基地研究员任晓航副教授合作论文“Analyzing the green bond index: A novel quantile-based high-dimensional approach”在重要学术期刊International Review of Financial Analysis发表。

摘要：The development of green bond markets is important for advancing energy efficiency, supporting renewable energy, encouraging sustainable investments, and safeguarding the environment. However, the inherent complexity and uncertainty of these markets pose significant challenges for both investors and researchers. In this study, we focus on analyzing the S&P Green Bond Index, a leading benchmark for monitoring the global green bond market. We introduce a new high-dimensional statistical method, the Quantile Group Adaptive Lasso, designed to accurately predict the returns of this index. Our empirical results demonstrate that this model surpasses several established forecasting techniques in both accuracy and stability. Furthermore, our analysis of economic significance highlights the critical influence of traditional energy-related predictors from G7 and BRICS countries on the global green bond markets. We also find that monetary policies and macroeconomic factors, such as M2 money supply, CPI, and government bond yields, play vital roles. Additionally, the robustness of our proposed method is confirmed. Overall, our study provides a powerful tool that not only significantly enhances forecasting performance but also deepens the understanding of the interplay between trends in green bond markets and information from energy sectors and broader economic conditions.

关键词：Green bond；Forecasting；High-dimensional model；Sustainable investment；Energy efficiency

论文链接：https://doi.org/10.1016/j.irfa.2024.103659

教师简介

任晓航，中南大学商学院特聘副教授，Elsevier中国高被引学者，全球前2%顶尖科学家，主要从事能源金融、金融风险、金融计量等方面的研究，在Journal of the American Statistical Association、Transportation Research Part A、Energy Economics、Quantitative Finance、Review of Quantitative Finance and Accounting、International Review of Financial Analysis、Technological Forecasting and Social Change、Business Strategy and the Environment、Pacific-Basin Finance Journal、Applied Energy、Resources Policy、Renewable & Sustainable Energy Review、Energy、管理科学学报（英文版）、系统工程理论与实践、中国管理科学等国内外权威期刊上发表论文一百余篇，其中ESI热点文章/高被引论文三十余篇。担任Sustainable Communities(Taylor & Francis)领域主编，Humanities & Social Sciences Communications（Nature旗下唯一面向人文社会科学的子刊）等期刊副主编，Climate Change Economics, Economic Change and Restructuring等SSCI期刊客座主编。