The investment of renewable energy: Is green bond a safe-haven to hedge US monetary policy uncertainty?

被引:6
|
作者
Cao, Fangzhi [3 ]
Su, Chi-Wei [1 ,2 ,3 ,7 ]
Qin, Meng [4 ,5 ]
Moldovan, Nicoleta-Claudia [6 ]
机构
[1] Yunnan Univ Finance & Econ, Sch Finance, Kunming 650221, Peoples R China
[2] Univ Antonio Nebrija, Nebrija, Spain
[3] Qingdao Univ, Sch Econ, Qingdao, Peoples R China
[4] Qingdao Univ, Sch Marxism, Qingdao, Peoples R China
[5] West Univ Timisoara, Fac Econ, Doctoral Sch Econ & Business Adm, Timisoara, Romania
[6] West Univ Timisoara, Finance Dept, Timisoara, Romania
[7] 78 Kedazhi Rd, Qingdao, Shandong, Peoples R China
关键词
Green bond; US monetary policy uncertainty; Time-varying causal relationship;
D O I
10.1016/j.energy.2024.132651
中图分类号
O414.1 [热力学];
学科分类号
摘要
This paper uses the bootstrap rolling-window Granger causality test to investigate the relationship between U.S. monetary policy uncertainty and green bond. The method addresses the limitations of ignoring the instability of coefficients and the time-varying relationship between the variables in previous literature. The results find both insignificant and significant relationship in the full period. One explanation of the insignificant relationship is that the changes of investor sentiment influence their judgment regarding to the monetary policy uncertainty and green bond, and thus the significance of the relationship between the variables. Besides, this paper finds the significant inter-relationship is time-varying. Specifically, in the sub-period when the market sentiment is low, the rising monetary policy uncertainty influences green bond price negatively. Meanwhile, the unexpected changes of green bond may also have both positive and negative effects on monetary policy uncertainty in different sub-periods. Thus, this paper proposes that the impact mechanism between the variables is effective when the investors are irrational. Furthermore, the findings may provide valuable implications for investors and governments, including adjusting investment strategy when the monetary policy is unclear, increasing monetary policy transparency, and monitoring speculative activity in green bond market. In addition, it is necessary to emphasize that the validity of the findings is limited to the U.S. and the period when investors' sentiment experience large fluctuations. Finally, future research may consider expand the analysis to the green stock, as it is another important channel for renewable energy investment.
引用
收藏
页数:14
相关论文
共 50 条
  • [1] Unearthing the hedge and safe-haven potential of green investment funds for energy commodities
    Ozkan, Oktay
    Meo, Muhammad Saeed
    Younus, Mehak
    ENERGY ECONOMICS, 2024, 138
  • [2] Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices
    Karim, Sitara
    Naeem, Muhammad Abubakr
    Mirza, Nawazish
    Paule-Vianez, Jessica
    JOURNAL OF RISK FINANCE, 2022, 23 (02) : 191 - 205
  • [3] Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty
    Hasan, Md Bokhtiar
    Hassan, M. Kabir
    Karim, Zulkefly Abdul
    Rashid, Md Mamunur
    FINANCE RESEARCH LETTERS, 2022, 46
  • [4] A global bond: Explaining the safe-haven status of US Treasury securities
    Hager, Sandy Brian
    EUROPEAN JOURNAL OF INTERNATIONAL RELATIONS, 2017, 23 (03) : 557 - 580
  • [5] Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset?
    Paule-Vianez, Jessica
    Prado-Roman, Camilo
    Gomez-Martinez, Raul
    EUROPEAN JOURNAL OF MANAGEMENT AND BUSINESS ECONOMICS, 2020, 29 (03) : 347 - 363
  • [6] Carbon Futures and Clean Energy Stocks: Do They Hedge or Safe Haven against the Climate Policy Uncertainty?
    Hoque, Mohammad Enamul
    Batabyal, Sourav
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (09)
  • [7] Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities
    Gupta, Rangan
    Subramaniam, Sowmya
    Bouri, Elie
    Ji, Qiang
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 71 : 289 - 298
  • [8] Is Bitcoin a hedge or safe-haven asset during the period of turmoil? Evidence from the currency, bond and stock markets
    Liu, Peng
    Yuan, Ying
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2024, 96
  • [10] Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period*
    Yousaf, Imran
    Plakandaras, Vasilios
    Bouri, Elie
    Gupta, Rangan
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2023, 64