报告题目 | Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China | ||
报告人（单位） | 周鹏Dr. Peng Zhou （Cardiff University, UK） | ||
点评人（单位） | 刘晓星教授 （东南大学） | 点评人（单位） | 尹威副教授 （东南大学） |
时间地点 | 2021年9月1日星期三晚8：00，腾讯会议ID：194 285 235 | ||
报告内容摘要 | |||
The COVID pandemic reveals the fragility of the global financial market during rare disasters. Conventional safe-haven assets like gold can be used to hedge against ordinary risks, but tail dependence can substantially reduce the hedging effectiveness. In contrast, green bonds focus on long-term, sustainable investments, so they become an important hedging tool against climate risks, financial risks, as well as rare disasters like COVID. The copula approach based on the TGARCH model is applied to estimate the joint distributions between green bonds and selected financial assets in both US and China. The quantile-based approach is also performed to offer a robustness check on tail dependence. The results show that all assets in the two countries have thick tails and tail dependence with time-varying features. The hedging effectiveness does decline during the COVID pandemic, but it is the hedging effectiveness against tail risks rather than against normal risks. It is argued that green bonds play a significant role in hedging against rare disasters especially in forex markets. It is also found that green bonds in the US and China converge in many aspects, suggesting a smaller cross-country difference than cross-asset difference. | |||
报告人简介 | |||
周鹏博士，现为英国卡迪夫大学商学院副教授，在宏观经济学、经济学史和金融学等研究领域发表了近20篇高水平论文。周鹏博士本科毕业于北京大学哲学系，在校期间辅修经济学，获得CCER经济学学士学位；后赴英留学，以优异成绩获得英国约克大学经济学金融学硕士，在英国卡迪夫大学全额奖学金的支持下攻读经济学博士，于2012年获得经济学博士学位。周鹏博士当前主要从事的研究话题包括经济增长、新兴经济体发展和应用微观经济学等，近五年发表了7篇SSCI和2篇ESCI发表，并参与多项英国政府科研项目。
| |||
