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Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices

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  • Tian, Hao
  • Long, Shaobo
  • Li, Zixuan

Abstract

Employing the nonlinear ARDL model, this paper examines the asymmetric effects of Climate Policy Uncertainty (CPU), Infectious Disease Equity Market Volatility (IDEMV), the CBOE Crude Oil Volatility Index (OVX), and Geopolitical Risks (GPR) on green bond prices in the US, Europe, and China. The results show that the green bond markets in the US, Europe and China exhibit heterogeneities facing uncertainties. In the short-run, only China's green bond market is asymmetrically affected by uncertainties. In the long-run, the asymmetric effect exhibited by European green bond market is more extensive and shares similar characteristics to that of the US.

Suggested Citation

  • Tian, Hao & Long, Shaobo & Li, Zixuan, 2022. "Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices," Finance Research Letters, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002501
    DOI: 10.1016/j.frl.2022.103008
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    More about this item

    Keywords

    Green Bond; Climate Policy Uncertainty; Infectious Disease Uncertainty; Crude Oil Volatility; Geopolitical Risks;
    All these keywords.

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development

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