炭素・水・クリーンエネルギー・グリーンボンド・ESG市場間の裾依存コネクテッドネス

Unofficial AI-generated summary based on the public title and abstract. Not an official translation.

🔬研究者:分位点VARと裾依存連動性の手法を、持続可能金融市場のリスク伝播分析に応用する実証例として参考になる。

🏢実務担当者:グリーンボンドやESG株を含むポートフォリオの分散効果が、市場ストレス時に必ずしも低下しないことを踏まえたリスク管理が可能。

🏛政策担当者:炭素価格とグリーンボンド市場の連動性を監視し、移行リスクの伝播経路を考慮した政策設計の必要性を示唆。

Sustainable financial markets link carbon pricing, environmental infrastructure, low-carbon technology, fixed-income financing, and broad environmental, social, and governance investment. Whether these markets transmit shocks differently in the tails of the return distribution remains important for diversification and transition-risk management. This study examines return connectedness among European Union Allowance prices, a global water exchange-traded fund, a global clean-energy index, a U.S.-dollar green-bond exchange-traded fund, and an ESG equity index. The synchronized sample contains 1,441 daily level observations from 16 March 2020 to 31 December 2025, yielding 1,440 percentage log returns. A quantile vector autoregression is combined with generalized forecast-error variance decomposition to estimate total, directional, and net connectedness at the 0.05, 0.25, 0.50, 0.75, and 0.95 quantiles. Rolling estimates, stationary-bootstrap confidence intervals, volatility and interest-rate regimes, and forecast-horizon sensitivity provide additional inference. Full-sample total connectedness is moderate and unusually stable, ranging from 33.90% to 34.16%. Rolling evidence nevertheless reveals statistically supported upper-tail amplification: the 0.95-quantile total connectedness exceeds the median by 0.672 percentage points on average, with a 95% stationary-bootstrap interval of 0.372 to 0.961. The lower-tail difference is not statistically distinguishable from zero. The water-equity portfolio is the most persistent net transmitter, while green bonds are the principal net receiver. High-VIX windows exhibit lower rather than higher average connectedness. An exact cluster decomposition attributes this decline to weaker cross-cluster links, while connectedness within the CGW–CLEAN–SPESG equity cluster rises slightly. Extreme conditional returns and observable market stress are therefore related but distinct states. The findings support state-contingent diversification and caution against assuming that all forms of stress mechanically intensify integration among sustainable assets. A strictly timed out-of-sample extension shows that a state-contingent QVAR-adjusted minimum-variance portfolio reduces annualized volatility from 13.22% for equal weighting to 5.91% and maximum drawdown from 21.39% to 13.22%, although this protection is accompanied by lower realized returns. Connectedness therefore provides decision value primarily through risk containment rather than return enhancement in this sample.

• Research Square https://doi.org/10.20944/preprints202609.2688.v1first seen 2026-10-02 04:21:03