The key to balancing economic transformation and improving quality development is financial supporting green development. The relationship between financial technology (fintech) and green development has gradually emerged recently. Based on the data of 35 major cities in China from 2015 to 2019, the fintech development index and green total factor productivity (GTFP) are obtained by adopting web crawler technology and Bootstrap-SBM-GML model respectively; further, the impact of urban fintech level on GTFP is also revealed by taking the financial support policy index (FSP) as the instrumental variable. The empirical research shows the following results. First, the level of fintech and financial support policy indicators show a steady upward trend in the study period; whereas the tendency of GTFP is not obvious. Second, the urban fintech level has a significant promoting effect on GTFP through FE, MM-QR and 2SLS models. Specifically, the promoting effect mainly comes from the promotion of technological change (TC) of the GTFP decomposition index; the promoting effect will be greater in the lower cities of green development level. Third, industrial structure upgrading (UIS) and technological innovation (TI) play an intermediary role in the green development effect of fintech. Four, the green development effect of fintech is heterogeneous. Specifically, the green development effect of fintech on GTFP is larger in the central and western regions and low-level cities; whereas it is smaller in the eastern part regions and high-level cities.
{"title":"The impact and mechanism of fintech on green total factor productivity","authors":"Yanyan Yao, Dandan Hu, Cunyi Yang, Yong Tan","doi":"10.3934/GF.2021011","DOIUrl":"https://doi.org/10.3934/GF.2021011","url":null,"abstract":"The key to balancing economic transformation and improving quality development is financial supporting green development. The relationship between financial technology (fintech) and green development has gradually emerged recently. Based on the data of 35 major cities in China from 2015 to 2019, the fintech development index and green total factor productivity (GTFP) are obtained by adopting web crawler technology and Bootstrap-SBM-GML model respectively; further, the impact of urban fintech level on GTFP is also revealed by taking the financial support policy index (FSP) as the instrumental variable. The empirical research shows the following results. First, the level of fintech and financial support policy indicators show a steady upward trend in the study period; whereas the tendency of GTFP is not obvious. Second, the urban fintech level has a significant promoting effect on GTFP through FE, MM-QR and 2SLS models. Specifically, the promoting effect mainly comes from the promotion of technological change (TC) of the GTFP decomposition index; the promoting effect will be greater in the lower cities of green development level. Third, industrial structure upgrading (UIS) and technological innovation (TI) play an intermediary role in the green development effect of fintech. Four, the green development effect of fintech is heterogeneous. Specifically, the green development effect of fintech on GTFP is larger in the central and western regions and low-level cities; whereas it is smaller in the eastern part regions and high-level cities.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45380122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Finance has an important influence on technological innovation (TI). There are several stages of, as well as various financial constraints on, TI. In this article, we divide TI into four stages: the development, growth, maturity, and decline stages. Concurrently, we classify TI funding sources into five types: enterprise funds, government funds, venture capital funds, loans from financial institutions, and capital market funds. Based on the analysis of the stages and financing constraints of TI, this paper constructs a state-space model to study the effects of various funding sources on TI in Hebei Province, China, from 2005 to 2018. The results show a long-term equilibrium relationship between finance and TI, whereby different financial methods have different effects on each stage of TI. Enterprise funds play a primary role in the development, growth, and maturity stages. Government funds play a prominent role in the development and growth stages. Capital market funds and loans from financial institutions only play a role in the maturity period. The role of capital market funds was positive, while that of loans from financial institutions was negative. The effect of venture capital was not noticeable at any stage. Finally, we give our conclusions and put forward some countermeasures and suggestions to promote TI in Hebei Province.
{"title":"Research on the impact of finance on promoting technological innovation based on the state-space model","authors":"Mengxin Wang, R. Gu, M. Wang, Junru Zhang","doi":"10.3934/GF.2021007","DOIUrl":"https://doi.org/10.3934/GF.2021007","url":null,"abstract":"Finance has an important influence on technological innovation (TI). There are several stages of, as well as various financial constraints on, TI. In this article, we divide TI into four stages: the development, growth, maturity, and decline stages. Concurrently, we classify TI funding sources into five types: enterprise funds, government funds, venture capital funds, loans from financial institutions, and capital market funds. Based on the analysis of the stages and financing constraints of TI, this paper constructs a state-space model to study the effects of various funding sources on TI in Hebei Province, China, from 2005 to 2018. The results show a long-term equilibrium relationship between finance and TI, whereby different financial methods have different effects on each stage of TI. Enterprise funds play a primary role in the development, growth, and maturity stages. Government funds play a prominent role in the development and growth stages. Capital market funds and loans from financial institutions only play a role in the maturity period. The role of capital market funds was positive, while that of loans from financial institutions was negative. The effect of venture capital was not noticeable at any stage. Finally, we give our conclusions and put forward some countermeasures and suggestions to promote TI in Hebei Province.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251708","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The solutions to mankind's greatest problems today lie in the simultaneous development, adoption and deployment of a combination of technological, socio-political, cultural and financial initiatives and mechanisms. The present work serves as a brief compilation of concepts and information pertaining to the broad domain of green finance, particularly for a readership with non-financial background. Green finance indicates the deployment of private and public capital towards projects that not only prevent environmental degradation and related impacts such as climate change and air pollution but also generate a host of social benefits and adequate financial returns for the investors. Thus, green finance embodies several cross-cutting concepts. The various global events leading to the development of the current state of green finance, the typical forms and instruments involved, the regulatory framework and issuance process for these instruments and the various international agencies and organizations developing and making use of green finance schemes for identified beneficiary projects are briefly described in this work. Financial disclosures and the role of regulators and investors in strengthening green finance schemes are discussed, along with a summary of the current thought leadership and current academic research in this domain. The challenges in green finance are also enumerated and a few perspectives for the future are presented.
{"title":"Green finance for energy transition, climate action and sustainable development: overview of concepts, applications, implementation and challenges","authors":"Rupsha Bhattacharyya","doi":"10.3934/gf.2022001","DOIUrl":"https://doi.org/10.3934/gf.2022001","url":null,"abstract":"The solutions to mankind's greatest problems today lie in the simultaneous development, adoption and deployment of a combination of technological, socio-political, cultural and financial initiatives and mechanisms. The present work serves as a brief compilation of concepts and information pertaining to the broad domain of green finance, particularly for a readership with non-financial background. Green finance indicates the deployment of private and public capital towards projects that not only prevent environmental degradation and related impacts such as climate change and air pollution but also generate a host of social benefits and adequate financial returns for the investors. Thus, green finance embodies several cross-cutting concepts. The various global events leading to the development of the current state of green finance, the typical forms and instruments involved, the regulatory framework and issuance process for these instruments and the various international agencies and organizations developing and making use of green finance schemes for identified beneficiary projects are briefly described in this work. Financial disclosures and the role of regulators and investors in strengthening green finance schemes are discussed, along with a summary of the current thought leadership and current academic research in this domain. The challenges in green finance are also enumerated and a few perspectives for the future are presented.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The global practice of Cost-Benefit Analysis (CBA), to analyse the welfare impacts of public investments, has undergone profound changes in recent years. The reforms in general practice have primarily been driven by the discussions of the implications of climate change and environmental degradation. Central to the discussion has been the social discount rate, used to value future costs and benefits in the present, and also the dual discount rates for "environmental goods", as goods that are of no, or of risky substitution. Official rates, in many nations, are calculated using the "Ramsey" formula. The literature has explored the relevant factors in this formula, but with less attention paid to the selection of the rate of future growth in consumption, or to the setting of dual discount rates in national practice guidance. Through considering the case of Ireland, this study demonstrates that the selection of growth rates in consumption, in the context of future uncertainty, requires the use of plausible scenarios, rather than historical trends or forecasts. By employing economic scenarios, alongside established values for the other factors, the main discount rate for Ireland is calculated in a range of 1.7 to 2.8 per cent. Seperately, a dual discount rate, for capital that cannot be replaced, is estimated at ≤1.3 per cent. The main discount rate is validated by comparison against discount rates found in the literature, applied in other comparable nations, and by the rate estimated from the real yield on government bonds. All four independent lines of evidence support the range estimated. This demonstrates that the Irish government's estimated discount rate, of 4.0 per cent, is not credible, and needs reduction, alongside introduction of dual discounting.
{"title":"Cost-benefit analysis in a climate of change: setting social discount rates in the case of Ireland","authors":"Tadhg O’Mahony","doi":"10.3934/GF.2021010","DOIUrl":"https://doi.org/10.3934/GF.2021010","url":null,"abstract":"The global practice of Cost-Benefit Analysis (CBA), to analyse the welfare impacts of public investments, has undergone profound changes in recent years. The reforms in general practice have primarily been driven by the discussions of the implications of climate change and environmental degradation. Central to the discussion has been the social discount rate, used to value future costs and benefits in the present, and also the dual discount rates for \"environmental goods\", as goods that are of no, or of risky substitution. Official rates, in many nations, are calculated using the \"Ramsey\" formula. The literature has explored the relevant factors in this formula, but with less attention paid to the selection of the rate of future growth in consumption, or to the setting of dual discount rates in national practice guidance. Through considering the case of Ireland, this study demonstrates that the selection of growth rates in consumption, in the context of future uncertainty, requires the use of plausible scenarios, rather than historical trends or forecasts. By employing economic scenarios, alongside established values for the other factors, the main discount rate for Ireland is calculated in a range of 1.7 to 2.8 per cent. Seperately, a dual discount rate, for capital that cannot be replaced, is estimated at ≤1.3 per cent. The main discount rate is validated by comparison against discount rates found in the literature, applied in other comparable nations, and by the rate estimated from the real yield on government bonds. All four independent lines of evidence support the range estimated. This demonstrates that the Irish government's estimated discount rate, of 4.0 per cent, is not credible, and needs reduction, alongside introduction of dual discounting.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Growing inventory is the set of commodities whose level enhances during the stocking period. This kind of product is normally seen in the poultry industry and livestock farming. In this model, the live newborn is considered to be the initial inventory of the retailer. These are procured and fed until they grow to an ideal weight during the breeding period. Afterward, these are slaughtered and converted to deteriorating items prone to the customer's demand during the consumption period. The poultry industry is responsible for greenhouse gas emissions during feeding, farming, slaughtering, and handling. Consequently, the retailers are enforced to make efforts to reduce the emission which also affects the inventory demeanor. Therefore, the effect of the carbon emissions from the poultry industry has been investigated here. Generally, customers prefer food over the preserved items so shortages are permitted which has been assumed here with partial backlogging. The study has been carried out to investigate the optimum breeding period and optimum livestock inventory. A numerical example and illustrations validate the analytical results. Lastly, a sensitivity analysis has been provided concerning some key parameters.
{"title":"Growing items inventory model for carbon emission under the permissible delay in payment with partially backlogging","authors":"Karuna Rana, Shivoham Singh, N. Saxena, S. Sana","doi":"10.3934/GF.2021009","DOIUrl":"https://doi.org/10.3934/GF.2021009","url":null,"abstract":"Growing inventory is the set of commodities whose level enhances during the stocking period. This kind of product is normally seen in the poultry industry and livestock farming. In this model, the live newborn is considered to be the initial inventory of the retailer. These are procured and fed until they grow to an ideal weight during the breeding period. Afterward, these are slaughtered and converted to deteriorating items prone to the customer's demand during the consumption period. The poultry industry is responsible for greenhouse gas emissions during feeding, farming, slaughtering, and handling. Consequently, the retailers are enforced to make efforts to reduce the emission which also affects the inventory demeanor. Therefore, the effect of the carbon emissions from the poultry industry has been investigated here. Generally, customers prefer food over the preserved items so shortages are permitted which has been assumed here with partial backlogging. The study has been carried out to investigate the optimum breeding period and optimum livestock inventory. A numerical example and illustrations validate the analytical results. Lastly, a sensitivity analysis has been provided concerning some key parameters.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Sustainable development measurement is an important exploration field in socio-economic statistics, which has been attached great importance by society for 30 years. In 2010, the Commission on the Measurement of Economic Performance and Social Progress (CMEPSP), headed by J.E. Stiglitz, A. Sen and J.P. Fitoussi, published a report entitled "Mis-measuring Our Lives: Why GDP Doesn't Add Up" ("SSF Report" for short). It systematically reviews and summarizes methods of economic measurement, of which classical GDP issues, well-being measurement and sustainable development measurement constitute the three main contents. Society is advancing and we cannot follow the existing measurement methods without carefully re-examination. This paper analyzes several measurement dilemmas hidden in GDP statistics, explores the feasibility and necessity of the well-being measurement, queries the sustainability of sustainable development measurement.
{"title":"Comments on the \"SSF Report\" from the perspective of economic statistics","authors":"Dong Qiu, Dongju Li","doi":"10.3934/gf.2021020","DOIUrl":"https://doi.org/10.3934/gf.2021020","url":null,"abstract":"Sustainable development measurement is an important exploration field in socio-economic statistics, which has been attached great importance by society for 30 years. In 2010, the Commission on the Measurement of Economic Performance and Social Progress (CMEPSP), headed by J.E. Stiglitz, A. Sen and J.P. Fitoussi, published a report entitled \"Mis-measuring Our Lives: Why GDP Doesn't Add Up\" (\"SSF Report\" for short). It systematically reviews and summarizes methods of economic measurement, of which classical GDP issues, well-being measurement and sustainable development measurement constitute the three main contents. Society is advancing and we cannot follow the existing measurement methods without carefully re-examination. This paper analyzes several measurement dilemmas hidden in GDP statistics, explores the feasibility and necessity of the well-being measurement, queries the sustainability of sustainable development measurement.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70252067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines if clean energy stocks help investors in managing carbon risk. We use the price of the European Union Allowance (EUA) and European clean energy index (ERIX) for the three phases of the EU-Emission Trading Scheme. Analyzing the time-varying correlation and volatility of EUA stock and ERIX through generalized orthogonal GO-GARCH model, the empirical results reveal relative independence of the European renewable energy market from the carbon market providing diversification benefits and value addition by including carbon assets in clean energy stock portfolio. Furthermore, three portfolios with different weight allocation strategies reveal that the carbon asset provides risk and downside risk benefits when mixed with a clean energy stock portfolio. These results are useful for investors who enter the market for value maximization and the regulators striving to make strategies for managing carbon risk.
{"title":"Does carbon asset add value to clean energy market? Evidence from EU","authors":"Memoona Kanwal, Hashim Khan","doi":"10.3934/gf.2021023","DOIUrl":"https://doi.org/10.3934/gf.2021023","url":null,"abstract":"This paper examines if clean energy stocks help investors in managing carbon risk. We use the price of the European Union Allowance (EUA) and European clean energy index (ERIX) for the three phases of the EU-Emission Trading Scheme. Analyzing the time-varying correlation and volatility of EUA stock and ERIX through generalized orthogonal GO-GARCH model, the empirical results reveal relative independence of the European renewable energy market from the carbon market providing diversification benefits and value addition by including carbon assets in clean energy stock portfolio. Furthermore, three portfolios with different weight allocation strategies reveal that the carbon asset provides risk and downside risk benefits when mixed with a clean energy stock portfolio. These results are useful for investors who enter the market for value maximization and the regulators striving to make strategies for managing carbon risk.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the past two decades, research on the relationship between corporate social performance (CSP) and corporate financial performance (CFP) has seen considerable growth; however, evidence from Turkey remains scarce, and the results are not uniform. To address this lack, this study investigates the impact of CSP on CFP from the perspective of stakeholder theory. Following the investigation of 47 publicly listed companies from the BIST Corporate Governance Index (XKURY) in the period 2014–2018. The results demonstrate that CSP positively affects CFP in both the short and long term. This study addresses the lack of Turkish experience, and the results indicate that CSP is an intangible resource in corporate strategy that can improve the competitive power of Turkish enterprises. Furthermore, the study emphasizes the positive role of CSP in short-term and long-term CFP in the Turkish context from the stakeholder perspective. The results have implications for Turkish policymakers regarding the rational use of corporate social responsibility (CSR) to promote economic development and insights for Turkish enterprises in terms of gaining stakeholders' trust and improving investors' valuation through the strategic use of CSR to achieve long-term, sustainable development of enterprise competitiveness and finance.
{"title":"Does corporate social performance lead to better financial performance? Evidence from Turkey","authors":"H. Kurt, Xuhui Peng","doi":"10.3934/gf.2021021","DOIUrl":"https://doi.org/10.3934/gf.2021021","url":null,"abstract":"In the past two decades, research on the relationship between corporate social performance (CSP) and corporate financial performance (CFP) has seen considerable growth; however, evidence from Turkey remains scarce, and the results are not uniform. To address this lack, this study investigates the impact of CSP on CFP from the perspective of stakeholder theory. Following the investigation of 47 publicly listed companies from the BIST Corporate Governance Index (XKURY) in the period 2014–2018. The results demonstrate that CSP positively affects CFP in both the short and long term. This study addresses the lack of Turkish experience, and the results indicate that CSP is an intangible resource in corporate strategy that can improve the competitive power of Turkish enterprises. Furthermore, the study emphasizes the positive role of CSP in short-term and long-term CFP in the Turkish context from the stakeholder perspective. The results have implications for Turkish policymakers regarding the rational use of corporate social responsibility (CSR) to promote economic development and insights for Turkish enterprises in terms of gaining stakeholders' trust and improving investors' valuation through the strategic use of CSR to achieve long-term, sustainable development of enterprise competitiveness and finance.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70252078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
V. Navickas, Rima Kontautienė, Jurgita Stravinskienė, Y. Bilan
The purpose of the paper is to analyse the development of the concept of corporate social responsibility (CSR) between two the most drastic crisis periods that have shaken the world society, i.e., the Great Depression and the COVID-19 pandemic. The concept of CSR has expanded from its perception as philanthropic actions to the systematic corporate activities and intensive interaction with stakeholders based on social, economic, and environmental interests aimed at long-term sustainable economic development and public welfare. With the rapid spread of the COVID-19 around the world, the companies have faced the challenge of moving to a new environment. Our findings suggest that CSR activities are implemented by the companies around the world as a response to the COVID-19, regardless of the country’s level of development. The companies with many years of CSR experience act responsibly towards their communities and society. The concept of CSR is still evolving, but the main goal remains the same at any stage of development—to contribute to public safety and well-being. The results show that the companies, analysed in the paper, contribute to the implementation of CSR goals through socially responsible activities even in the crisis period.
{"title":"Paradigm shift in the concept of corporate social responsibility: COVID-19","authors":"V. Navickas, Rima Kontautienė, Jurgita Stravinskienė, Y. Bilan","doi":"10.3934/GF.2021008","DOIUrl":"https://doi.org/10.3934/GF.2021008","url":null,"abstract":"The purpose of the paper is to analyse the development of the concept of corporate social responsibility (CSR) between two the most drastic crisis periods that have shaken the world society, i.e., the Great Depression and the COVID-19 pandemic. The concept of CSR has expanded from its perception as philanthropic actions to the systematic corporate activities and intensive interaction with stakeholders based on social, economic, and environmental interests aimed at long-term sustainable economic development and public welfare. With the rapid spread of the COVID-19 around the world, the companies have faced the challenge of moving to a new environment. Our findings suggest that CSR activities are implemented by the companies around the world as a response to the COVID-19, regardless of the country’s level of development. The companies with many years of CSR experience act responsibly towards their communities and society. The concept of CSR is still evolving, but the main goal remains the same at any stage of development—to contribute to public safety and well-being. The results show that the companies, analysed in the paper, contribute to the implementation of CSR goals through socially responsible activities even in the crisis period.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251745","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Green bonds have gained a significant share in the bond market. However, dynamic risk and its spillover to other conventional bond investments plays an important role in its understanding. In this paper, we analyze the volatility and correlation dynamics between conventional bond and green bond assets under both loose and stringent eligibility green-labeled criteria. We build dynamic conditional correlation (DCC) model specifications using alternative distributional assumptions. We also assess risk dynamics expressed by Value-at-Risk (VaR) and its corresponding loss function. We illustrate risk assessment in within and out-of-sample periods using conventional and green bond returns. The results show that there is significant spillover between conventional and green bond assets, triggering significant hedging strategies. However, these spillover effects are subjected to the type of green-labeled criteria. Finally, a risk assessment using VaR forecasting and its corresponding loss function estimation also demonstrates significant differentiation between green and conventional bonds.
{"title":"Assessing green bond risk: an empirical investigation","authors":"A. Tsoukala, G. Tsiotas","doi":"10.3934/gf.2021012","DOIUrl":"https://doi.org/10.3934/gf.2021012","url":null,"abstract":"Green bonds have gained a significant share in the bond market. However, dynamic risk and its spillover to other conventional bond investments plays an important role in its understanding. In this paper, we analyze the volatility and correlation dynamics between conventional bond and green bond assets under both loose and stringent eligibility green-labeled criteria. We build dynamic conditional correlation (DCC) model specifications using alternative distributional assumptions. We also assess risk dynamics expressed by Value-at-Risk (VaR) and its corresponding loss function. We illustrate risk assessment in within and out-of-sample periods using conventional and green bond returns. The results show that there is significant spillover between conventional and green bond assets, triggering significant hedging strategies. However, these spillover effects are subjected to the type of green-labeled criteria. Finally, a risk assessment using VaR forecasting and its corresponding loss function estimation also demonstrates significant differentiation between green and conventional bonds.","PeriodicalId":41466,"journal":{"name":"Green Finance","volume":null,"pages":null},"PeriodicalIF":8.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70251833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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