Mensi Walid, Rehman Mobeen Ur, Vo Xuan Vinh
Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman.
Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam.
Int Rev Financ Anal. 2022 May;81:102125. doi: 10.1016/j.irfa.2022.102125. Epub 2022 Apr 1.
We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI global GB and both building and utility GBs. Moreover, the upper tail dependence between MSCI global GB and financial GB intensified during COVID-19. We find asymmetric risk spillovers from MSCI global GB to the remaining GBs. Finally, the COVID-19 spread, the Citi macro risk index, and the financial condition index contribute positively to the quantiles' risk spillovers. The spillover index method shows significant dynamic volatility spillovers from global GB to GB sectors that intensify during the pandemic outbreak, except for financial GB. The causality-in-mean and in-variance from COVID-19, Citi macro risk index, and US financial condition index to the downside and upside spillover effects are sensitive to quantiles.
我们研究了新冠疫情和全球风险因素对摩根士丹利资本国际全球、建筑、金融、工业和公用事业绿色债券（GB）的价格上行和下行溢出效应的影响。使用Copulas、CoVaR和分位数回归方法，我们发现摩根士丹利资本国际全球绿色债券与建筑和公用事业绿色债券之间存在对称的尾部相依性。此外，在新冠疫情期间，摩根士丹利资本国际全球绿色债券与金融绿色债券之间的上尾相依性增强了。我们发现从摩根士丹利资本国际全球绿色债券到其余绿色债券存在不对称的风险溢出。最后，新冠疫情传播、花旗宏观风险指数和金融状况指数对分位数的风险溢出有正向贡献。溢出指数方法显示，除了金融绿色债券外，在疫情爆发期间，从全球绿色债券到绿色债券各部门存在显著的动态波动溢出，且这种溢出会增强。新冠疫情、花旗宏观风险指数和美国金融状况指数对下行和上行溢出效应的均值因果关系和方差因果关系对分位数很敏感。
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