POSSIBLE EFFECTS OF UNCERTAINTY FACTORS ON GREEN BOND RETURNS

Year 2025, Issue: 68, 131 - 146, 12.05.2025

Erol Köycü

https://doi.org/10.30794/pausbed.1611428

Abstract

This study aims to determine the short and long-run relationship between green bond returns and uncertainty factors. For this purpose, study uses S&P Green Bond Index as green bond indicator and Economic Policy Uncertainty Index and Climate Policy Uncertainty Index as uncertainty factors. In addition, VIX and CDS variables, which are thought to affect the green bond market, are used as control variables in the study. In this context, the period range of the study is determined as 09/2014 - 09/2024 and the study is conducted on the S&P Green Bond Index. As a result of the study using the ARDL bounds test approach, it is found that all of the explanatory and control variables are statistically significant in the long run. The results show that the green bond market is sensitive to uncertainty and risk factors.

Keywords

Green Bonds, Uncertainty Factors, ARDL Bounds Test

BELİRSİZLİK FAKTÖRLERİNİN YEŞİL TAHVİL GETİRİLERİNE OLASI ETKİLERİ

Abstract

Bu çalışmada yeşil tahvil getirisi ile belirsizlik faktörleri arasındaki kısa ve uzun dönemli ilişkinin tespit edilmesi amaçlanmaktadır. Bu amaç doğrultusunda çalışmada yeşil tahvil göstergesi olarak S&P Yeşil Tahvil Endeksi baz alınırken, belirsizlik faktörleri olarak Ekonomi Politikası Belirsizlik Endeksi ve İklim Politikası Belirsizlik Endeksi baz alınmıştır. Bununla birlikte yeşil tahvil piyasasını etkilediği düşünülen VIX ve CDS değişkenleri ise çalışmada kontrol değişkenlerini olarak kullanılmıştır. Bu kapsamda çalışmanın dönem aralığı 09/2014 – 09/2024 olarak belirlenmiş ve çalışma S&P Yeşil Tahvil Endeksi özelinde gerçekleştirilmiştir. ARDL sınır testi yaklaşımının kullanıldığı çalışma sonucunda açıklayıcı ve kontrol değişkenlerinin tamamının uzun dönemde istatistiki olarak anlamlı sonuçlar verdiği tespit edilmiştir. Elde edilen sonuçlar, yeşil tahvil piyasasının belirsizlik ve risk faktörlerine karşı duyarlı olduğunu göstermektedir.

Keywords

Yeşil Tahvil, Belirsizlik Faktörleri, ARDL Sınır Testi

Ethical Statement

Çalışma, etik kurul izni gerektirmeyen çalışmalar arasında yer almaktadır.

Supporting Institution

Çalışmayı destekleyen bir kurum bulunmamaktadır.

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