Volatility Spillover Dynamics among Green Bonds, Renewable Energy, Clean Energy, Carbon Markets, and Oil
グリーンボンド、再生可能エネルギー、クリーンエネルギー、炭素市場、原油間のボラティリティスピルオーバーダイナミクス (AI 翻訳)
BAYDAŞ, Yunus, KILIÇ, Ethem, KÖSE, Yaşar
🤖 gxceed AI 要約
日本語
本研究は、グリーンボンド、再生可能エネルギー、クリーンエネルギー、炭素排出市場、原油間のボラティリティスピルオーバーと時間変動する依存関係を、2014年12月から2025年1月の日次データを用いて分析。DC-MSVモデルにより、グリーンボンドと原油の連関は弱く不安定である一方、再生可能エネルギーや炭素市場は強い相互連関を示すことを発見。グリーンボンドは分散効果のある安定資産として機能する。
English
This study investigates volatility spillovers and time-varying dependence among green bonds, renewable energy, clean energy, carbon markets, and crude oil from December 2014 to January 2025 using a DC-MSV framework. Results show weak and unstable links between green bonds and oil, while renewable energy, clean energy, and carbon markets exhibit stronger interconnections. Green bonds serve as a stabilizing asset for portfolio diversification.
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
日本ではグリーンボンド市場が拡大しており、本論文の知見は国内投資家のポートフォリオ構築やGXリーグのカーボンプライシング政策理解に役立つ。
In the global GX context
As green bond markets grow globally, this paper offers empirical evidence on diversification benefits and cross-market linkages, relevant for sustainable finance strategies and carbon pricing developments.
👥 読者別の含意
🔬研究者:Provides empirical insights on volatility transmission across sustainable assets, useful for asset pricing and portfolio modeling.
🏢実務担当者:Risk managers can leverage findings on green bonds as a hedge against energy market volatility.
🏛政策担当者:Policymakers may consider the stabilizing role of green bonds in designing carbon market integration.
📄 Abstract（原文）
This study explores volatility spillover mechanisms and time-varying dependence among green bonds, renewable energy, clean energy, carbon emission markets, and crude oil using daily data from December 2014 to January 2025. A Dynamic Conditional Multivariate Stochastic Volatility (DC-MSV) framework is employed to jointly model latent volatility dynamics and evolving cross-market correlations. The results indicate that linkages between green bonds and crude oil remain consistently weak and unstable over time, suggesting limited volatility transmission from fossil fuel markets to green bond assets. In contrast, renewable energy, clean energy, and carbon markets display stronger and more persistent interconnections, particularly during periods of elevated market uncertainty. Volatility persistence is more pronounced in energy-related markets than in green bonds, reflecting their sensitivity to policy interventions and technological changes. Overall, the findings highlight the role of green bonds as a stabilizing asset that enhances portfolio diversification under energy market volatility. The study provides relevant insights for investors, policymakers, and risk managers in the context of sustainable financial markets.
🔗 Provenance — このレコードを発見したソース
- Zenodo https://zenodo.org/records/20283597first seen 2026-06-12 04:16:37 · last seen 2026-06-16 04:15:45
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