We analyse linkages between sustainable bond markets and a number of key financial markets in Europe, namely corporate bond, sovereign bond, renewable energy, equity and volatility markets. We apply a novel empirical approach using zero-volatility spreads (z-spreads) as a measure of relative bond performance to adjust for the sensitivity of bond prices to changes in interest rates. We model these linkages using a Markov-switching vector autoregressive model and static and dynamic copulas that enable us to test for contagion with conditional value-at-risk measures. We find evidence of bi-directional contagion between the sustainability-linked bond and green bond markets along with contagion between other fixed-income markets and the sustainable bond market. Our results indicate possible diversification benefits that green bonds or sustainability-linked bonds may provide to investors active in the key markets analysed.

中文翻译：

---

可持续债券、可再生能源和其他金融市场之间的相互作用：宏观审慎视角


我们分析了可持续债券市场与欧洲一些主要金融市场之间的联系，即公司债券、主权债券、可再生能源、股票和波动性市场。我们采用一种新的实证方法，使用零波动性利差 （z-spreads） 作为衡量相对债券表现的指标，以调整债券价格对利率变化的敏感性。我们使用马尔可夫转换向量自回归模型以及静态和动态 copulas 对这些联系进行建模，这使我们能够使用条件风险值度量来测试传染。我们发现有证据表明，可持续发展挂钩债券和绿色债券市场之间存在双向传染，其他固定收益市场与可持续债券市场之间也存在传染。我们的结果表明，绿色债券或可持续发展挂钩债券可能为活跃在所分析的关键市场的投资者提供多元化利益。