Green Bonds and Global Debt Dynamics Within a Sustainable Debt Policy Framework: A Quantile Var Connectedness Analysis

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Key Points

This study aims to empirically examine the yield dynamics and connectedness of green bonds within a sustainable debt policy framework.
Used daily data from 2010–2025
Applied Quantile VAR (QVAR) methodology
Analyzed financial positioning of green bonds across various market regimes (bear, bull, normal)
Green bonds significantly decouple from traditional assets under normal market conditions, strengthening public debt against shocks.
In bull markets, green bonds shift from net spreader to net buyer; during financial stress periods, they change from net buyer to net spreader.
Findings indicate that green bonds serve as strategic financial instruments optimizing risk profiles of debt stocks.

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Quantile VAR analysis reveals green bonds enhance financial resilience in emerging economies, optimizing debt sustainability.

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Gözde Eş Polat (2026) studied this question.

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