The impact of risk indicators on green and conventional corporate bonds: an empirical analysis from Europe
リスク指標がグリーンおよび従来型社債に与える影響：欧州からの実証分析 (AI 翻訳)
Öcal H, Kamil AA, Torasan S
🤖 gxceed AI 要約
日本語
本研究は2020年5月から2025年1月までの欧州グリーン社債と従来型社債のボラティリティ動態を、Granger因果性、VAR、インパルス応答分析を用いて分析。VIXIEとVSTOXXが債券リターンに負の影響を与えること、VSTOXX上昇時にはグリーンプレミアムが発生する一方、VIXIEでは発生しないことを発見。GVZは債券リターンと正の関係を持ち、グリーンプレミアムを生む。グリーン債はショックへの感受性が低く、担保品質の高さを示唆。
English
This study examines volatility dynamics in European corporate green and conventional bond markets from May 2020 to Jan 2025 using Granger causality, VAR, and impulse response analysis. It finds that VIXIE and VSTOXX negatively affect bond returns, with a green premium emerging under VSTOXX shocks but not VIXIE. GVZ shows positive links with bond returns and generates a green premium. Green bonds exhibit lower susceptibility to shocks, suggesting higher collateral quality.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本でもグリーンボンド市場が拡大しており、本分析のリスク指標とグリーンプレミアムの関係は、機関投資家のポートフォリオ構築やESG評価に示唆を与える。特に、ボラティリティ下でのグリーン債の安定性は、日本のサステナブル投資の促進に寄与し得る。
In the global GX context
This paper contributes to the global green bond literature by empirically demonstrating green bonds' resilience to specific volatility shocks, which is relevant for transition finance and risk management. The findings support the case for green bonds as stable instruments in diversified portfolios, informing ISSB and TCFD-aligned disclosures on climate-related risks.
👥 読者別の含意
🔬研究者:Provides empirical evidence on green bond resilience to volatility shocks, useful for asset pricing models and climate finance research.
🏢実務担当者:Green bonds may offer lower risk under volatility, aiding portfolio construction and risk management for sustainability teams.
🏛政策担当者:Supports policy promoting green bonds as stable instruments, potentially informing green bond standards or taxonomy development.
📄 Abstract（原文）
<title>Abstract</title> <p>This study examines volatility dynamics in the European corporate green bond and conventional bond markets from 1 May 2020 to 24 January 2025, using Granger causality, VAR, and impulse response analysis. VAR results show a negative relationship between bond returns and VIXIE and VSTOXX. No green premium is observed when VIXIE rises, but a premium appears with VSTOXX increases. GVZ and OVX display significant positive links with corporate and green bond returns, respectively; however, only GVZ shocks produce a green premium. Granger causality identifies VIXIE as a key causal driver, with conventional bonds acting as receivers of volatility shocks and transmitters towards green bonds and GVZ. Impulse responses confirm a green premium for VIXIE, VSTOXX, and GVZ shocks, but not for OVX. Green bonds show slightly lower shock susceptibility, suggesting higher collateral quality and greater appeal for risk-conscious investors and lenders. JEL: G12, G32, G15, Q56</p>
🔗 Provenance — このレコードを発見したソース
- Research Square https://doi.org/10.21203/rs.3.rs-9481480/v1first seen 2026-06-20 04:47:40 · last seen 2026-07-01 04:42:05
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