Volatility Spillover Dynamics among Green Bonds, Renewable Energy, Clean Energy, Carbon Markets, and Oil

This study explores volatility spillover mechanisms and time-varying dependence among green bonds, renewable energy, clean energy, carbon emission markets, and crude oil using daily data from December 2014 to January 2025. A Dynamic Conditional Multivariate Stochastic Volatility (DC-MSV) framework is employed to jointly model latent volatility dynamics and evolving cross-market correlations. The results indicate that linkages between green bonds and crude oil remain consistently weak and unstable over time, suggesting limited volatility transmission from fossil fuel markets to green bond assets. In contrast, renewable energy, clean energy, and carbon markets display stronger and more persistent interconnections, particularly during periods of elevated market uncertainty. Volatility persistence is more pronounced in energy-related markets than in green bonds, reflecting their sensitivity to policy interventions and technological changes. Overall, the findings highlight the role of green bonds as a stabilizing asset that enhances portfolio diversification under energy market volatility. The study provides relevant insights for investors, policymakers, and risk managers in the context of sustainable financial markets.