Green bonds, conventional bonds and geopolitical risk

Lisa Sheenan

doi:10.1016/j.frl.2023.104587

Green bonds, conventional bonds and geopolitical risk

Lisa Sheenan^*

^*Corresponding author for this work

Queen's Business School (QBS)

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

49 Downloads (Pure)

Abstract

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.

Original language	English
Article number	104587
Journal	Finance Research Letters
Volume	58
Issue number	Part C
Early online date	17 Oct 2023
DOIs	https://doi.org/10.1016/j.frl.2023.104587
Publication status	Published - Dec 2023

Bibliographical note

Publisher Copyright:
© 2023 The Author(s)

Keywords

Geopolitical risk
Green bonds
Markov switching

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2023.104587Licence: CC BY

Green bonds, conventional bonds and geopolitical risk
Copyright 2023 the authors. This is an open access article published under a Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium, provided the author and source are cited.
Final published version, 579 KBLicence: CC BY

Cite this

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title = "Green bonds, conventional bonds and geopolitical risk",

abstract = "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.",

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AB - 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.

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Green bonds, conventional bonds and geopolitical risk

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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Cite this