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

Hao Tian, Shaobo Long and Zixuan Li

Finance Research Letters, 2022, vol. 48, issue C

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.

Keywords: Green Bond; Climate Policy Uncertainty; Infectious Disease Uncertainty; Crude Oil Volatility; Geopolitical Risks (search for similar items in EconPapers)
JEL-codes: C87 E44 G11 Q01 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002501

DOI: 10.1016/j.frl.2022.103008

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