This study investigates the quantitative relationship between green corporate bonds and Bitcoin, two investment options with opposing environmental footprints. Our analysis focuses on the volatility transmission between these two time series, particularly during periods of financial stress. To achieve this, we use a large sample of daily observations and employ three distinct vector autoregressive (VAR) models: a structural VAR, a Bayesian VAR, and a Markov Switching VAR. The results of our analysis indicate a significant two-way volatility transmission between green corporate bonds and Bitcoin. This finding suggests that a change in the volatility of one asset can influence the volatility of the other. The study's chosen observation period, which includes several important economic events, provides a robust basis for this conclusion. This research contributes to the existing literature by shedding light on the dynamic interaction between these two distinct asset classes and opens new avenues for future research and investment strategies.

JEL - Classification: C5, G10, G12, Q5.