Determining the recipients and transmitters of asymmetric volatility spillover for green bond indices & agricultural commodity markets: Evidence from TVP-VAR method

Abstract

The primary aim of this research study is to determine recipients and transmitter of asymmetric volatility spillover for green bonds global/regional indices and agricultural commodity markets. The study uses daily data in order to study the asymmetry and volatility spillovers in agriculture commodity market and green bonds market by incorporating TVP-VAR approach. Our conclusions indicate that the highest transmission and reception of spillovers arises between sunflower oil, coconut oil, wheat, and corn respectively. This study adds to the growing body knowledge pertaining to green bonds by investigating the asymmetric spillover impact among green bonds and agricultural commodities that are progressively financialized. For policymakers the spillover volatility effect received by agricultural commodities from the green bonds market indicates mainly because of their effect on price inflation. Finally, for investors it will be beneficial to know which agricultural commodities carry higher and lower risks and this will aid them in accurately assessing financial resources allocation and investment strategy.