Nexus between green bonds, financial and environmental indicators

Authors

DOI:

https://doi.org/10.17811/ebl.10.3.2021.191-199

Abstract

This study uses a novel perspective to examine the causal connectedness between green bonds and other conventional assets, including clean energy, price of CO2 emission allowances, Bitcoin, and the S&P 500 stock market covering from January 2013 to March 2019. We apply the Multilayer Perceptron Neural Network Non-linear Granger causality and Transfer Entropy to detect possible changes in the causal direction between green bonds and other considered variables. We find a bidirectional relationship between green bonds, S&P 500, and Bitcoin markets, while green bonds have a unidirectional connection with the price of CO2 emission allowances.

Downloads

Published

2021-08-02

How to Cite

Hung, N. T. (2021). Nexus between green bonds, financial and environmental indicators. Economics and Business Letters, 10(3), 191-199. https://doi.org/10.17811/ebl.10.3.2021.191-199