Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness

Abstract

This study explores the role of green bonds in mitigating risks during extreme conditions, considering China and the US’ robust green bond markets and global risk events. It analyzes the interconnectedness of green bonds with other sectors like conventional bonds, equities, crude oil, and monetary policy. Using the quantile connectedness approach, it reveals how stabilized green bond markets in both countries act as hedges during extreme situations. By examining time-varying spillover effects, it identifies commonalities and differences in linkages between green bond markets and other sectors. These findings endorse green bonds’ integration into finance and hold implications for enhancing portfolio management and risk models.