The Connectedness among Green Bonds and Other Asset Classes: Evidence from Emerging Markets

Abstract

As climate change intensifies, current climate finance remains insufficient to achieve Paris Agreement goals, particularly in developing countries. Closing this gap requires greater international private capital involvement. However, uncertainties about climate finance instruments in developing markets challenge private investment. This study examines green bonds issued in emerging markets, analyzing their dependencies with debt, equity, and commodity markets using the cross-quantilogram method. Results reveal short-term positive dependencies between green bonds and equity and debt markets, indicating high cross-market contagion initially. Yet, these dependencies diverge after a week. While green bonds maintain a positive medium-term relationship with other debt instruments, their medium-term dependence on equity and commodities turns negative. This negative relationship strengthens under normal market conditions but weakens during extreme market events. These findings highlight green bonds' potential as diversification tools for equity and commodity investors in emerging markets. However, short-term contagion remains a challenge for regulators, demanding further analysis of financial stability implications.

Keywords

• Green Bonds
• Emerging Markets
• Financial Contagion
• Portfolio Diversification
• Cross-Quantilogram
• Sustainable Finance

Yeşil Tahvillerin Diğer Yatırım Araçları ile İlişkisinin İncelenmesi: Gelişmekte Olan Piyasalar Örneği

Abstract

İklim değişikliği etkileri şiddetlenirken mevcut finansman akışı, özellikle gelişmekte olan ülkelerde Paris Anlaşması hedeflerini karşılamaya yetersiz kalmaktadır. Bu açığın kapatılması için uluslararası özel sermayenin katılımı şarttır. Ancak gelişmekte olan ülkelerdeki iklim finansmanı araçlarına dair belirsizlikler, özel sermayenin katılımını zorlaştırmaktadır. Bu çalışma, gelişmekte olan piyasalarda ihraç edilen yeşil tahvillerin, diğer borçlanma araçları, pay ve emtia piyasalarıyla bağımlılığını Çapraz-Kantilogram yöntemiyle incelemektedir. Sonuçlara göre, kısa vadede yeşil tahvillerin pay ve borçlanma araçlarıyla pozitif bağımlılığı bulunmakta ve piyasa bulaşıcılığı yüksektir. Ancak bağımlılık zamanla ayrışmaktadır; yeşil tahvillerin orta vadede diğer borçlanma araçlarıyla pozitif bağımlılığı sürerken, pay ve emtia piyasalarıyla ilişkisi negatif yönde gelişmektedir. Ayrıca, olağan piyasa koşullarında bu negatif bağımlılık güçlenirken, aşırı koşullarda zayıflamaktadır. Bulgular, gelişmekte olan piyasalar yeşil tahvilin portföy çeşitlendirmesi için potansiyelini ortaya koymaktadır. Kısa vadede gözlenen bulaşıcılık finansal istikrar açısından önem taşımakta ve regülatörlerin bu konuda dikkatli olması, risk aktarım mekanizmalarının ve risk-getiri performanslarının daha ayrıntılı incelenmesi gerekmektedir.

Keywords

• Yeşil Tahviller
• Gelişmekte Olan Piyasalar
• Finansal Bulaşma
• Portföy Çeşitlendirmesi
• Çapraz Kantilogram
• Sürdürülebilir Finans

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