Investigating Short-Term Dynamics in Green Bond Markets
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process. Specifically, using Hawkes processes where the intensity is described through a continuous time moving average model, we study the high-frequency dynamics of bond prices. We also introduce a bivariate extension of the model that deals with the cross-effect of upward and downward price movements. Empirical results suggest that differences emerge if we consider periods with relevant interest rate announcements, especially in the case of an issuer operating in the energy market.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Information Leakages in the Green Bond Market
Public announcement dates are used in the green bond literature to measure equity market reactions to upcoming green bond issues. We find a sizeable number of green bond announcements were pre-dated by anonymous informat…
Governmental incentives for green bonds investment
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides …
A Unifying Approach for the Pricing of Debt Securities
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) …
FormOptions on Bonds: Implied Volatilities from Affine Short-Rate Dynamics
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For specific affine short-rate models, we p…
Heterogeneous Effects of Green Finance on Urban Decarbonization: Evidence from 285 Cities in China
While green finance has become a key instrument for low-carbon city transitions, its actual decarbonization effects and transmission mechanisms remain unclear. This study employs econometric models and machine learning-b…