Asymmetric effects of climate policy uncertainty, infectious diseases-related uncertainty, crude oil volatility, and geopolitical risks on green bond prices

被引：82
|
作者：
Tian, Hao [1 ]
Long, Shaobo [1 ,2 ]
Li, Zixuan [1 ]
机构：
[1] Chongqing Univ, Sch Publ Policy & Adm, 174 Shazheng St, Chongqing 400044, Peoples R China
[2] Chongqing Univ, Res Ctr Publ Econ & Publ Policy, 174 Shazheng St, Chongqing 400044, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2022年 / 48卷
关键词：
Green Bond; Climate Policy Uncertainty; Infectious Disease Uncertainty; Crude Oil Volatility; Geopolitical Risks;
D O I：
10.1016/j.frl.2022.103008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Employing the nonlinear ARDL model, this paper examines the asymmetric effects of Climate Policy Uncertainty (CPU), Infectious Disease Equity Market Volatility (IDEMV), the CBOE Crude Oil Volatility Index (OVX), and Geopolitical Risks (GPR) on green bond prices in the US, Europe, and China. The results show that the green bond markets in the US, Europe and China exhibit heterogeneities facing uncertainties. In the short-run, only China's green bond market is asymmetrically affected by uncertainties. In the long-run, the asymmetric effect exhibited by European green bond market is more extensive and shares similar characteristics to that of the US.
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页数：9
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