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Dynamic impact of the US yield curve on green bonds: Navigating through recent crises
North American Journal of Economics and Finance. 2024. Vol. 74. Article 102223.
We examine the effect of the US yield curve on the global green bond markets at the forefront of the climate change fight. For this purpose, we compute three components (level, slope, and curvature) of the US yield curve based on daily data of the treasury yields with several maturities from January 2009 to June 2022 and employ country-level S&P green bond indices. Our dynamic network analysis shows that the level component of the yield curve is more influential in transmitting return and volatility shocks to green bonds, while curvature is primarily absorptive. The European, the US, and Hong Kong green bonds are the leading players in shock propagation. Both return- and volatility spillovers are time-varying and remain high during periods of systemically important events, especially COVID-19 and the Russia-Ukraine war, supporting the Global Financial Cycle Hypothesis. The war also changes the net behaviors (transmitter versus receiver) of the components and the indices. Investors and issuers of green bonds are advised to keenly observe the shape of the US yield curve and systemic events for better decision-making regarding investment horizons and contagion risk management.
Publication based on the results of:
Кумар В., MSW Management 2026 Vol. 36 No. 1s P. 1746–1753
This study explores how profitability, export efficiency, and cost functionality correlated with the financial sustainability index (FSI) for Indian manufacturing companies and the development of the early warning system. The study was conducted on 50 Indian manufacturing companies those participate in the export business, whose data has been collected for the nine quarters from 2023 ...
Added: May 19, 2026
Tekic A., Nguen C. M., Business Horizons 2026 Article In Press, Journal Pre-proof
Fast-moving consumer goods (FMCG) firms face intense pressure to internationalize, yet the traditional playbook—lengthy R&D cycles, costly market research, and standardized campaigns—often struggles to deliver local relevance at speed. This article argues that crowdsourcing—digitally mediated, large-scale consumer participation—can complement established internationalization tools by mobilizing local knowledge and community endorsement to mitigate key aspects of the ...
Added: May 19, 2026
Ulanov V. L., Springer, 2026.
This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, ...
Added: May 19, 2026
Semerikova E. V., Салов А. И., The Journal of the New Economic Association 2026 Vol. 1 No. 70 P. 221–237
In this paper, we assess the extent of agglomeration externalities that
mirror on labour productivity gains while accounting for the direct and indirect effects
of transportation exposure. To this end we combine data on the local average wage and
employment with comprehensive information on the public transportation and road networks
of the Saint Petersburg Metropolitan Area, one of the ...
Added: May 19, 2026
Voytenkov V., Emerging Markets Review 2026 No. 101482 P. 1–37
This paper examines the effects of the 2008, 2014, and 2020 crises on household consumption patterns in Russian regions. The micro-level analysis is conducted using quarterly data from Rosstat's Household Budget Survey. Dependent variables are expenditure on food at home, out-of-home, alcohol, non-food items, services. Explanatory variables are household characteristics and dummy variables that capture ...
Added: May 18, 2026
Lodiagin B., Nazarova V., Rincon C. J., URBAN, PLANNING AND TRANSPORT RESEARCH 2026 Vol. 14 No. 1
This study applies an established social cost–benefit analysis (CBA), combined with sequential shock scenarios (COVID-19 and the post-2022 sanctions) and Monte Carlo sensitivity analysis, to evaluate the welfare robustness and recovery dynamics of the Pulkovo Airport PPP renovation project (St. Petersburg, Russia). Using traffic, operations, and cargo forecasts through 2040, we compare a pre-shock baseline ...
Added: May 17, 2026
Brodetskiy G., Gerami V., Shidlovskii I. et al., Транспорт: наука, техника, управление 2026 № 3 С. 3–8
В статье предложен специальный метод модификации процедур многокритериальной оптимизации. Он позволяет расширить набор критериев выбора, чтобы учитывать предпочтения лица, принимающего решения (ЛПР) как раз в моделях транспортного обеспечения работы цепей поставок. Реализуется изменение наклона направляющей для линий уровня критерия выбора в пространстве значений частных критериев (с нацеливанием выбора на утопическую точку). Разработаны и представлены требуемые ...
Added: May 17, 2026
Федоров Н. С., Финансовый журнал 2025 Т. 17 № 6 С. 99–112
The DCF model is one of the most commonly used models in valuing companies for investment deci sions. Nevertheless, estimating the accuracy of this model remains an important research question. This article presents an assessment of the accuracy of DCF model specifications based on analyzing the variance of fair share prices of companies listed on ...
Added: May 15, 2026
Федоров Н. С., Финансы и бизнес 2025 Т. 21 № 3 С. 34–50
Currently, the role of artificial intelligence is increasingly playing a significant role in various fields, including the increasing role of machine learning in finance. On the other hand, company valuation remains an important part of research due to its difficulty in correctly predicting the accuracy of target stock prices. This study provides an analysis of ...
Added: May 15, 2026
Hanif W., El Khoury R., Gubareva M. et al., International Review of Economics and Finance 2025 No. 103 Article 104416
This study investigates spillovers among the US, Europe, and Asia green economies, carbon allowances and oil price shocks in 2010–2023. We segregate oil shocks in demand-, supply-, and risk-driven price movements. The TVP-VAR methodology is applied to model the dynamic interrelationships among the markets. Our static connectedness outcomes highlight a substantial role of the US and European ...
Added: July 15, 2025
Umar Z., Hadad E., Phiri A. et al., Quarterly Review of Economics and Finance 2025 Vol. 101 Article 101977
This paper studies the return and volatility spillover among the seven largest technology companies (including Apple, Microsoft, Amazon, Alphabet (Google), Meta Platforms (formerly Facebook), Tesla, and Nvidia) referred to as Magnificent seven. We employ a quantile connected approach to study spillover and connectedness under different market conditions. We observe a high degree of interconnectedness in ...
Added: March 14, 2025
Huang S., Bossman A., Gubareva M. et al., Energy Economics 2024 Vol. 131 Article 107382
We explore the influence of oil price and geopolitical risk (GPR) on the international transmission of shocks within African forex markets. To gauge the dynamics of shock transmission, we employ the TVP-VAR connectedness model using daily data spanning over the period 2000–2023. We show that shock transmission between oil-exporting and oil-importing countries heterogeneously depends on ...
Added: February 18, 2024
Umar Z., Riaz Y., Shahab Y. et al., Pacific-Basin Finance Journal 2023 Vol. 80 Article 102056
This paper explores the connectedness between the returns and volatilities of the conventional and Islamic bond markets. We use the level, slope, and curvature of the US yield curve and estimate the connectedness of these factors with the Dow Jones Islamic indices (of 3 to 10 years of maturity) as well as the minimum connectedness portfolio. The ...
Added: June 22, 2023
Bossman A., Umar Z., Agyei S. K. et al., Finance Research Letters 2023 Vol. 53 Article 103636
We study the impact of the components of the US yield curve on sub-Saharan African (SSA) equities. In a time-varying parameter vector auto-regressions connectedness model, we find that the short- and long-term maturities of the US yield curve significantly drive the connectedness between SSA equities whilst serving as the main sources of contagious spillovers in ...
Added: January 17, 2023
Lapshin V. A., Sofia Sokhatskaya, / NRU Higher School of Economics. Series FE "Financial Economics". 2018. No. WP BRP 73/FE/2018.
Estimates of the term structure of interest rates depend heavily on the quality of the market data from which it is constructed. Estimated rates can be incorrect because of observation errors and omissions in the data. The usual way to deal with the heteroscedasticity of observation errors is by introducing weights in the fitting procedure. ...
Added: December 15, 2018
V. Alevskii, V.Chetverikov, Applied Economics 2016 Vol. 48 No. 25 P. 2333–2340
ABSTRACT This paper presents a method for constructing the term structure of interest rate spreads for two currencies in the context of a country’s entry into a monetary union. We propose a special type of process that ensures the convergence of the short-term interest rate spread to zero by a fixed moment in time, which ...
Added: July 2, 2017
Konstantin ASATUROV, Tamara TEPLOVA, HARTWELL C., Journal of Applied Economic Sciences 2015 Vol. X No. 6(36) P. 929–945
What is the relationship between the two largest emerging financial markets of Eastern Europe, Russia and Poland, and how do they impact the region’s stock markets? The purpose of this paper is to examine the role of these two countries in regional volatility by examining their effect on two separate phenomena: financial volatility, defined here ...
Added: November 30, 2015
Ван Ц., Управление экономическими системами: электронный научный журнал 2013 № 2(50)
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the exist research from 1997 to 2010. Based on the data from China Central Depository & Clearing (CCDC), article gives the computer simulation result of the Hermite interpolation ...
Added: April 24, 2013
Коныгин С. С., Наука и бизнес: пути развития 2012 № 10 С. 146–150
Статья посвящена определению факторов, влияющих на доходность суверенных облигаций различных государств в мире. В статье рассматриваются определения типов рисков, влияющих доходность государственных бумаг. На основе макроэкономической ситуации в мире сравниваются риски рынка суверенных ценных бумаг Америки, Европы, России. ...
Added: December 24, 2012
Ван Ц., Управление экономическими системами: электронный научный журнал 2012 Т. (44) УЭкС, 8/2012 № 0421200034/ номер статьи
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the China’s bond market and its mechanism. Based on the data from China Central Depository & Clearing (CCDC), article gives the result of the computer simulation. ...
Added: November 30, 2012