Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis

This study examines the time-frequency co-movement and network connectedness between green bonds and other financial assets in China. We propose wavelet coherence and multiscale TVPVAR to explore the time-frequency co-movement and spillover connectedness. The empirical results are as follows. First, green bonds positively co-move with conventional bonds across time scales and negatively co-move with stocks and commodities. Second, there is a significant network connectedness of green bonds with conventional bonds in the short term, and the connectedness with stocks and commodities gradually strengthens with the increase in time scales. Third, the dynamic spillover between green bonds and other assets is much greater in the long and medium terms than in the short term. Finally, under crisis shocks, the spillovers spike temporarily in the short term, while they are persistent and at a high level in the long term. Overall, some practical implications are proposed for investors and policymakers.

Automated summary

This study examines the time-frequency co-movement and network connectedness between green bonds and other financial assets in China. The empirical results reveal that green bonds positively co-move with conventional bonds, but negatively co-move with stocks and commodities. The network connectedness of green bonds with stocks and commodities strengthens over time, while their connectedness with conventional bonds is significant in the short term. The study also finds that the spillover between green bonds and other assets is greater in the long and medium terms. Overall, the study provides practical implications for investors and policymakers.