Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities
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9 novembre 2020
- ISIDORE Id: 10670/1.279a14...
- hal: hal-02981422
info:eu-repo/semantics/OpenAccess
Mots-clés
Green Bond European Allowances (EUA) Spillover effects Asset Complementarity Green Bond G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q5 - Environmental Economics/Q.Q5.Q56 - Environment and Development • Environment and Trade • Sustainability • Environmental Accounts and Accounting • Environmental Equity • Population Growth -fin]Sujets proches
Bond markets Market, Bond Price policy, Industrial Retail pricing Price policy Council of Europe countriesCiter ce document
Yves Rannou et al., « Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.279a14...
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Résumé
Europe has been the first continent to create a large-scale carbon market to reduce the level of carbon emissions and to create a green bond market to finance the transition to low-carbon economies concomitantly. In this chapter, we study the respective roles of these instruments, their price trajectories, their interaction and their potential complementarities over a six-year period (2014-2019). We enrich the literature on environmental markets in several respects. First, significant short-run and long-run persistence of shocks to the conditional correlation between the European carbon and the European Green bond markets are reported. Second, we detect bi-directional shock transmission effects between those markets but no significant spillover effects. Taken together, these results suggest that a green bond issued in Europe may be used to hedge against the carbon price risk.
