Exploring the Connectedness Between Green Bonds and Financial Markets and Its Drivers During Recent Crises: New Evidence From a TVP‐VAR Extended Joint Connectedness Approach and Wavelet Coherence Analysis

ABSTRACT This paper applies the TVP‐VAR extended joint connectedness model to investigate the time‐varying connectedness between green bonds, conventional bonds, stocks, clean energy, and commodities from January 2018 to April 2024, which includes the COVID‐19 pandemic, the Russia–Ukraine conflict, and the Israel–Palestine war. Empirical results show that the dynamic connectedness between green bonds and financial markets is time‐varying and intensifies significantly during the pandemic. Moreover, the volatility stock index VIX emerges as the primary driver of this connectedness. Additionally, green bonds are resilient to market turmoil and can serve as a hedging tool for many markets, especially agricultural and energy commodities.