The connectivity of financial stress, green bonds, conventional bonds, stocks, and commodities: Empirical evidence from quantile-based analysis

Özçelebi O., Perez-Montiel J. A., İzgi M. T.

Encyclopedia of Monetary Policy, Financial Markets and Banking, Nicholas Apergis, Editör, Elsevier Science, Oxford/Amsterdam , Amsterdam, ss.514-520, 2025

  • Yayın Türü: Kitapta Bölüm / Araştırma Kitabı
  • Basım Tarihi: 2025
  • Yayınevi: Elsevier Science, Oxford/Amsterdam 
  • Basıldığı Şehir: Amsterdam
  • Sayfa Sayıları: ss.514-520
  • Editörler: Nicholas Apergis, Editör
  • İstanbul Üniversitesi-Cerrahpaşa Adresli: Evet

Özet

Abstract Quantile-based analysis was employed in this study, and the quantile Granger-causality test results showed that changes in the S&P 500 Index, gold and oil prices cause to variations in green bond ETFs. However, only the S&P 500 Index affects the green bond ETFs both in normal and extreme conditions. Quantile connectedness analysis confirmed those findings, while the VIX is another major transmitter on the green bond ETFs. Thus, it was revealed that the high correlation of green bond ETFs with risks originating from the US stock market may be an obstacle to the development of the green bond market