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<p>I test for Granger non-causality between green and conventional (plain vanilla) bond yields/prices in the secondary market for each domestic sovereign green bond outstanding in September 2023. Results dominantly show no causality, which–in light of the co-movement of the related time series–suggests the non-stable motives of the green investors. To complement the causality analysis, I also examine possible cointegrating relationships. These results show that long-term links are mostly highly unstable, which also indicates investor ‘flexibility’ rather than a stable green commitment. I argue that the presented non-structural approach offers a practical screening tool to support further case-by-case structural analyses or financial engineering <i>per se</i>.</p>

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Investigating the nexus between sovereign green and vanilla bonds in the secondary market

  • 期刊论文

  • 发表日期：

    2025年6月14日

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  • László Bokor

摘要

I test for Granger non-causality between green and conventional (plain vanilla) bond yields/prices in the secondary market for each domestic sovereign green bond outstanding in September 2023. Results dominantly show no causality, which–in light of the co-movement of the related time series–suggests the non-stable motives of the green investors. To complement the causality analysis, I also examine possible cointegrating relationships. These results show that long-term links are mostly highly unstable, which also indicates investor ‘flexibility’ rather than a stable green commitment. I argue that the presented non-structural approach offers a practical screening tool to support further case-by-case structural analyses or financial engineering per se.