Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America

被引:46
作者
Syed, Aamir Aijaz [1 ]
Ahmed, Farhan [2 ]
Kamal, Muhammad Abdul [3 ]
Ullah, Assad [4 ]
Ramos-Requena, Jose Pedro [5 ]
机构
[1] Shri Ramswaroop Mem Univ, Inst Management Commerce & Econ, Lucknow 226016, Uttar Pradesh, India
[2] NED Univ Engn & Technol, Dept Econ & Management Sci, Karachi 75270, Pakistan
[3] Abdul Wali Khan Univ, Dept Econ, Mardan 23200, Pakistan
[4] Henan Univ, Dept Econ, Kaifeng 475001, Peoples R China
[5] Univ Almeria, Dept Econ & Business, Almeria 04120, Spain
关键词
green bonds; environmental sustainability; asymmetric analysis; EPU; clean energy; COMMODITY; ENERGY;
D O I
10.3390/math10050720
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
The environmental degradation and the concern for sustainable development have garnered extensive attention from researchers to evaluate the prospects of green bonds over other traditional assets. Against this backdrop, the current study measures the asymmetric relationship between green bonds, U.S. economic policy uncertainty (EPU), and bitcoins by employing the Nonlinear Autoregressive Distribution Lag (NARDL) estimation technique recently developed by Shin et al. The outcome of the empirical analysis confirms an asymmetric cointegration between EPU, bitcoins, the clean energy index, oil prices, and green bonds. The NARDL estimation substantiates that positive shock in EPU exerts a negative impact on green bonds, whereas a negative shock in EPU increases the performance of green bonds. It implies, in the long run, a 1 percent increase (decrease) in EPU decreases (increases) the performance of green bonds by 0.22 percent and 0.11 percent, respectively. Likewise, the study also confirms a bidirectional relationship between bitcoins and green bonds. A positive shock in bitcoin increases the performance of green bonds and vice versa. In addition, our study also reveals a direct co-movement between clean energy, oil prices, and green bonds. This outcome implies that green bonds are not a different asset class, and they mirror the performance of other asset classes, such as clean energy, oil prices, and bitcoins. The findings offer several implications to understand the hedging and diversification properties of bitcoins, and assist in understanding the role of U.S. economic policy uncertainty on green bonds.
引用
收藏
页数:15
相关论文
共 47 条
[1]   Assessing the Impact of COVID-19 Pandemic on the Stock and Commodity Markets Performance and Sustainability: A Comparative Analysis of South Asian Countries [J].
Ahmed, Farhan ;
Syed, Aamir Aijaz ;
Kamal, Muhammad Abdul ;
de las Nieves Lopez-Garcia, Maria ;
Ramos-Requena, Jose Pedro ;
Gupta, Swati .
SUSTAINABILITY, 2021, 13 (10)
[2]  
Arif M., 2021, Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19. Copenhagen Business School [wp]. Working Paper / Department of Economics. Copenhagen Business School No. 01-2021CSEI Working Paper No. 01-2021
[3]  
Azhgaliyeva D., 2021, OIL PRICE SHOCKS GRE
[4]   Green bonds for financing renewable energy and energy efficiency in South-East Asia: a review of policies [J].
Azhgaliyeva, Dina ;
Kapoor, Anant ;
Liu, Yang .
JOURNAL OF SUSTAINABLE FINANCE & INVESTMENT, 2020, 10 (02) :113-140
[5]   The Green Bonds Premium Puzzle: The Role of Issuer Characteristics and Third-Party Verification [J].
Bachelet, Maria Jua ;
Becchetti, Leonardo ;
Manfredonia, Stefano .
SUSTAINABILITY, 2019, 11 (04)
[6]   Measuring Economic Policy Uncertainty [J].
Baker, Scott R. ;
Bloom, Nicholas ;
Davis, Steven J. .
QUARTERLY JOURNAL OF ECONOMICS, 2016, 131 (04) :1593-1636
[7]   Stock market reaction to green bond issuance [J].
Baulkaran, Vishaal .
JOURNAL OF ASSET MANAGEMENT, 2019, 20 (05) :331-340
[8]   Commodity futures and a wavelet-based risk assessment [J].
Berger, Theo ;
Czudaj, Robert L. .
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 554
[9]   Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade [J].
Broadstock, David C. ;
Cheng, Louis T. W. .
FINANCE RESEARCH LETTERS, 2019, 29 :17-22
[10]  
Chiappini H., 2021, CONT ISSUES SUSTAINA, P285