The Effect of Green Bonds on Climate Risk Amid Economic and Environmental policy uncertainties

Kamel Si Mohammed, Vanessa Serret () and Christian Urom
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Kamel Si Mohammed: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Vanessa Serret: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Christian Urom: PSB - Paris School of Business - HESAM - HESAM Université - Communauté d'universités et d'établissements Hautes écoles Sorbonne Arts et métiers université

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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.

Keywords: Green bonds; climate risks; economic policy uncertainty; multivariate quantiles-on-quantile methods (search for similar items in EconPapers)
Date: 2024-02
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Citations: View citations in EconPapers (5)

Published in Finance Research Letters, 2024, pp.105099. ⟨10.1016/j.frl.2024.105099⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04444957

DOI: 10.1016/j.frl.2024.105099

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