Dynamic Relationship Among Green Bonds and Commodities in Response to Geopolitics and Pandemic Policies

DOI

10.2991/978-2-38476-406-8_10How to use a DOI?

Keywords

Green Bonds; Dynamic Connection; Spillover; Commodities; Geopolitics

Abstract

This study aims to examine the connection among green bonds and global commodity markets, with particular attention on the occurrence of price spillover and return spillover during the Covid-19 pandemic and the Russia-Ukraine conflict situations. The study uses daily data from January 1, 2018 to December 31, 2022 from the global green bond index and commodities index, To analyze the connection between the green bond market and the commodities market and the price spillover and return spillover among these markets, the Time Varying Parameter Vector Autoregression (TVP-VAR) model is used. The results of the study show that there is a connection between green bond prices and commodity prices, especially during the Covid 19 Pandemic and the conflict between Russia and Ukraine. Both events triggered significant fluctuations in financial markets due to the increase in the price of several commodities. Agricultural and energy commodities become the largest price transmitter spillover to green bond prices and other commodities in the observation, while oil and green bonds become the largest price receiver spillover from other commodities in the financial market. Energy and oil commodities become the dominant return transmission spillover to green bond returns and commodity returns. On the other hand, gold and green bond commodities are the dominant return receiver spillovers from other commodity markets. This research provides a practical contribution for investors to make green bonds as an investment instrument. For policy makers, this research is the basis for issuing rules related to green bond development.

Copyright

© 2025 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Tita Nurvita
AU  - Noer Azam Achsani
AU  - Lukytawati Anggraeni
AU  - Tanti Novianti
PY  - 2025
DA  - 2025/05/22
TI  - Dynamic Relationship Among Green Bonds and Commodities in Response to Geopolitics and Pandemic Policies
BT  - Proceedings of the International Conference on Multidisciplinary Studies (ICoMSi 2024)
PB  - Atlantis Press
SP  - 112
EP  - 131
SN  - 2352-5398
UR  - https://doi.org/10.2991/978-2-38476-406-8_10
DO  - 10.2991/978-2-38476-406-8_10
ID  - Nurvita2025
ER  -