Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds

The paper examines the inter-relationship between green bonds and other asset markets, including stocks, commodities, clean energy, and conventional bonds over 11 years from 2008 to 2019. The dynamic features of correlation across asset pairs over time and in different frequencies are assessed through the rolling window wavelet correlation approach. We find strong evidence that most correlation emerged and reached a peak in the aftermath of GFC 2007-2009. While comovement among stocks, commodities, and clean energy is found relatively high, the diversification benefit of green bonds is significantly revealed due to its low or negative correlation with stocks and commodities.

Automated summary

The paper analyzes the relationship between green bonds and other asset markets from 2008 to 2019, finding that green bonds show low or negative correlation compared to stocks, commodities, and clean energy, indicating a significant diversification benefit.