GREEN BONDS AND GLOBAL DEBT DYNAMICS WITHIN A SUSTAINABLE DEBT POLICY FRAMEWORK: A QUANTILE VAR CONNECTEDNESS ANALYSIS

Öz

This study empirically investigates the return dynamics and systemic connectedness of green bonds with conventional bonds, ESG, and clean energy assets from a sustainable borrowing policy perspective. Using daily data from 2010–2025 and employing the QVAR connectedness methodology, the study examines the positioning of green bonds in financial markets under bear, bull, and normal market regimes. Contrary to the prevailing consensus in the literature, the findings demonstrate that the greenium advantage is not a static structural feature but a state-dependent phenomenon that varies with market conditions. The analysis results reveal that under normal market conditions, green bonds exhibit a significant decoupling ability from conventional assets, thereby fortifying the public debt stock against systemic shocks. Conversely, green bonds transition from a net transmitter to a net receiver during bullish periods and from a net receiver to a net transmitter during periods of financial stress. These findings suggest that green bonds are not merely instruments serving environmental objectives but are strategic financial tools that optimize the risk profile of debt stocks and mitigate the risk of debt socialization, the transfer of private-sector risks to the public balance sheet. The study concludes that, especially for emerging economies, green bonds serve as a fiscal shield, enhancing fiscal resilience and preserving debt sustainability, and are a rational portfolio choice for modern public finance management.

Anahtar Kelimeler

• Green Bonds
• Sustainable Debt Policy
• Greenium
• QVAR
• Systemic Connectedness
• Tail Risk.

GREEN BONDS AND GLOBAL DEBT DYNAMICS WITHIN A SUSTAINABLE DEBT POLICY FRAMEWORK: A QUANTILE VAR CONNECTEDNESS ANALYSIS

Öz

Bu çalışma, sürdürülebilir borçlanma politikası perspektifiyle; yeşil tahvillerin geleneksel tahviller, ESG (Çevresel, Sosyal ve Yönetişim) ve temiz enerji varlıkları ile olan getiri dinamiklerini ve sistemsel bağlantılılığını ampirik olarak incelemektedir. 2010–2025 dönemine ait günlük verilerin kullanıldığı ve Kantil VAR (QVAR) bağlantılılık metodolojisinin uygulandığı çalışmada; yeşil tahvillerin ayı, boğa ve normal piyasa rejimleri altındaki finansal konumlanışı analiz edilmektedir. Literatürdeki hakim görüşün aksine bulgular, 'yeşil prim' (greenium) avantajının statik ve yapısal bir özellik olmadığını, aksine piyasa koşullarına göre değişen, duruma bağlı (state-dependent) bir fenomen olduğunu ortaya koymaktadır. Analiz sonuçları; normal piyasa koşullarında yeşil tahvillerin geleneksel varlıklardan önemli ölçüde ayrışma (decoupling) kabiliyeti gösterdiğini ve bu sayede kamu borç stokunu sistemsel şoklara karşı güçlendirdiğini göstermektedir. Buna karşılık, yeşil tahviller boğa piyasalarında 'net yayıcı' konumundan 'net alıcı' konumuna, finansal stres dönemlerinde ise 'net alıcı' konumundan 'net yayıcı' konumuna geçmektedir. Bu bulgular, yeşil tahvillerin yalnızca çevresel hedeflere hizmet eden araçlar olmadığını; aynı zamanda borç stoklarının risk profilini optimize eden ve özel sektör risklerinin kamu bilançosuna transferi anlamına gelen borcun kamusallaşması riskini azaltan stratejik finansal araçlar olduğunu göstermektedir. Çalışma; özellikle yükselen ekonomiler için yeşil tahvillerin mali bir kalkan görevi görerek mali dayanıklılığı artırdığı, borç sürdürülebilirliğini koruduğu ve modern kamu maliyesi yönetimi için rasyonel bir portföy tercihi olduğu sonucuna varmaktadır

Anahtar Kelimeler

• Yeşil Bonolar
• Sürdürülebilir Borçlanma Politikası
• Yeşil Pirim
• QVAR
• Sistemik Bağlantısallık
• Kuyruk Riski

Kaynakça

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