Artykuł w Journal of International Financial Markets Institutions and Money
Paweł Kliber wraz ze współautorami, Ewą Dziwok z Uniwersytetu Ekonomicznego w Katowicach oraz Niklasem Wagnerem z Passau University, opublikował artykuł zatytułowany Green versus conventional bonds during market stress: Threats to
financial stability? w czasopiśmie Elsevier Journal of International Financial Markets Institutions & Money (IF = 6.9)
Abstract:
The transition to a low-carbon economy has elevated green bonds as essential for mobilizing private capital towards sustainable investments. However, their role within financial markets, especially during periods of stress, remains open. We examine the connectedness between green and conventional bonds across three latent factors of the yield curve. We thereby use a pairedbond approach that matches green and conventional securities from the same issuers with top ratings. By combining the dynamic Nelson-Siegel yield curve model with a time-varying parameter vector autoregression framework, we analyze how green bonds interact under both regular and stress conditions. Our results show that green bonds issued by supranational and other public institutions tend to appear as net transmitters during periods of geopolitical or energy-related uncertainty. While green finance remains central to funding, our results indicate that green bonds participate more intensely than conventional bonds in the transmission of stress within fixed-income markets.