Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond

We examine the impacts of the COVID-19 pandemic and global risk factors on the upside and downside price spillovers of MSCI global, building, financial, industrial, and utility green bonds (GBs). Using copulas, CoVaR, and quantile regression approaches, we show symmetric tail dependence between MSCI...

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Detalles Bibliográficos
Autores principales: Mensi, Walid, Rehman, Mobeen Ur, Vo, Xuan Vinh
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8972978/
https://www.ncbi.nlm.nih.gov/pubmed/36531212
http://dx.doi.org/10.1016/j.irfa.2022.102125

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8972978/
https://www.ncbi.nlm.nih.gov/pubmed/36531212
http://dx.doi.org/10.1016/j.irfa.2022.102125

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