Öz
The difficulties experienced recently due to global warming and climate change in the world have caused investors to be interested in financial innovations that support sustainable development. One of these innovations is green bonds, which are seen as a promising financial product to overcome environmental challenges. Green bonds deal with adaptation to climate change and other environmental issues such as depletion of natural resources, loss of biodiversity, air, water, and soil. The study is carried out to reveal the causal relationship between the green bond market and the Country’s bond interest rates. The daily closing values between February 29, 2012 and March 4, 2022 constitute the data set. The Toda-Yamamoto test was used to determine the causality relationship. It has been determined that there is a one-way causality relationship from Germany’s 10-year government bond interest to S&P Green bond index. No causal relationship is found between the bonds of other countries and the green bond index. It has been concluded that there is a one-way causality relationship between many analyzed countries. In addition, a bidirectional causality relationship is found between the US and Japan, Germany and South Korea, Spain and the Netherlands and France 10-year government bond rates. For investors who are interested in this field, it will help them find some points that should be considered during portfolio creation by examining the results.
Anahtar Kelimeler
Kaynakça
- Antoniuk, Y. ve Leirvik, T. (2021). Climate Transition Risk and the Impact on Green Bonds. Journal of Risk and Financial Management, 14: 597, 1-19.
- Broadstock, D. C. ve Cheng, L. T. W. (2019). Time-varying Relation Between Black and Green Bond Price Benchmarks: Macroeconomic Determinants for the First Decade. Finance Research Letters, 29, 17-22.
- Gao, Y., Li, Y. ve Wang, Y. (2021). Risk Spillover and Network Connectedness Analysis of China’s Green Bond and Financial Markets: Evidence from Financial Events of 2015–2020. North American Journal of Economics and Finance, 57, 1-25.
- Gazel, S. (2017). BİST Sınai Endeksi İle Çeşitli Metaller Arasındaki İlişki: Toda-Yamamoto Nedensellik Testi. The Journal of Academic Social Science, 5(52), 287-299.
- Gianfrate, G. ve Peri, M. (2019). The Green Advantage: Exploring the Convenience of Issuing Green Bonds. Journal of Cleaner Production, 219,127-135.
- Hachenberg, B. ve Schiereck, D. (2018). Are Green Bonds Priced Differently from Conventional Bonds?. Journal of Asset Management, 19, 371–383. Kaya, M. (2021). Seçili Kripto Para Birimleri Arasındaki Eşbütünleşme ve Nedensellik İlişkisinin Analizi, Ekonomi Bilimleri Dergisi, 13 (2): 138-160.
- Kocabıyık, T., Aksoy, E. ve Teker, T. (2020). Makroekonomik Değişkenlerin Park Mavera III Gayrimenkul Sertifikası Fiyatı Üzerine Etkisinin Toda-Yamamoto Analizi İle Keşfi. AVRASYA Uluslararası Araştırmalar Dergisi, 8(21), 347-365.
- Le, TN-L., Abakah, E. J. A. ve Tiwari, A. K. (2020). Time and Frequency Domain Connectedness and Spill-over Among Fintech, Green Bonds and Cryptocurrencies in The Age of the Fourth Industrial Revolution. Technological Forecasting and Social Change, 162, 1-16.
- Liu, N., Liu, C., Da, B., Zhang, T. ve Guan, F. (2021). Dependence and Risk Spillovers Between Green Bonds and Clean Energy Markets. Journal of Cleaner Production, 279, 1-12.
- Naeem, M. A., Adekoya, O. B. ve Oliyide, J. A. (2021). Asymmetric Spillovers Between Green Bonds and Commodities. Journal of Cleaner Production, 314, 1-10.
- Nanayakkara, M. ve Colombage, S. (2019). Do Investors in Green Bond Market Pay a Premium? Global Evidence. Applied Economics, 51(40), 4425-4437.
- Nguyen, T. T. H., Naeem, M. A., Balli, F., Ozer Balli, H. ve Vo, X. V. (2021). Time-frequency Comovement Among Green Bonds, Stocks, Commodities, Clean Energy, and Conventional Bonds. Finance Research Letters, 40, 1-9.
- Pham, L. (2016). Is it Risky to Go Green? A Volatility Analysis of the Green Bond Market. Journal Of Sustainable Finance & Investment, 6(4), 263-291.
- Pham, L. Ve Nguyen, C. P. (2021). Asymmetric Tail Dependence Between Green Bonds and other Asset Classes. Global Finance Journal, 50, 1-19.
- Reboredo, J. C. (2018). Green Bond and Financial Markets: Co-movement, Diversification and Price Spillover Effects. Energy Economics, 74, 38-50.
- Reboredo, J. C. ve Ugolini, A. (2020). Price Connectedness Between Green Bond and Financial Markets. Economic Modelling, 88, 25–38.
- Sustainable Banking Network (SBN), (2018). Creating Green Bond Markets – Insights, Innovations, and Tools from Emerging Markets. 1-49.
- Tang, D. Y. ve Zhang, Y. (2020). Do Shareholders Benefit from Green Bonds?. Journal of Corporate Finance, 61, 1-18.
- Toda, H. Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics 66, 225-250.
- Zerbib, O. D. (2019). The Effect of Pro-environmental Preferences on Bond Prices: Evidence from Green Bonds. Journal of Banking and Finance, 98, 39–60.
Öz
Son dönemde dünyada küresel ısınma ve iklim değişikliğine bağlı yaşanan zorluklar, yatırımcıların sürdürülebilir kalkınmayı destekleyen finansal yeniliklere ilgi duymasına neden olmuştur. Bu yeniliklerden biri, yaşanan çevresel zorlukların üstesinden gelebilmek için umut vadeden bir finansal ürün olarak görülen yeşil tahvillerdir. Yeşil tahviller, iklim değişikliklerine karşı uyum sağlanması ile doğal kaynakların tükenmesi, biyolojik çeşitlilik kaybı ve hava, su, toprak gibi diğer çevresel konularla ilgilenmektedir. Çalışma, yeşil tahvil piyasası ile ülke tahvil faizleri arasındaki nedensellik ilişkisini ortaya koymak amacıyla yapılmıştır. 29 Şubat 2012 ile 4 Mart 2022 tarihleri arasındaki günlük kapanış değerleri veri setini oluşturmaktadır. Nedensellik ilişkisini tespit edebilmek için Toda-Yamamoto testi kullanılmıştır. Almanya 10 yıllık devlet tahvili faizinden S&P Yeşil tahvil endeksine doğru tek yönlü nedensellik ilişkisinin olduğu belirlenmiştir. Diğer ülke tahvilleri ile yeşil tahvil endeksi arasında herhangi bir nedensellik ilişkisine rastlanmamıştır. Analiz edilen birçok ülke arasında tek yönlü nedensellik ilişkisinin olduğu sonucuna ulaşılmıştır. Ayrıca ABD ile Japonya, Almanya ile Güney Kore, İspanya ve Hollanda ile Fransa 10 yıllık devlet tahvili faizleri arasında çift yönlü nedensellik ilişkisi bulunmuştur. Bu alana ilgi duyan yatırımcılar için portföy oluşturma aşamasında dikkat edilmesi gereken bazı noktaları, çıkan sonuçları irdeleyerek bulabilmelerine yardımcı olabilecektir.
Anahtar Kelimeler
Kaynakça
- Antoniuk, Y. ve Leirvik, T. (2021). Climate Transition Risk and the Impact on Green Bonds. Journal of Risk and Financial Management, 14: 597, 1-19.
- Broadstock, D. C. ve Cheng, L. T. W. (2019). Time-varying Relation Between Black and Green Bond Price Benchmarks: Macroeconomic Determinants for the First Decade. Finance Research Letters, 29, 17-22.
- Gao, Y., Li, Y. ve Wang, Y. (2021). Risk Spillover and Network Connectedness Analysis of China’s Green Bond and Financial Markets: Evidence from Financial Events of 2015–2020. North American Journal of Economics and Finance, 57, 1-25.
- Gazel, S. (2017). BİST Sınai Endeksi İle Çeşitli Metaller Arasındaki İlişki: Toda-Yamamoto Nedensellik Testi. The Journal of Academic Social Science, 5(52), 287-299.
- Gianfrate, G. ve Peri, M. (2019). The Green Advantage: Exploring the Convenience of Issuing Green Bonds. Journal of Cleaner Production, 219,127-135.
- Hachenberg, B. ve Schiereck, D. (2018). Are Green Bonds Priced Differently from Conventional Bonds?. Journal of Asset Management, 19, 371–383. Kaya, M. (2021). Seçili Kripto Para Birimleri Arasındaki Eşbütünleşme ve Nedensellik İlişkisinin Analizi, Ekonomi Bilimleri Dergisi, 13 (2): 138-160.
- Kocabıyık, T., Aksoy, E. ve Teker, T. (2020). Makroekonomik Değişkenlerin Park Mavera III Gayrimenkul Sertifikası Fiyatı Üzerine Etkisinin Toda-Yamamoto Analizi İle Keşfi. AVRASYA Uluslararası Araştırmalar Dergisi, 8(21), 347-365.
- Le, TN-L., Abakah, E. J. A. ve Tiwari, A. K. (2020). Time and Frequency Domain Connectedness and Spill-over Among Fintech, Green Bonds and Cryptocurrencies in The Age of the Fourth Industrial Revolution. Technological Forecasting and Social Change, 162, 1-16.
- Liu, N., Liu, C., Da, B., Zhang, T. ve Guan, F. (2021). Dependence and Risk Spillovers Between Green Bonds and Clean Energy Markets. Journal of Cleaner Production, 279, 1-12.
- Naeem, M. A., Adekoya, O. B. ve Oliyide, J. A. (2021). Asymmetric Spillovers Between Green Bonds and Commodities. Journal of Cleaner Production, 314, 1-10.
- Nanayakkara, M. ve Colombage, S. (2019). Do Investors in Green Bond Market Pay a Premium? Global Evidence. Applied Economics, 51(40), 4425-4437.
- Nguyen, T. T. H., Naeem, M. A., Balli, F., Ozer Balli, H. ve Vo, X. V. (2021). Time-frequency Comovement Among Green Bonds, Stocks, Commodities, Clean Energy, and Conventional Bonds. Finance Research Letters, 40, 1-9.
- Pham, L. (2016). Is it Risky to Go Green? A Volatility Analysis of the Green Bond Market. Journal Of Sustainable Finance & Investment, 6(4), 263-291.
- Pham, L. Ve Nguyen, C. P. (2021). Asymmetric Tail Dependence Between Green Bonds and other Asset Classes. Global Finance Journal, 50, 1-19.
- Reboredo, J. C. (2018). Green Bond and Financial Markets: Co-movement, Diversification and Price Spillover Effects. Energy Economics, 74, 38-50.
- Reboredo, J. C. ve Ugolini, A. (2020). Price Connectedness Between Green Bond and Financial Markets. Economic Modelling, 88, 25–38.
- Sustainable Banking Network (SBN), (2018). Creating Green Bond Markets – Insights, Innovations, and Tools from Emerging Markets. 1-49.
- Tang, D. Y. ve Zhang, Y. (2020). Do Shareholders Benefit from Green Bonds?. Journal of Corporate Finance, 61, 1-18.
- Toda, H. Y. ve Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics 66, 225-250.
- Zerbib, O. D. (2019). The Effect of Pro-environmental Preferences on Bond Prices: Evidence from Green Bonds. Journal of Banking and Finance, 98, 39–60.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Finansal Ekonomi |
| Bölüm | Araştırma Makalesi |
| Yazarlar | |
| Erken Görünüm Tarihi | 29 Aralık 2023 |
| Yayımlanma Tarihi | 29 Aralık 2023 |
| Yayımlandığı Sayı | Yıl 2023 Cilt: 25 Sayı: 45 |
EBSCO SOBİAD ProQuest Türk Eğitim İndeksi