FİNANSAL RİSKİN YEŞİL TAHVİL PİYASASINDAKİ ROLÜ: TVP-VAR TEMELLİ DİNAMİK BAĞLANTILILIK MODELİ İNCELEMESİ

Abstract

Bu çalışma, volatilite endeksleri (VIX, OVX, GVZ) yardımıyla finansal riskten kaynaklı şokların yeşil tahvil piyasasına yayılım etkisini, Eylül 2021-Mart 2024 yılları arası haftalık veriler kullanılarak Zamanla Değişen Parametreli Vektör Otoregresyon (TVP-VAR) Temelli Dinamik Bağlantılılık analiziyle araştırmaktadır. Finansal risk endekslerinde incelenen dönemin özellikleri de dikkate alınarak pay senedi piyasası ve emtia piyasası temelli risk endeksleri seçilmiştir. Seçilen bu endekslerin yeşil tahvil piyasasındaki rolü ve etkileme derecesi değerlendirilmiştir. Bulgular GVZ ve OVX’in yeşil tahvil piyasasını güçlü bir şekilde etkilediği yönündedir. Yeşil tahviller şokların net alıcısı konumundadır ve riskin sebebi özellikle emtia piyasası temellidir. TCI değeri ise piyasa genelindeki volatilite yayılımın yüksek olduğuna işaret etmektedir. İncelenen dönem koşullarında bu sonuç beklentilerle tutarlılık göstermekte ancak tahvil piyasasının yeşil olma özelliğinin henüz riskten koruma görevi görmediği sonucunu doğurmaktadır. Çalışmanın farklı ekonomik bağlamlarda ve varlık sınıflarında nasıl bir ilişkide olduğuna yönelik bilgi akışı sağlayarak yerli literatürdeki çok az sayıdaki çalışmaya destek vermesi, yeşil tahvil piyasasının gelişimi için bir perspektif oluşturması ve emtia piyasası temelinde literatür boşluğuna katkı yapması beklenmektedir.

Keywords

• Finansal Risk
• Yeşil Tahvil
• TVP-VAR Temelli Dinamik Bağlantılılık.

THE ROLE OF FINANCIAL RISK IN THE GREEN BOND MARKET: TVP-VAR-BASED DYNAMIC CONNECTEDNESS ANALYSIS

Abstract

This study investigates the spillover effect of financial risk-induced shocks on the green bond market with the help of volatility indices (VIX, OVX, GVZ). Employing weekly data from September 2021 to March 2024, the analysis is conducted through the Time-Varying Parameter Vector Autoregression (TVP-VAR) based Dynamic Connectedness approach. Given the characteristics of the period under review, risk indices based on equity and commodity markets were selected. The role of these selected indices in the green bond market and their degree of influence were evaluated. The findings indicate that the GVZ and OVX strongly influence the green bond market. Green bonds are net recipients of shocks, primarily driven by commodity market-based risks. The Total Connectedness Index (TCI) indicates that volatility spillovers across the markets is high. This result is consistent with expectations under the conditions of the period analyzed, but it points that the green feature of the bond market does not yet serve as a hedge against financial risks. The study aims to contribute the limited domestic literature by providing information intended how they relate to different economic contexts and asset classes. It also aims to provide a perspective for the development of the green bond market and fill a gap in the literature regarding commodity-based financial risk.

Keywords

• Financial Risk
• Green Bond
• TVP-VAR Based Dynamic Connectedness

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