Dynamic Dependence Between Green Bonds and Precious Metals: Insights from Multiscale Analysis by Haseen Ahmed :: SSRN

This study investigates the dynamic interlinkages between green bonds and three major precious metals—Gold, Silver, and Copper—over the period from April 2013 to April 2025. Employing a hybrid methodological framework that combines the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) model and wavelet coherence analysis, the study examines the co-movement patterns between these financial instruments across different time scales. The empirical results indicate significant short-term correlations between green bonds and both gold and copper, with the strength of these relationships diminishing over longer horizons. In contrast, the association between green bonds and silver remains relatively weak and less consistent across time frequencies. These findings provide important implications for investors, portfolio managers, and policymakers seeking to understand the diversification and hedging potential of green bonds within the broader commodity investment landscape.