Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316887 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11773
Publisher: 
CESifo GmbH, Munich
Abstract: 
This paper explores the relationship between green bond markets and both green and conventional financial markets, while also evaluating their effectiveness as a climate finance instrument. Using the Thick Pen Measure of Association — a visually interpretable tool for analysing co-movement across different time scales — we identify several key findings. First, the relationship between green bonds and other markets evolves over time, influenced by major events such as COVID-19, the Ukraine war, and earlier structural changes. Second, green bonds show the strongest co-movement with benchmark bond markets, indicating they are driven by similar fundamental factors. In contrast, their connection to stock markets is weaker and, in some cases, declining, reinforcing their potential as a diversification tool. However, short-term movements in the green bond market remain closely linked to the long-term stock market environment, particularly during periods of market stress.
Subjects: 
green bonds
financial markets
co-movement
Thick Pen Measure of Association
data science
JEL: 
C14
C32
C46
G12
Q56
Document Type: 
Working Paper
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