Time-Varying Co-Movements Between Green Bonds, CO₂ Emissions, the Investor Sentiment, and Financial Stress
グリーンボンド、CO2排出量、投資家心理、金融ストレスの間の時変的な共変動 (AI 翻訳)
S. Boutouria
🤖 gxceed AI 要約
日本語
本研究は、グリーンボンドとCO2排出量、クリーンエネルギー株、投資家心理、金融ストレスとの動的な関係を分析。2011年から2023年のデータを用い、分位回帰とベイジアン時変VARモデルを適用。結果、CO2排出量からグリーンボンドへの負の影響、クリーンエネルギー株からの正の影響を確認。投資家心理の影響は弱いが、金融ストレス時にはグリーンボンドが安全資産として機能する可能性を示唆。
English
This study examines dynamic relationships between green bonds, CO2 emissions, clean energy stocks, investor sentiment, and financial stress using quantile regression and Bayesian time-varying VAR models from 2011 to 2023. Results show a negative effect from CO2 emissions to green bonds and a positive effect from clean energy stocks. Investor sentiment has weak influence, but financial stress plays a significant role, suggesting green bonds may act as safe havens during uncertainty.
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
日本のグリーンボンド市場は拡大中であり、本論文の知見は、金融ストレス時におけるグリーンボンドの相対的安定性を示す点で、日本の機関投資家や発行体にとって参考となる。また、CO2排出量との負の関係は、脱炭素政策との連動性を示唆し、日本のGX推進策への示唆を含む。
In the global GX context
This paper contributes to global green finance literature by empirically demonstrating green bonds' resilience during financial stress and their sensitivity to CO2 emissions. It offers insights for international investors and policymakers on the stabilizing role of green bonds in sustainable portfolios, relevant to global climate finance frameworks like the EU Green Bond Standard and ISSB disclosure.
👥 読者別の含意
🔬研究者:Provides empirical evidence on time-varying co-movements between green bonds and key variables, useful for further research on green bond pricing and risk.
🏢実務担当者:Highlights green bonds' safe-haven properties during financial stress, aiding portfolio diversification and risk management for sustainable investors.
🏛政策担当者:Suggests that green bonds can support financial stability while advancing environmental goals, informing policy design for green bond markets.
📄 Abstract（原文）
Green bonds are attracting growing interest as sustainable financial instruments that support the transition to a low-carbon economy by financing environmentally responsible projects. Understanding how these instruments interact with CO₂ emissions and investor sentiment is essential to assess their stability and long-term potential. The aim of this study is to explore the dynamic relationships between green bonds and a selection of financial and environmental variables, including US conventional bonds, the WilderHill Clean Energy equity index, and CO₂ emission allowances. Additionally, the study evaluates the impact of investor sentiment and financial stress on green bond performance. The methods used include a quantile regression model, which assesses whether the Standard and Poor’s (S&P) Green Bond Index can be explained by the aforementioned variables — namely CO₂ emissions, clean energy stocks, investor sentiment (proxied by Google Trends), and financial stress [measured by the Office of Financial Research (OFR) Index]. The analysis covers the period from July 6, 2011, to September 15, 2023. To account for time-varying relationships, a Bayesian time-varying vector autoregressive (BTC–VAR) model is also applied. The results show a negative unidirectional effect from CO₂ emissions to the green bond index and a positive unidirectional effect from the clean energy index. However, green bonds appear weakly correlated with the other considered assets. Investor sentiment does not show a significant influence, while financial stress plays a more important role, indicating that green bonds may be perceived as safer assets during periods of uncertainty. The key conclusion is that green bonds exhibit selective sensitivity to specific financial and environmental factors. Their relative stability during episodes of financial stress reinforces their position as both sustainable and resilient investment tools. These findings provide useful insights for investors, policymakers, and researchers interested in the evolving dynamics of green finance.
🔗 Provenance — このレコードを発見したソース
- openaire https://doi.org/10.26794/2308-944x-2025-13-2-98-113first seen 2026-05-05 19:07:43
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