“Diversifier, Hedge, or Safe Haven? An Empirical Investigation of the Co-Movement between Green Bonds and Other Financial Instruments.”

Abstract

This thesis presents a comprehensive analysis of the diversification benefits offered by green bonds through an examination of their co-movement with other financial instruments. The study covers a sample period spanning from February 5, 2016, to March 10, 2023. By employing a Markov-switching VAR model with time-varying transition probabilities, we eectively capture the regime-specific correlations between the green bond index and various financial indices. Our findings robustly challenge the p