The heterogeneous role of economic and financial uncertainty in green bond market efficiency

Ping Wei, Jingzi Zhou, Xiaohang Ren and Farhad Taghizadeh-Hesary

Review of Accounting and Finance, 2023, vol. 23, issue 1, 130-155

Abstract: Purpose - This paper aims to explore the quantile-specific short- and long-term effects of economic policy uncertainty (EPU) on the efficiency of the green bond market. Design/methodology/approach - This study examines the long-term cointegration relationship and the short-term fluctuation relationship of EPU, WTI crude oil price (WTI) and European Union Allowances price (EUA) with the green bond market efficiency (GBE) using the quantile autoregressive distributed lag method. Additionally, the authors analyze the differences before and after the Covid-19 pandemic. Findings - EPU has a significant positive impact on the GBE before the outbreak. However, during the crisis period, the impact of EPU and WTI was greatly weakened, whereas the impact of EUA was strengthened. Practical implications - This paper demonstrates the dynamics of GBE and its influencing factors under different periods. The findings provide insights for market participants and policymakers to gain a clearer understanding of the green bond market. Originality/value - This paper extends the study of green bonds by quantifying the GBE and elucidating the nonlinear relationship between efficiency and independent variables at different quantiles over different periods.

Keywords: Economic policy uncertainty; QARDL; Green bond market efficiency (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:rafpps:raf-07-2023-0202

DOI: 10.1108/RAF-07-2023-0202

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