Asymmetric economic effects via the dependence structure of green bonds and financial stress index

• Published in: Journal of economic asymmetries 2022-11, Vol.26, p.e00264, Article e00264
• Main Authors: Tsagkanos, Athanasios, Argyropoulou, Despoina, Androulakis, Georgios
• Format: Article
• Language: English
• Subjects: Bayesian VAR model; Corporate green bonds; Financial stress; Spillover effect
• ISSN: 1703-4949
• DOI: 10.1016/j.jeca.2022.e00264

In this study we examine the connectedness and spillovers of financial stress with corporate green bonds that has hardly attracted any attention in the relevant literature. To the best of our knowledge this is the first research attempt to connect and locate any impact of the new financial and environmental tool of green bonds in financial stress which implies respective social impacts. Significant results are extracted by our analysis. The most important is that in contrast to what financial stress theory holds we locate a causal relationship from green bonds to financial stress. The transmission from green bonds to financial stress becomes clearer by using the Bayesian VAR model. We confirm the robustness of our results by using other valid indices for our main variables. Furthermore, our analysis provides important implications for global economic growth, for investors aiming to achieve better risk-adjusted performance but also decarbonization and sustainability of their portfolios and for policymakers in designing and implementing policies aiming to the mitigation of the climate change risk and the transition to a more sustainably economy.