气候变化领域集成服务门户(CCPortal): The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method

CCPortal

DOI	10.1016/j.techfore.2022.121611
	The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method
	Ren, Xiaohang; Li, Yiying; Yan, Cheng; Wen, Fenghua; Lu, Zudi
发表日期	2022
ISSN	0040-1625
EISSN	1873-5509
卷号	179
英文摘要	The 26th edition of the United Nations climate change conference (COP26) underlines the importance of financial products and markets related to carbon (e.g., carbon and green bond markets). We, to our knowledge, are the first to construct a framework based on multiple time scales and market conditions to quantify the interrelationship between the carbon futures and green bond markets. Specifically, we estimate it from short-, medium-, and long-term perspectives and different market conditions by combining the maximum overlap discrete wavelet transform (MODWT) and two quantile methods to decompose the sequences into various frequencies and quantiles. We find that the carbon futures price unilaterally Granger causes the green bond index and empirically analyzes the asymmetric impact of the carbon futures with a two-dimensional quantile model constructed by the quantile-on-quantile (QQ) regression approach. We find positive effects of the carbon futures in the medium to long term and erratic performance in the short term. The effects are more pronounced when both markets are in an extreme state. Our findings enrich the research related to eco-economy and carbon finance, providing a more comprehensive and detailed research framework, and helping others optimize investment portfolios and policy arrangements.
英文关键词	Carbon futures; Green bond; Wavelet analysis; Quantile granger causality test; Quantile-on-quantile regression
语种	英语
WOS研究方向	Business ; Regional & Urban Planning
WOS类目	Social Science Citation Index (SSCI)
WOS记录号	WOS:000781817200010
来源期刊	TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/280962
作者单位	Central South University; University of Essex; University of Southampton
推荐引用方式 GB/T 7714	Ren, Xiaohang,Li, Yiying,Yan, Cheng,et al. The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method[J],2022,179.
APA	Ren, Xiaohang,Li, Yiying,Yan, Cheng,Wen, Fenghua,&Lu, Zudi.(2022).The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method.TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,179.
MLA	Ren, Xiaohang,et al."The interrelationship between the carbon market and the green bonds market: Evidence from wavelet quantile-on-quantile method".TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE 179(2022).