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Análisis del comovimiento entre los bonos verdes certificados, los bonos verdes autoetiquetados y los bonos convencionales (2018-2023)
Analysis of the comovement between certified green bonds, selflabelled green bonds and conventional bonds (2018-2023)
DOI:
https://doi.org/10.15446/cuad.econ.v44n95.111425Palabras clave:
bonos verdes, co-movimientos, volatilidad, mercados financieros, finanzas sostenibles (es)Green bonds, co-movements, volatility, financial markets, sustainable finance (en)
Títulos Verdes, co-movimentação, volatilidade, mercados financeiros, finanças sustentáveis (pt)
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Un análisis de índices de bonos verdes certificados, bonos verdes autoetiquetados y bonos convencionales del tesoro público norteamericano de 2018 a 2023 con 1250 observaciones diarias. Se utilizaron DCC-GARCH (por sus siglas en inglés), espectros de potencia y coherencia wavelet para estudiar su relación dinámica. Los resultados revelan correlación positiva entre bonos convencionales y verdes en estos años, aunque hubo periodos de bajo comovimiento debido al covid-19 y la situación política norteamericana. Se observó influencia significativa de bonos convencionales sobre bonos verdes certificados, especialmente en 2020 y 2022. Además, se encontró causalidad positiva de bonos verdes certificados a los autoetiquetados en todas las frecuencias y plazos.
An analysis of certified green bond indices, self-labeled green bonds, and conventional US Treasury bonds from 2018 to 2023, comprising 1250 daily observations.
DCC-GARCH, wavelet power spectra, and wavelet coherence methodologies
were employed to scrutinize their dynamic relationship. Results reveal a positive
correlation between conventional and green bonds during these years, although
there were periods of low co-movement due to the covid-19 pandemic and the US
political situation. A significant influence of conventional bonds on certified green
bonds was observed, particularly in 2020 and 2022. Furthermore, a positive causality from certified green bonds to self-labeled green bonds was found across all
frequencies and time frames.
Uma análise dos índices de títulos verdes certificados, títulos verdes autoetiquetados e títulos do Tesouro Público dos Estados Unidos de 2018 a 2023, com 1250 observações diárias, foi realizada. Utilizaram-se o modelo DCC-GARCH, espectros de potência e coerência wavelet para estudar sua relação dinâmica. Os resultados revelam uma correlação positiva entre títulos convencionais e verdes durante esses anos, embora tenha havido períodos de baixa co-movimentação devido à COVID-19 e à situação política nos Estados Unidos. Observou-se uma influência significativa dos títulos convencionais sobre os títulos verdes certificados, especialmente em 2020 e 2022. Além disso, foi encontrada uma causalidade positiva dos títulos verdes certificados para os autoetiquetados em todas as frequências e prazos.
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