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
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