Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/278067 
Authors: 
Year of Publication: 
2023
Series/Report no.: 
QBS Research Paper No. 2023/05
Publisher: 
Queen's University Belfast, Queen's Business School, Belfast
Abstract: 
This paper analyses linkages between green, conventional (corporate and sovereign) bond markets and geopolitical risk in high and low volatility periods between 2014 and 2022 using a Markov-switching VAR (MS-VAR) framework. The results indicate that geopolitical risk significantly affects green bonds in periods of high volatility, but does not do so to conventional bond markets. Green bond markets are significantly affected by sovereign and corporate bonds in both regimes, with stronger effects from corporate bonds evident in high volatility periods. This suggests that green bonds behave differently to conventional bonds and may be more susceptible to geopolitical risk and contagion.
Subjects: 
Green bonds
Geopolitical Risk
Markov Switching
JEL: 
G10
G11
C34
Document Type: 
Working Paper

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