Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America

Aamir Aijaz Syed, Farhan Ahmed, Muhammad Kamal, Assad Ullah and Jose Pedro Ramos-Requena
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Aamir Aijaz Syed: Institute of Management, Commerce and Economics, Shri Ramswaroop Memorial University, Lucknow 226016, India
Farhan Ahmed: Department of Economics and Management Sciences, NED University of Engineering & Technology, Karachi 75270, Pakistan
Jose Pedro Ramos-Requena: Department of Economics and Business, University of Almeria, 04120 Almería, Spain

Mathematics, 2022, vol. 10, issue 5, 1-15

Abstract: The environmental degradation and the concern for sustainable development have garnered extensive attention from researchers to evaluate the prospects of green bonds over other traditional assets. Against this backdrop, the current study measures the asymmetric relationship between green bonds, U.S. economic policy uncertainty (EPU), and bitcoins by employing the Nonlinear Autoregressive Distribution Lag (NARDL) estimation technique recently developed by Shin et al. The outcome of the empirical analysis confirms an asymmetric cointegration between EPU, bitcoins, the clean energy index, oil prices, and green bonds. The NARDL estimation substantiates that positive shock in EPU exerts a negative impact on green bonds, whereas a negative shock in EPU increases the performance of green bonds. It implies, in the long run, a 1 percent increase (decrease) in EPU decreases (increases) the performance of green bonds by 0.22 percent and 0.11 percent, respectively. Likewise, the study also confirms a bidirectional relationship between bitcoins and green bonds. A positive shock in bitcoin increases the performance of green bonds and vice versa. In addition, our study also reveals a direct co-movement between clean energy, oil prices, and green bonds. This outcome implies that green bonds are not a different asset class, and they mirror the performance of other asset classes, such as clean energy, oil prices, and bitcoins. The findings offer several implications to understand the hedging and diversification properties of bitcoins, and assist in understanding the role of U.S. economic policy uncertainty on green bonds.

Keywords: green bonds; environmental sustainability; asymmetric analysis; EPU; clean energy (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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