillover effects
Reboredo, J. C. (2018) · Energy Economics · doi:10.1016/j.eneco.2018.05.030 · Cited by 762
FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
Koop, G., & Korobilis, D. (2012) · International Economic Review · doi:10.1111/j.1468-2354.2012.00704.x · Cited by 390
Oil shocks and stock markets revisited: Measuring connectedness from a global perspective
Zhang, D. (2017) · Energy Economics · doi:10.1016/j.eneco.2017.01.009 · Cited by 381
Is it risky to go green? A volatility analysis of the green bond market
Pham, L. (2016) · Journal of Sustainable Finance & Investment · doi:10.1080/20430795.2016.1237244 · Cited by 344
The changing value of the ‘green’ label on the US municipal bond market
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Cited by
Price connectedness between green bond and financial markets
Reboredo, J. C., & Ugolini, A. (2020) · Economic Modelling · doi:10.1016/j.econmod.2019.09.004 · Cited by 521
Bhutta, U. S., Tariq, A., Farrukh, M., Raza, A., & Iqbal, M. K. (2022) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2021.121378 · Cited by 517
Nguyen, T. T. H., Naeem, M. A., Balli, F., Balli, H. O., & Vo, X. V. (2021) · Finance Research Letters · doi:10.1016/j.frl.2020.101739 · Cited by 452
Green Finance and Renewable Energy: A Worldwide Evidence
Alharbi, S., Al Mamun, M., Sabri, B., & Rizvi, S. R. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4315725 · Cited by 353
Network connectedness of green bonds and asset classes
Reboredo, J. C., Ugolini, A., & Aiube, F. A. L. (2020) · Energy Economics · doi:10.1016/j.eneco.2019.104629 · Cited by 348
Metadata
- Authors
- Broadstock, D. C., & Cheng, L. T. W.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2019-06
- Volume
- 29
- Pages
- 17-22
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W2916661906
- Cited by
- 334
- References
- 14
- FWCI
- 36.93
- Type
- journal article
- Language
- en
- Open access
- closed
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- Broadstock, D. C., & Cheng, L. T. W. (2019). Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade. Finance Research Letters. https://doi.org/10.1016/j.frl.2019.02.006
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
