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The effect of green bonds on climate risk amid economic and environmental policy uncertainties

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  • Mohammed, Kamel Si
  • Serret, Vanessa
  • Urom, Christian

Abstract

This study investigates the impact of green bonds on climate risk indices, specifically considering the Economic Policy Uncertainty (EPU) and the climate summit indices. The analysis covers the time frame from November 28, 2008, to August 31, 2022, using multivariate quantile-on-quantile regression (MQQR) and quantile-on-quantile regression (QQR) approaches. The main findings indicate that green bonds have significant potential in addressing climate risk despite economic and environmental policy uncertainty. This suggests the need for an incentive framework to support the development of green bonds in the US market to facilitate progress towards achieving Sustainable Development Goal 13 concerning climate action.

Suggested Citation

  • Mohammed, Kamel Si & Serret, Vanessa & Urom, Christian, 2024. "The effect of green bonds on climate risk amid economic and environmental policy uncertainties," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001296
    DOI: 10.1016/j.frl.2024.105099
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    5. Wu, Jiawen & Li, Jing-Ping & Su, Chi-Wei, 2024. "Can green bond hedges climate policy uncertainty in the United States: New insights from novel time-varying causality and quantile-on-quantile methods?," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 1158-1176.

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    More about this item

    Keywords

    Green bonds; Climate risks; Economic policy uncertainty; Multivariate quantiles-on-quantile methods;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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