{"title":"经济和政治不确定性对绿色债券波动性的异质性影响:来自 MRS-GARCH-MIDAS-Skewed T 模型的证据","authors":"","doi":"10.1016/j.irfa.2024.103461","DOIUrl":null,"url":null,"abstract":"<div><p>Green bonds attract increasing attention as a new eco-friendly investment product. We explore the heterogeneous impact of low-frequency economic and political uncertainty across high or low uncertainty states on green bond volatility in order to accurately analyze the green bond market risk. To this end, we propose a new Markov regime switching GARCH-MIDAS-Skewed T model, in which the regime switching behavior occurs on the low-frequency long-term volatility. An effective filtering estimation method is put forth by introducing the likelihood of the low-frequency sub-sample set. The evidence supports that there are significant time-varying and state-dependent impacts from uncertainty shocks on the volatility of green bonds, including monetary policy, inflation, and crude oil prices as well as global economic policy and political environment. In addition, we find the counter-cyclical behavior of green bond volatility, which increases in the period of economic recession or financial turbulence with expanding uncertainty. Improving the hedging ability of green bonds against uncertainty risks effectively contributes to low-carbon economic development.</p></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model\",\"authors\":\"\",\"doi\":\"10.1016/j.irfa.2024.103461\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Green bonds attract increasing attention as a new eco-friendly investment product. We explore the heterogeneous impact of low-frequency economic and political uncertainty across high or low uncertainty states on green bond volatility in order to accurately analyze the green bond market risk. To this end, we propose a new Markov regime switching GARCH-MIDAS-Skewed T model, in which the regime switching behavior occurs on the low-frequency long-term volatility. An effective filtering estimation method is put forth by introducing the likelihood of the low-frequency sub-sample set. The evidence supports that there are significant time-varying and state-dependent impacts from uncertainty shocks on the volatility of green bonds, including monetary policy, inflation, and crude oil prices as well as global economic policy and political environment. In addition, we find the counter-cyclical behavior of green bond volatility, which increases in the period of economic recession or financial turbulence with expanding uncertainty. Improving the hedging ability of green bonds against uncertainty risks effectively contributes to low-carbon economic development.</p></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-07-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924003934\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924003934","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
摘要
绿色债券作为一种新型的环保投资产品日益受到关注。为了准确分析绿色债券市场风险,我们探讨了高低不确定性状态下低频经济和政治不确定性对绿色债券波动性的异质性影响。为此,我们提出了一种新的马尔可夫制度转换 GARCH-MIDAS-Skewed T 模型,其中制度转换行为发生在低频长期波动率上。通过引入低频子样本集的可能性,提出了一种有效的过滤估计方法。结果表明,不确定性冲击对绿色债券的波动性有显著的时变性和状态依赖性影响,包括货币政策、通货膨胀、原油价格以及全球经济政策和政治环境。此外,我们还发现绿色债券的波动性具有反周期行为,在经济衰退或金融动荡时期,绿色债券的波动性会随着不确定性的扩大而增加。提高绿色债券对冲不确定性风险的能力可有效促进低碳经济发展。
Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model
Green bonds attract increasing attention as a new eco-friendly investment product. We explore the heterogeneous impact of low-frequency economic and political uncertainty across high or low uncertainty states on green bond volatility in order to accurately analyze the green bond market risk. To this end, we propose a new Markov regime switching GARCH-MIDAS-Skewed T model, in which the regime switching behavior occurs on the low-frequency long-term volatility. An effective filtering estimation method is put forth by introducing the likelihood of the low-frequency sub-sample set. The evidence supports that there are significant time-varying and state-dependent impacts from uncertainty shocks on the volatility of green bonds, including monetary policy, inflation, and crude oil prices as well as global economic policy and political environment. In addition, we find the counter-cyclical behavior of green bond volatility, which increases in the period of economic recession or financial turbulence with expanding uncertainty. Improving the hedging ability of green bonds against uncertainty risks effectively contributes to low-carbon economic development.
期刊介绍:
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.