On the microstructure of green bonds

  • Authors: Mercuri, L., Perchiazzo, A., and Rroji, E.
  • Status: in progress
  • Presented for the first time at the Energy Finance Italia (Speaker: Rroji).

Abstract: The purpose of this study is to better understand the differences between carbon and green bond markets from the lens of the trading activity. Our research exploits the idea that positive and negative jumps in the price dynamics have a specific memory nature that can be modelled through a self-exciting process. Following the idea in [1] we investigate the microscopic structures and properties of high-frequency series of green and carbon bonds issued from European banks using Hawkes type processes. In particular, we use the model proposed in [2] for the intensity of a counting process where the kernel is a CARMA(p,q) model. The empirical results suggest that the label "green" has a relevant influence on the microstructure of bonds.

[1] Nyström, K., & Zhang, C., (2022). "Hawkes-based models for high frequency financial data". Journal of the Operational Research Society, 2168-2185.

[2] Mercuri, L., Perchiazzo, A., & Rroji, E. (2022). "A Hawkes model with CARMA(p,q) intensity". arXiv: 2208.02659v3