Economic policy uncertainty and green finance: evidence from frequency and quantile aspects

Kaihua Wang ()
Additional contact information
Kaihua Wang: Wuchang University of Technology

Economic Change and Restructuring, 2024, vol. 57, issue 1, No 1, 26 pages

Abstract: Abstract This paper discusses frequency and quantile-varying linkage between economic policy uncertainty (EPU) and green bond index (GBI) using wavelet multiscale decomposition and quantile-on-quantile regression approaches. We construct nine different time frequency combinations of short-term EPU and long-term GBI and find that dynamic coefficients exist for their relationship across different quantiles. For the same cases, the corresponding coefficients even change from positive to negative or conversely, further proving the unstable linkage related to different quantiles and frequencies. The major contribution of this study is that time frequencies and quantile-varying analysis are used simultaneously. In addition, China’s economic reform and complex external economic shocks make it a case worthy of study. Furthermore, this work indicates a nonlinear link, which adds to the theoretical foundation of EPU and GBI. Thus, authorities should stabilize their economic policy, avoid drastic policy changes and increase policy transparency, which can strengthen investors’ confidence in the green bond market.

Keywords: Economic policy uncertainty; Green bond index; Wavelet multiscale decomposition; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: B41 E60 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10644-024-09579-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:ecopln:v:57:y:2024:i:1:d:10.1007_s10644-024-09579-z

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/10644/PS2

DOI: 10.1007/s10644-024-09579-z

Access Statistics for this article

Economic Change and Restructuring is currently edited by George Hondroyiannis

More articles in Economic Change and Restructuring from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().