Dynamic spillovers between uncertainties and green bond markets in the US,Europe, and China: Evidence from the quantile VAR framework |
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| Affiliation: | 1. Research Center for Public Economy & Public Policy, School of Public Policy and Administration, Chongqing University, 174 Shazheng Street, Shapingba District, Chongqing 400044, China;2. School of Public Policy and Administration, Chongqing University, 174 Shazheng Street, Shapingba District, Chongqing 400044, China;1. Economics Department, University of Central Oklahoma, 100 N University Dr, Edmond, 73034, USA;2. School of Public Finance, University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu, District 3, Ho Chi Minh City, 700000, Viet Nam;1. Department of Economics & Finance, Durham University, Durham DH1 3LB, UK;2. Department of Economics, Faculty of Commerce, Zagazig University, Egypt;3. Department of Finance and Investment, College of Economics and Administrative Sciences, Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia;4. University of Sfax, Higher Institute of Business Administration, Tunisia;5. Department of Economics, Lahore College for Women University Lahore, Pakistan;6. Indian Institute of Management Bodh Gaya, Bodh Gaya, India;1. Indian Institute of Management (IIM) Bodh Gaya, Gaya, India;2. Department of Land Economy, University of Cambridge, United Kingdom;3. University of Ghana Business School, Accra, Ghana;4. Department of Economics & School of Business, University of Ibadan, Ibadan, Nigeria;5. School of Economics and Management, Nanchang University, Nanchang, China |
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| Abstract: | This paper investigates the quantile connectedness between uncertainties and green bonds in the US, Europe, and China by using a quantile VAR model-based connectedness approach. The empirical findings suggest that the spillover effect under extreme market conditions is significantly higher than that under normal market conditions. We also show that stock market uncertainty (VIX) and oil market uncertainty (OVX) have a greater impact on green bonds, especially in extreme upward markets. In addition, the US is the dominant transmitter of spillovers in other green bond markets, while China is always the net receiver of spillovers. Further research, meanwhile, demonstrates that the connectedness between green bonds and uncertainties is time-varying and that the spillover effects at extreme upper and lower quantiles are asymmetric and heterogeneous, especially in the early days of the COVID-19 pandemic. These findings provide investors and policymakers with systematic insights into the risk resistance of different green bond markets. |
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