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Journals / Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Cilt: 17 Sayı: 33

THE EXTENDED JOINT CONNECTEDNESS TVP-VAR APPROACH FOR EXAMINING POLICY, FINANCIAL, AND ENERGY UNCERTAINTIES ON GREEN BONDS

POLİTİKA, FİNANSAL VE ENERJİ BELİRSİZLİKLERİNİN YEŞİL TAHVİLLER ÜZERİNDEKİ ETKİSİNİ İNCELEMEYE YÖNELİK GENİŞLETİLMİŞ ORTAK BAĞLANTILILIK TVP-VAR YAKLAŞIMI

Çiğdem Kurt Cihangir(İZMİR BAKIRÇAY ÜNİVERSİTESİ)0000-0003-1761-1038
Özge Dinç Cavlak(ANKARA HACI BAYRAM VELİ ÜNİVERSİTESİ)0000-0002-7728-983X
Pages
104–128
Publication Date
2026-06-28
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Empirical findings reveal a moderate level of connectedness between green bond markets and the three uncertainty channels, with financial market volatility being the most dominant transmission mechanism.

📌 3 Key Takeaways

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Objective & Hypothesis:This study explores the time-varying and directional connectedness of the United States and China green bond markets in response to multidimensional uncertainty.
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Key Findings & Data:The empirical analysis applies a TVP-VAR based extended joint connectedness scheme to trace evolving spillovers over the 2014 to 2024 period.
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Conclusion & Impact:Empirical findings reveal a moderate level of connectedness between green bond markets and the three uncertainty channels, with financial market volatility being the most dominant transmission mechanism.
🔬Design:Araştırma Makalesi
📍Scope:2014 Verileri
⚙️Variables:Yeşil tahvil piyasaları · ortak bağlantılılık · TVP-VAR

Abstract

This study explores the time-varying and directional connectedness of the United States and China green bond markets in response to multidimensional uncertainty. By jointly examining two leading green bond markets, the analysis offers a comparative perspective on how spillovers evolve across different institutional and market settings. Uncertainty measures are organized into three mechanism-based channels, policy related uncertainty (EPU, GPR, CPU), financial market uncertainty (VIX, MOVE), and energy market uncertainty (OVX), to facilitate interpretation and comparative inference. The empirical analysis applies a TVP-VAR based extended joint connectedness scheme to trace evolving spillovers over the 2014 to 2024 period. Empirical findings reveal a moderate level of connectedness between green bond markets and the three uncertainty channels, with financial market volatility being the most dominant transmission mechanism. Political uncertainty demonstrates more variable and time-contingent effects, while energy market-based uncertainty exhibits context-sensitive and alternating impacts. Beyond documenting average connectedness, the results indicate that the net transmitter and net receiver roles of markets and uncertainty channels change across subperiods, underscoring the importance of accounting for evolving regimes when assessing spillovers. Overall, this study strengthens dynamic connectivity findings with a channel-focused mechanism perspective and provides comparative insights into how leading green bond markets react to evolving uncertainty dynamics.

Özet

Bu çalışma, ABD ve Çin yeşil tahvil piyasalarının çok boyutlu belirsizliğe yanıt olarak zamanla değişen ve yönlü bağlantılılığını incelemektedir. Önde gelen iki yeşil tahvil piyasasının eşanlı analizi, yayılma etkilerinin farklı kurumsal ve piyasa yapılarında nasıl bir gelişim gösterdiğine dair karşılaştırmalı bir perspektif sunmaktadır. Belirsizlik ölçütleri; yorumlamayı ve karşılaştırmalı çıkarımları kolaylaştırmak amacıyla mekanizma temelli üç kanal altında sınıflandırılmıştır: politika kaynaklı belirsizlik (EPU, GPR, CPU), finansal piyasa belirsizliği (VIX, MOVE) ve enerji piyasası belirsizliği (OVX). Ampirik analizde, 2014-2024 dönemi boyunca dinamik yayılma etkilerini analiz etmek amacıyla TVP-VAR tabanlı genişletilmiş ortak bağlantılılık çerçevesi uygulanmıştır. Ampirik bulgular, yeşil tahvil piyasaları ile üç belirsizlik kanalı arasında orta düzeyde bir bağlantılılık olduğunu ortaya koymakta; finansal piyasa oynaklığı en baskın iletim mekanizması olarak bulunmaktadır. Politik belirsizlik daha değişken ve zamana bağlı etkiler gösterirken, enerji piyasası temelli belirsizlik, bağlama duyarlı ve alternatif etkiler sergilemektedir. Ortalama bağlantılılık bulgularının ötesinde sonuçlar, piyasaların ve belirsizlik kanallarının net verici ve net alıcı rollerinin alt dönemler itibarıyla değiştiğini teyit ederek, yayılma etkilerinin değerlendirilmesinde rejim değişikliklerinin dikkate alınmasının önemini vurgulamaktadır. Genel olarak bu çalışma, dinamik bağlantılılık bulgularını kanal odaklı bir mekanizma perspektifiyle güçlendirmekte ve öncü yeşil tahvil piyasalarının gelişen belirsizlik dinamiklerine nasıl tepki verdiklerine dair karşılaştırmalı içgörüler sunmaktadır.

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Cite This Article

Cihangir, Ç. K., Cavlak, Ö. D. (2026). THE EXTENDED JOINT CONNECTEDNESS TVP-VAR APPROACH FOR EXAMINING POLICY, FINANCIAL, AND ENERGY UNCERTAINTIES ON GREEN BONDS. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 17 Sayı: 33, 104–128. https://doi.org/10.36543/kauiibfd.2026.006

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