ABSTRACT

This paper investigates the wavelet-based quantile dependence between Economic Policy Uncertainty (EPU) and green bond markets over 2014–2021. We first determine how the connectivity between EPU and green bonds differs across different investment horizons by decomposing EPU and green bond series into various frequency bands. Next, we provide a quantile-based framework to characterize the reliance between EPU and green bond markets across various market circumstances. Our findings show that the Granger causality from EPU to the green bond market is non-linear and varies across time scales. Our results benefit policymakers with a policy design to mitigate systematic volatility caused by external shocks in the green bond markets.

摘要

本文调查了 2014-2021 年经济政策不确定性 (EPU) 与绿色债券市场之间基于小波的分位数依赖性。我们首先通过将 EPU 和绿色债券系列分解为不同的频段来确定 EPU 和绿色债券之间的联系在不同的投资期限内有何不同。接下来，我们提供一个基于分位数的框架来描述 EPU 和绿色债券市场在各种市场环境下的依赖性。我们的研究结果表明，从 EPU 到绿色债券市场的 Granger 因果关系是非线性的，并且随时间尺度变化。我们的结果有利于政策制定者的政策设计，以减轻绿色债券市场外部冲击引起的系统性波动。