Impacts of COVID-19 outbreak,macroeconomic and financial stress factors on price spillovers among green bond |
| |
| Affiliation: | 1. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;2. Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam;3. South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation;4. Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam |
| |
| Abstract: | We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantiles |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
