Quantile Dependence between Green Bonds, Stocks, Bitcoin, Commodities and Clean Energy

Abstract

The development of the green bond market has been magnificent recently, but it is necessary to be accelerated for financial sustainability over the globe. In response to increasing interest in the time-varying nexus between green bonds and other assets, the current study empirically investigates the asymmetric relationship between green bonds and other conventional assets, including Bitcoin price, S&P 500, Clean Energy Index, GSCI Commodity Index, and CBOE volatility using recently proposed and novel methods of quantile on quantile regression and Granger causality in quantiles approaches. Our mainstream results demonstrate that other assets under study strengthen green bonds over sample period studied, and this impact is more pronounced in higher quantiles of respective variables. Moreover, our quantile causality test further confirms these results with robust finding across time scales and quantiles. To enhance clean energy and energy efficiency, policymakers should take into consideration limiting eligibility criteria in policies supporting green bonds or limiting refinancing using green bonds. Stakeholders driving the green bond market should scale up the market to finance the required global investment level.