Open AccessNexus between green bonds, financial and environmental indicators
Author(s) -
Ngo Thai Hung
Publication year - 2021
Publication title -
economics and business letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.197
H-Index - 4
ISSN - 2254-4380
DOI - 10.17811/ebl.10.3.2021.191-199
Subject(s) - bond , granger causality , social connectedness , transfer entropy , economics , causality (physics) , nexus (standard) , stock (firearms) , monetary economics , econometrics , financial economics , finance , computer science , artificial intelligence , mechanical engineering , psychology , principle of maximum entropy , physics , quantum mechanics , engineering , psychotherapist , embedded system
This study uses a novel perspective to examine the causal connectedness between green bonds and other conventional assets, including clean energy, price of CO2 emission allowances, Bitcoin, and the S&P 500 stock market covering from January 2013 to March 2019. We apply the Multilayer Perceptron Neural Network Non-linear Granger causality and Transfer Entropy to detect possible changes in the causal direction between green bonds and other considered variables. We find a bidirectional relationship between green bonds, S&P 500, and Bitcoin markets, while green bonds have a unidirectional connection with the price of CO2 emission allowances.