Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258355 
Year of Publication: 
2022
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 10 [Issue:] 3 [Article No.:] 45 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all the variables, we adopt Exponential and Generalized AutoRegressive Conditional Heteroskedasticity models, putting the OAS as dependent variable. Our main results show that the conditional variance parameters are significant and persistent in both times, testifying the overall impact of the other markets on the OAS. In more detail, we highlight that the gamma in the two Exponential models is positive: so, the "green" credit risk volatility is more sensitive to positive shocks than to negative ones. With reference to the conditional mean, we note that if during the non-pandemic period only the stock market is significant, during the pandemic also conventional bonds and gold are impacting. To the best of our knowledge this is the first study that analyzes the specific credit risk component of the green bond yields: we deem our findings useful to observe the change of green bonds creditworthiness in a complex market context and interesting in terms of policy implications.
Subjects: 
credit risk
green bonds
option-adjusted spread
volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.