Determinants of the s&p Green Bond Index: An empirical analysis of the impact of the s&p Municipal Bond Index and the U.S. 10 - year Treasury Yield

Green bonds represent one of the most important instruments of sustainable finance and play an increasingly significant role in mobilizing capital for environmental and climate-related projects. The aim of this study is to examine the impact of the S&P Municipal Bond Index and the U.S. 10-Year Treasury Yield on the performance of the S&P Green Bond Index over the period 2016-2025. The analysis is based on data for the S&P Green Bond Index, the S&P Municipal Bond Index, and the U.S. 10-Year Treasury Yield. The methodological framework includes descriptive statistics, correlation analysis, ordinary least squares (OLS) regression, the Augmented Dickey-Fuller (ADF) unit root test, and the Engle-Granger cointegration test. The empirical results indicate a statistically significant positive relationship between the S&P Green Bond Index and the S&P Municipal Bond Index, while the U.S. 10-Year Treasury Yield has a statistically significant negative effect on green bond performance. The Engle-Granger test confirms the existence of a long-run equilibrium relationship (cointegration) among the analysed variables. The findings highlight the importance of traditional bond markets and interest rate movements in explaining the performance of the green bond market.